Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Between individual currency pairs, that stat would be quite variable. Across the basket of currencies it should be quite good, ...

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Old Nov 3, 2010, 12:37pm   #541
 
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Re: Deadline June

Adamus started this thread Between individual currency pairs, that stat would be quite variable.

Across the basket of currencies it should be quite good, but it's difficult to calculate the drawdown.

I could just merge the PnL for all currencies. That's the brute force approach.

Otherwise either (1) I could take the maximum drawdown by any one currency pair.

or (2) I could take the average maximum drawdown for all currency pairs.

Or (3) i could use the sum total of maximum drawdowns for the basket.

I think (2) would be an underestimate but (3) would be an overestimate.
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Last edited by Adamus; Nov 3, 2010 at 12:50pm.
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Old Nov 3, 2010, 3:41pm   #542
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Re: Deadline June

You need to carry out a backtest on a portfolio, is this something your software can do?
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Old Nov 3, 2010, 5:15pm   #543
 
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Re: Deadline June

Adamus started this thread Almost.

It'll run the backtest on the portfolio but will only give me limited stats on the combined results. e.g. max drawdown is actually the average max drawdown of all instruments, not of basket.
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Old Nov 3, 2010, 6:40pm   #544
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Re: Deadline June

Uh oh. May I suggest Amibroker, it will do complete portfolio analysis, including allowing you to specify a maximum number of open positions (e.g. ten markets, take no more than five positions).

I used to backtest with ProRealTime but the fundamental flaw (and this is true of many software packages) is that there is no portfolio analysis.
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Old Nov 4, 2010, 12:16am   #545
 
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Re: Deadline June

Adamus started this thread I might have to check it out. One fundamental problem with software packages that I've looked into is that they won't let you write systems using multiple instruments or multiple time frames. Does amibroker allow that?

The other functionality I like is the ability to optimise the time frame.

Actually I am meant to import all the PnL into my own app which will do the portfolio analysis but at the moment I'm stuck with it on some database issue and haven't given it the time it requires.
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Old Nov 4, 2010, 4:01am   #546
 
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Re: Deadline June

Adamus

The Multiple time frame issue is resolvable but the solution is 'hairy'.

You use the lowest timeframe and then create 'synthetic' bars for the higher timeframes. You would probably (depending on language) then also need to create new indicators etc based on these synthetic bars, not the real ones.

I have done this & I have code for Tradestation that you might be able to pull apart if you want.

DT
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Old Nov 4, 2010, 11:39am   #547
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Re: Deadline June

Quote:
Originally Posted by Adamus View Post
I might have to check it out. One fundamental problem with software packages that I've looked into is that they won't let you write systems using multiple instruments or multiple time frames. Does amibroker allow that?

The other functionality I like is the ability to optimise the time frame.

Actually I am meant to import all the PnL into my own app which will do the portfolio analysis but at the moment I'm stuck with it on some database issue and haven't given it the time it requires.
You can refer to different timeframes in Amibroker -

http://www.amibroker.com/docs/MTFIndicators.html

You could trade off 5 min bars using a 1hr moving average, for example.

I can't recommend Amibroker highly enough.. for $290 it's a stunning piece of kit, and you will be blown away by its speed (conservatively, it's at least 50 times quicker than ProRealTime).

If you plan to trade a mechanical system on different markets, you simply HAVE to do proper analysis.. if you don't, you will lack the confidence you need to persist with the strategy during drawdown - this is by far the hardest aspect of system trading. The system almost becomes secondary.. the psychology is of utmost importance.

Amibroker language is C++ which you're probably familiar with anyway. Switching will take you a month or two, but you'll be glad you did..
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Old Nov 4, 2010, 3:28pm   #548
 
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Re: Deadline June

Adamus started this thread
Quote:
Originally Posted by meanreversion View Post
I can't recommend Amibroker highly enough.. for $290 it's a stunning piece of kit, and you will be blown away by its speed (conservatively, it's at least 50 times quicker than ProRealTime).
That's a strong recommendation. I shall bear it in mind. From a point of view of satisfaction though, I would rather see the NinjaTrader lot put out a stable release. However it's just gone "Release Candidate 1" and there are still immense problems with it, especially connecting to IB.

What broker do you connect up to for live quotes and historical data? I think you mentioned this already.

I am also attracted by the little I know of NeoTicker, but I haven't gone so far down this road yet because I spend all my spare time keeping NinjaTrader running.
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Old Nov 4, 2010, 3:31pm   #549
 
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Re: Deadline June

Adamus started this thread
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Originally Posted by DionysusToast View Post
Adamus

The Multiple time frame issue is resolvable but the solution is 'hairy'.

You use the lowest timeframe and then create 'synthetic' bars for the higher timeframes. You would probably (depending on language) then also need to create new indicators etc based on these synthetic bars, not the real ones.

I have done this & I have code for Tradestation that you might be able to pull apart if you want.

DT
Thanks but no thanks. That sounds like a recipe for madness. Hairy indeed. I've actually only got a couple of ideas in the pipeline that I need this multiple timeframe capability for so realistically speaking I should just forget about them anyway and stick to the more run-of-the-mill stuff.
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Old Nov 4, 2010, 3:38pm   #550
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Re: Deadline June

I have Amibroker for backtesting (it can also do walk forward testing on portfolios, that is VERY rare), eSignal for streaming FX data and Pinnacle for futures data (http://www.pinnacledata.com/contact.asp).
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