04-06-2008
Welcome and hope you find these files of use to you
This zip files includes the following:
IO v2.93 04/06/07 Fred Tonetti- IO Beta with Read me Document
TR_Sig_Load / TR_Sig_SRW / FT-Utilities8a 04/06/07 Fred Tonetti-
The next logical steps ...
TradeRunner,
which is collection of VBS & HTA programs, currently has the
following critical path components ...
- The processing of a "library" of INI's in date & time sequence to produce a
full list of uniquely named signal files.
- The reduction of those signal files to a final group of those that are unique
based on contents i.e. buy and sell signals.
But as someone asked awhile back in this thread ... What do I do with them now
that I have them ?
One would think the next logical steps, at least in the context of this topic,
would be to:
- Load the Final Signal files into some platform for some sort of analysis that
results in a repeatable methodology to select a group of signals.
- Use the selected signals in an optimization process to determine the weighting
of the individual signals on a buy as well as entry and exit points based on the
sum of the weighted signals that are on buys.
The hindrance with these steps as previously implemented has been that they do
not lend themselves well to an automated Walk Forward process since for each in
sample date range one must perform what seems to be two separate and distinct
tasks above.
The variable values that are obtained from the optimization process can of
course be used to test some out of sample data but to this point there has been
no way to automatically repeat this process allowing WF segments to be produced
one after another etc ...
In an attempt to consolidate the pieces above to enable automated WF testing I
have produced and attached below the following AmiBroker related items:
* TR_Sig_Load - An AFL to
load the Final Signal Files into AmiBroker as composites in Group 253 from
wherever they are located. This AFL must be run before TR_Sig_SRW to import the
Final Signal Files and to set up the Static Variables needed by that AFL. The
Static Variables will be lost when you quit out of AmiBroker. As a result when
you next want to start AmiBroker and want to use the AFL below, you’ll need to
run this AFL again with the option to only create the Static Variables.
* The above also required a modification to Bruce Robinson's FT-Utilities8 which
I have dubbed FT-Utilities8a. It provides for all the functionality in
Dave Howarter's remake i.e. FT-Utilities8_DRH but in a more generic and/or
flexible way. This AFL will need to be saved to your \Amibroker\Formulas\Include
directory.
* TR_Sig_SRW - An AFL that
performs Scoring, Ranking and Weighting via Optimization in one module. The
scoring and ranking take place prior to the beginning of optimization for any
given in sample date range thus allowing real automated Walk Forward analysis to
be performed. This AFL has:
- Many user settable options which I have left at what I would term the default
settings. I do not claim that these settings are necessarily the best as I have
had limited “play time”.
- The flexibility to include additional performance metrics in the analysis of
individual signals
- The ability to have user customized scoring based on whatever performance
metrics are calculated therein. Today those metrics are limited to Net Return%,
MDD% and number of trades which covers most of what I've heard individuals
mention here that they use in their manual or mechanical selection processes.
- Produces the plot of buy/sell bands of the selected signals.
* The above AFL also required a slight change to IO to optionally allow an
Exploration, which is used to perform the Scoring and Ranking process, to take
place just before optimization based on a new directive //IO: ABExplore: Y. The
beta version of IO (v2.9.3) for this is currently being hosted at Mark
Keitel's site here ... http://www.aajonahfish.com/ab-ftiobeta.htm
As yet I have NO documentation for any of the above other than that you will
find fairly extensive comments in the two AFL's that I have written. Feel free
to make suggestions and ask questions ...
This is a relatively
recent IS / OOS Equity curve from a run I did with what I think I left as the
default settings ... Given the totally mechanical "Look Ma no hands" methods
that were used I find the results to be pretty interesting.
IO v2.94 04/13/07 Fred Tonetti- Here's a new version of IO that handles non daily WF's a little better. In the previous versions dates would purposely be allowed to slip forward due to weekends and while this is a good idea for daily WF's it is out of place for anything else.