Tomasz, Re The Matrix Backtester versus AB's "Old Backtester"
I don't think the old version of AB's BT does the same thing as my template (on an apples for apples comparison). When I run the "Old Backtester" on my test data it returns the same number of trades as the "Individual Backtest" BT version, whereas in my version I get a larger number of trades (because my look forward 'cheating' counts any trades that occur while I am theoretically already in a trade). Anyway, I won't report back on blow by blow comparisons, or cross comparisons with any of AB's Backtesters..... I am just sharing some ideas and some code ... anyone who is interested can so their own thinking and perform their own checks. Collecting all of the trades, on a symbol by symbol basis (a TradeMatrix), is not The Matrix Backtester or even a Matrix Backtester ... it is only a pre-requisite i.e. the input that a MB requires. The Trade Matrix (still the same whatever it is called) can also be used for other analyses, besides Protfolio Modeling, within or without AB. --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Tomasz, > > Thanks. > > I hadn't noticed that.... I will have a close look at what you did there (of > course I am learning from your examples and benchmarking against them, as the > starting point). > > It is still good training..... also I want to extend it further so I need to > walk through it from the ground up plus have control of everything as I go > along. > > In the end, if the old Backtester does everything I want, then it will be > easier for me to use that, rather than maintain my own code. > > > > --- In [email protected], "Tomasz Janeczko" <groups@> wrote: > > > > Brian, > > > > >>whereas AB's default BT is limited to reporting on a % of all trades. > > > > Not true. > > What you are trying with your "dream matrix backtester" seems to be actually > > what so called "old backtester" did 10+ years ago. > > > > The old backtester simply took all trades regardless of portfolio > > limitations > > (virtually traded each symbol in its seprate virtual account). > > > > Old backtester is still accessible usign drop down arrow on the "Backtest" > > and "Optimize" buttons in the AA window. > > > > Best regards, > > Tomasz Janeczko > > amibroker.com > > ----- Original Message ----- > > From: "brian_z111" <brian_z111@> > > To: <[email protected]> > > Sent: Saturday, July 11, 2009 3:14 AM > > Subject: [amibroker] Re: Multiple Strategy System > > > > > > > Dave, Sanjay, interested parties. > > > > > > Dave, > > > > > > Looks like you are a happy camper with your new gear. > > > This post is not specifically for you ... I put it here because it is > > > topical to the subject and some other recent posts: > > > > > > - it uses a cheats version of recursive formulation (equivalent to > > > Metastocks PREV in this example) > > > - it creates CSV files, (potentially) of all system signals as trades > > > (expressed as GrowthFactor) .... suitable for exporting to > > > software for external analysis of systems, mutiple systems and portfolio > > > analysis > > > - potentially it can be used for the same, within AB. > > > > > > Sanjay, > > > > > > The code has a few different possibilities, depending on what code is > > > active or commented out and where it is used. ProfitStops% > > > with StopLoss% make a very good tool for studying and testing the basics > > > of using stops in general (maybe I will elaborate at the > > > zboard, in the future, but time is always limited). > > > > > > The file is only intended as a template that can be used as the basis for > > > extending into other stop types and on towards advanced > > > analysis. > > > It is a transparent version of what is happening in AB'S Backtester > > > except that it does not involve Money Management and > > > potentially it can collect all trades, whereas AB's default BT is limited > > > to reporting on a % of all trades. > > > I think it can also report on intraday trade returns if necessary. > > > > > > Scroll down to find the AFL file B_TestMultiSignals_ABVersion.txt at this > > > site: > > > > > > http://zboard.wordpress.com/downloads/ > > > > > > The MatrixBacktester is a big dream. > > > Big dreams necessarily have to start with a first limited step. > > > > > > "It must be considered that there is nothing more difficult to carry out > > > nor more doubtful of success nor more dangerous to handle > > > than to initiate a new order of things; for the reformer has enemies in > > > all those who profit by the old order, and only lukewarm > > > defenders in all those who would profit by the new order; this > > > lukewarmness arising partly from the incredulity of mankind who > > > does not truly believe in anything new until they actually have > > > experience of it". > > > > > > > > > Machiavelli > > > > > > > > > > > > KEYWORDS > > > > > > MATRIX BACKTESTER > > > SIMULTANEOUS TRADES > > > TRADE SERIES > > > TRADE RETURNS > > > EQUITY CURVE ANALYSIS > > > TRADE DEPENDENCY > > > MULTIPLE SYSTEM ANALYSIS > > > INTRA DATABASE ANALYSIS > > > TRADE SERIES VARIANCE > > > CORE METRIC EVALUATION > > > > > > --- In [email protected], "dbwyatt_1999" <dbw451@> wrote: > > >> > > >> A little advice for anyone in the future that decides to duplicate > > >> symbols as a way to back-test multiple systems; make sure you > > >> set the "Max. Open Positions" in the back-tester settings (Portfolio > > >> tab) to a number large enough to accommodate all the > > >> duplicated symbols (e.g # systems times # symbols). Duh..., I've wasted > > >> more hours than I care to admit trying to figure out why > > >> my combined systems produced output significantly different than what I > > >> would expect based on the individual systems. > > >> > > >> Regards, > > >> > > >> David > > >> > > >> > > >> --- In [email protected], "dbwyatt_1999" <dbw451@> wrote: > > >> > > > >> > Brian, > > >> > > > >> > I've done a some prototyping of the duplicating symbol process for > > >> > running multiple strategies. It turns out, as Angelo > > >> > pointed out in an earlier post, that duplicating and renaming exported > > >> > symbol text files for import is not much of an issue. > > >> > I've found several programs that can rename all the files at one time > > >> > (much like I could do using wild chars in DOS 20 years > > >> > ago...). Importing the symbols back into AB is also fairly easy > > >> > because multiple import files can be specified at once. Thus, > > >> > the most time consuming task is the manual entering the symbol > > >> > information like margin, tick size, and point value since unlike > > >> > stocks, with futures most of the symbols have different values. I'm > > >> > not going to dwell on how best to duplicate symbols too > > >> > much because it's generally a do once process. By the time I can > > >> > automate the process, I can probably do it manually. > > >> > > > >> > BTW, I'm still verifying the idea of combining multiple systems using > > >> > duplicate symbols. I'm testing it with 2 systems and so > > >> > far the results appear to be correct. > > >> > > > >> > Regards, > > >> > > > >> > David > > >> > > > >> > > > >> > > > > > > > > > > > > > > > ------------------------------------ > > > > > > **** IMPORTANT PLEASE READ **** > > > This group is for the discussion between users only. > > > This is *NOT* technical support channel. > > > > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > > > SUPPORT {at} amibroker.com > > > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > > > http://www.amibroker.com/feedback/ > > > (submissions sent via other channels won't be considered) > > > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > > http://www.amibroker.com/devlog/ > > > > > > Yahoo! Groups Links > > > > > > > > > > > >
