AmiBroker’s Custom Back Test (CBT) interface is a feature that allows power users to completely control the backtesting process. This course will familiarize you with the CBT so that you can create complex backtests and customize your reporting. Course ObjectivesDetermine when to use each of the three levels of the CBT Add custom trade metrics via the CBT Add custom portfolio metrics via the CBT Control the processing of entry and exit signals Enter, modify, and exit trades Learn how to hedge your trades Learn at your own pace and on your own time All videos and class materials are downloadableWatch them on your schedule.Set your […]
[…]to get the spreadsheet with lots of more information. Final Thoughts You can see how my mind likes to wander from one question to the next with no real goal in mind other than finding out interesting information and trying to understand it. The thing that I am still puzzling over is the high correlation to the late nineties to the recent three years. I have no good story for this. Do you? Should I or you be using data from the late nineties? I am not sure at this point. Backtesting platform used: AmiBroker. Data provider:Norgate Data (referral link) […]
[…]Why people don’t follow the model! “However, given this knowledge that models beat experts, forecasters still prefer to use the human (expert) prediction as opposed to using the model.” Good Quant […]
[…]than every December? The following chart shows that timing can make a noticeable difference. For example, re-balancing at the end of August (offset = 8) produces much less benefit to CAR for this portfolio than re-balancing at the end of December. The effect of timing is unique for every set of assets, so unfortunately, there is no general rule to guide us. And, quarterly re-balancing is subject to similar variability due to timing. Our results ignore tax effects from gains and losses realized when re-balancing. They could be relatively negligible, or significant. Again, there is no general rule to guide […]
[…]work and complexity? Is the Canary Method tuned to TLT? End of Month – TLT Only Next I want to compare all the methods with using TLT only. I want to understand what is going on with the drawdown. These results are sorted by MDD. We can see that all the other methods have MDD in the mid 20s. That is a more realistic expectation of using TLT. Any Day – No Bond ETF How much does allowing signals any day of the month change things? Compared to results from 2004, the order here stays about the same. The biggest […]
[…]One will also noticed that I tried ranking both ways. For example, I looked at highest ADX21 and lowest ADX21. We do this for two reasons. First, one never knows which one will work. Two, if a particular method gives good results, it is good to see that the inverse of it gives poor results. This helps confirm the ranking method. Baseline We are looking for results that are 2-3x the CAR with half the drawdown. That is my baseline for longer term strategies. The Results Avg % Profit/Loss – stop method is ‘Month: 6’ and profit method is ‘% […]
[…]universe analyzed. Dates: 1/1/2007 to 12/31/2017 Russell 3000 (includes delisted stocks and as index existed) 21-day moving average of dollar volume greater than $1 million As traded price greater than $1 Trading for more than 100 days On every day I collected the following stats. RSI2, RSi3 RSI4 values 100-day historical volatility This gave me 6.9 million data points. Some random stats from the data. The average RSI2 of all these is 51.6 There were 9,456 RSI2 readings of less than .1 There were 14,789 RSI2 readings of greater than 99.9 The RSI2 Smile The first view of the […]
[…]to know how my actual live results compare to backtested results which this method makes harder to compare. This method does give a good approximation of your live trading results. Separated Pool In the separated pool method, imagine that each strategy is trading at a separate brokerage account. Then at each rebalance period money is moved between the accounts to get the allocations back to what we started with. For example, we have two strategies with a 60/40 allocation. We put $60,000 at E*TRADE and $40,000 at Interactive Brokers and we are rebalancing every 6 months. Six months later strategy […]
[…]had no understanding of back testing or research. However, I did have a few ideas that I wanted to test out that I had picked up from reading various articles. Cesar helped me to develop them over the past year into an extremely profitable strategy. He has been consistently helpful in suggesting improvements, consistently patient in sorting out my confused plans, and consistently available in making sure that all of my ideas are tested and all my questions answered. He works fast, his fees are more than reasonable. I honestly can’t recommend him enough. Nobody knows what the market will […]
[…]you know how much you should allocate to each strategy? Now using the Multiple Strategies Backtest and Optimization Tool you can answer these questions and more. All it takes is about 5 minutes. Watch the video below of me going from start to finish and see how quickly you can learn how your strategies are doing together. As a quantitative trader, one of the best ways of improving performance and reducing risk is by trading multiple strategies. Features Combine up to 10 strategies Select rebalance frequency: daily, weekly, monthly, quarterly, semi-annual, yearly Set allocations per strategy and backtest to see […]
