I wouldn't presume what was meant by industrial strength, but I have to say that the DVD was fantastic.
I'm currently doing an MsSci in Simulation, and some subjects towards a Ms in Systems Engineering, and I think your video contained more value and insight than half the compulsory text books I have to purchase...and for less than the price of a cup of coffee! Craig. On 13/02/2010 9:24 AM, Howard B wrote: > > > "Industrial Strength" > > Is that a good thing or a bad thing? > > Thanks, > Howard > > > On Tue, Feb 9, 2010 at 9:00 PM, reefbreak_sd <[email protected] > <mailto:[email protected]>> wrote: > > I am no expert in backtesting, you need to address those questions > to Howard Bandy on this forum or buy his EXCELLENT book > "Quantitative Trading Systems" where he creates and backtests a > variety of trading sysstems along with commentary. I understand > Howard is coming out with an advanced version very soon. Also he has > available a recording of a lecture he gave in Australia detailing > the development and backtesting of a trading system. The cost is a > trivial $1.95, but beware the lecture is "industrial strength". > > You can limit the dollar size of each position and limit the number > of positions you can hold, thereby removing the total dollars in the > account as a determinant of profit. > > Also note that there is several different levels of running the > backtester. Allowing a very high level of control over what it does > - This comes at a cost of complexity of programming. > > You can add custom written calculations to the backtest report. > > Reef > > PS > I personally feel that backtesting is a "hall of mirrors" where you > can easily fool yourself into thinking that you have a profitable > system when you don't. Or conversely - needlessly discard a workable > system because of poor backtest results. Be VERY skeptical of any > results either good or bad. > > > > --- In [email protected] > <mailto:amibroker%40yahoogroups.com>, Ted Byers <r.ted.by...@...> wrote: > > > > Thanks. That helped a lot. > > > > However, I am not especially happy with the following: > > > > System test report window > > > > > correctly_annualized_perc_return = 100% * ( > (final_value/initial_value) ^ ( > > 365 / days_in_test ) - 1 ) > > > > where x^y means rising x to the power of y > > > > > > The problem I find lays in knowing precisely what initial_value > is supposed > > to be. Yes, the formula is correct, and makes sense, if the > initial value > > is fully utilized in the investment (such as the initial and > final value of > > a house one has purchased). However, in the system I am working > on, at no > > point does the total value of all open positions exceed $100,000, > and yet I > > have been instructed to set, as a default for backtesting > purposes, initial > > cash at 1,000,000 (the trader we're working with doesn't want to > deal with > > any limits posed by the available cash). But that means I can > arbitrarily > > improve the rate of return by a factor of ten if I use an initial > value of > > 100,000 or arbitrarily make it worse by using an initial value of > > 2,000,000. Obviously, I can't use an initial value less than > 100,000 or the > > trades the system recommends would not be possible, but apart > from that > > constraint, that I can arbitrarily alter initial value without > affecting > > total return seems to make this figure just so much meaningless > BS. At no > > time, when using this code, is position size computed from the > available > > cash. > > > > How, then, can I define things in such a way that ensures that > the rate of > > return actually has a meaningful value? So far, it seems I can > only compute > > a meaningful value for the rate of return for a specific trade > (where the > > initial value is obviously the cost of buying the shares, for a long > > position, or the value received from the sale of shares, for a short > > position), but not for a collection of trades distributed over a > period of > > several years. Is there a standard way for handling this? One that is > > demonstrably valid? > > > > > > Thanks > > > > > > Ted > > > > > > On Mon, Feb 8, 2010 at 4:11 PM, reefbreak_sd <reefbreak...@...> > wrote: > > > > > > > > > > > In AB, click on HELP -> SEARCH > > > type in "BackTester Report" in the search window > > > Under the "Select Topic" that comes back, click on "System Test > Report > > > Window" and you will see a definition of each term. Many of > these are > > > industry standard metrics of performance. > > > > > > You can go to www.investopedia.com > <http://www.investopedia.com> and type in for example "risk adjusted > > > return" and get a more detailed explaination of most of the > report items. > > > > > > Reef > > > > > > > > > --- In [email protected] > <mailto:amibroker%40yahoogroups.com> <amibroker%40yahoogroups.com > <http://40yahoogroups.com>>, Ted Byers > > > > <r.ted.byers@> wrote: > > > > > > > > Hi All, > > > > > > > > > > > > I am digging into how AmiBroker computes the various > statistics it > > > reports > > > > on a given back test. > > > > > > > > For example, I see the following reported: > > > > > > > > Exposure % > > > > Net Risk Adjusted Return % > > > > Annual Return % > > > > Risk Adjusted Return % > > > > > > > > Where will I find the details of exactly how AmiBroker > computes these > > > from a > > > > given suite of trades? Now, I know what a risk adjusted > return is, but in > > > > my previous work, it is based on 100% of the cash being > invested, and it > > > > carries a specific definition of "risk". In the system I am > working with > > > > now, it is rare for 100% of the available cash to be > invested, and a > > > really > > > > really long lived trade lasts only a couple weeks (though 9 > out of 10 > > > trades > > > > were profitable in my last back test using my own C++ code - > which in my > > > > view was quite bad - average position size of about 50,000 > and total > > > profit > > > > over 2 years being about 10,000). It seems rather meaningless > to report > > > an > > > > annual rate of return if one is in the market for less than a > month. > > > > > > > > In this "system", the position size is not a function of the > total amount > > > of > > > > cash available; so if these rates are defined relative to the > total > > > amount > > > > of cash available, I can arbitrarily change these rates by > increasing or > > > > decreasing the amount of cash available, within limits. I am > afraid my > > > > understanding of these ideas is derived from the perspective > of an > > > investor > > > > (where one buys a stock, and looks at returns based on the > combination of > > > > dividends and long term change in share value, adjusted for > splits, &c.). > > > > If I can see how AmiBroker computes these stats for a given > backtest, I > > > hope > > > > to understand these from the perspective of a trader. > > > > > > > > So where will I find the documentation of how AmiBroker > computes these > > > back > > > > test statistics? > > > > > > > > Thanks > > > > > > > > Ted > > > > > > > > > > > > > > > > > > > > > -- > > R.E.(Ted) Byers, Ph.D.,Ed.D. > > t...@... > > > CTO > > Merchant Services Corp. > > 350 Harry Walker Parkway North, Suite 8 > > Newmarket, Ontario > > L3Y 8L3 > > > > > > > ------------------------------------ **** IMPORTANT PLEASE READ **** This group is for the discussion between users only. This is *NOT* technical support channel. 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