Comments on: Amibroker e-ratio code

By: Rajiv

Rajiv — Tue, 19 Jan 2010 02:52:41 +0000

Thanks for the heads up. I will do some more research. The only advantage TradersStudio has is that I could use Metastock data. Anyway, there are some other software to consider: Multi Charts (uses Easy Language), Ninja Trader, and Nuro Shell. Multi Charts is a bit pricy though — close to $1600. Personally, I think that AB of MS is a good enough software. Besides a mechanical system, one needs money management skills and the discipline. I am leaning toward combining at least three different systems — trend, mean reversion and divergence.

By: Jez

Jez — Mon, 18 Jan 2010 23:20:29 +0000

@Rajiv
little warning: TradersStudio does not offer any free trial… Also I have been wondering for a little while now, whether I made the right choice (I was also considering Trading Blox but was put up by the price difference: $3,000 for Trading Blox) so I might revisit this :(

By: Rajiv

Rajiv — Mon, 18 Jan 2010 16:39:49 +0000

Thanks. The only problem is that I am not even sure how to request an invite i.e. he does not even give that option. Thanks again for the fantastic blog. I use Metastock and AB currently. After reading your blog, I may look at TraderStudio. Also, check out StrataSearch. It’s essentially a software designed mostly to mix and match various systems. I am testing it right now, and the only complain I have is that the learning curve seems a bit steep.

By: Jez

Jez — Mon, 18 Jan 2010 14:30:32 +0000

Hi Raj,
Thanks for the comments. I checked the ASX blog and it appears that – as you mention it – it has changed to an “invite-only” status (ie I cant access it either any more). It actually seemed “abandonned” when I found it (ie last update was from 2007 I believe) so I am not sure what’s up with it. I guess you could request an invite and check it out… ;-)

By: Raj

Raj — Mon, 18 Jan 2010 14:00:56 +0000

Looks like ASX Gorilla’s blog is by invitation only. Any idea, how one gets invited to this? Thanks for the wonderful blog. I have you in my Google Reader.

By: Jez

Jez — Thu, 12 Nov 2009 18:33:25 +0000

Dave – your explanation seems to make sense and as this is part of the code I reused from the Gorilla ASX, I cant confirm on top of my head why this was implemented that way.

I’ll definitely try your suggestion (ie +1) and revert back with code update if required (after my football game that is…)
Thanks again!

By: Dave

Dave — Thu, 12 Nov 2009 17:38:18 +0000

Jez,
Follow up on NumTrades++. I suspect reason for putting the expression at start of loop was to get proper denominator in, AvgMAE=AccumMAE/NumTrades and AvgMFE=AccumMFE/NumTrades

But this still gives different values than placing the Numtrades++ at end of both loops and adding 1 to the denominator, ie Numtrades+1.
Thanks
Dave

By: Jez

Jez — Thu, 12 Nov 2009 17:35:49 +0000

Dave – Thanks for the input. I’ll check it out later

By: Dave

Dave — Thu, 12 Nov 2009 17:12:00 +0000

Jez,
NumTrades++. I usually use this at end of loop, not the beginning. IE Step #1=Bar 0, not bar 1. In your code its in two places. Changing it from top to bottom of loop does not change ATR values per signal but does change subsequent AccumMAE ,AvgMFE,eratio, and EntryATR in first trade on single ticker test.
Thanks
Dave

By: Jez

Jez — Wed, 11 Nov 2009 21:44:59 +0000

Hi David,

If you look at the code, the following line produces that Debug output:
_TRACE(”Symbol ” + sig.Symbol + ” Number of Trades ” + VarGet(”TradeATR” + NumTrades));

The string is output as “number of trades” but the VarGet function actually retrieves the ATR value, hence not a round number – this was copied from the original code and is slightly misleading so Ihave updated the code linked to in this post.

Cheers and good luck with the “quant end of things” ;-)

Jez

By: David Fitch

David Fitch — Wed, 11 Nov 2009 21:41:23 +0000

Jez,
Working through your AFL . Found it intriguing. While I’m told it “Edge” doesn’t help EOD systems, I’d like to find for myself. To put my questions in context, I’m a long time user of AB but have only recently been drug kicking and screaming into the quant end of things and in particular, CBT.

That said, why are there trades in the _Trace field that are not round numbers, 1,2,3. But instead 1.6551, 1.0570 ?
Just get’n my head around what’s happening here.
Thanks
Dave

By: Jez

Jez — Tue, 10 Nov 2009 18:31:16 +0000

Nuanda,

Well spotted! Very thorough checking ;-)
You are exactly right and I think this was a slight bug in the ASX gorilla version:

The ATR is expressed in dollar terms while the MAE/MFE is expressed as a percentage of price (in Amibroker). As a result you need to calculate the MAE/MFE in dollar terms to “compare apples and apples”; and you do that by multiplying the ATR(pct) with the Entry Price divided by 100.

By: Nuanda

Nuanda — Tue, 10 Nov 2009 15:46:14 +0000

it’s not clear to me why you are multiplying by the entry price compared to the original code.

your version
——————-
trade.GetMAE()*trade.EntryPrice/(100*EntryATR)
trade.GetMFE()*trade.EntryPrice/(100*EntryATR)

ASX Gorilla’s version
——————-
trade.GetMAE()/EntryATR
trade.GetMFE()/EntryATR

I have the feeling your version is an enhancement since it’s comparing MAE/MFE in dollar amount versus the ATR which is also espressed in dollar amount. Correct me if I’m wrong.

Regards,

Paolo

By: Woodshedder

Woodshedder — Tue, 10 Nov 2009 14:38:00 +0000

Cool. That explanation makes sense. I’ll have to plug the code in to AmiBroker and give it a try.
Thanks again!

By: Jez

Jez — Tue, 10 Nov 2009 12:02:45 +0000

Thanks woodshedder!

I find that the e-ratio is a better evaluation of the “potential” of a trade/signal in Risk/Reward term as it uses Maximum Excursions (both on upside and downside)
For example you could have both trades that complete with 1% profit when stopping at N days, but one the trades could be dropping to -10% for most of its life while the other one could stay at around +5%. If they both finish at +1%, a simple average would not differentiate and highlight that the second trade/signal offers more potential.
The e-ratio would tell you a bit more about how the trade “behaved” during its life – and the e-ratio profile over different days allows you to get a feel for the best duration of the edge. It is not a “holy grail” metrics but I think a useful “prism” through which you can look at a signal in a back-test.
Below is the link to explain the basics of the e-ratio.
http://www.automated-trading-system.com/e-ratio-trading-edge/

By: Woodshedder

Woodshedder — Tue, 10 Nov 2009 00:27:39 +0000

Good stuff Jez. I’m going to add you to the blogroll to remind myself to check your blog regularly.

I haven’t fully explored the e ratio, but I’m wondering, how is it different from just plotting the avg. % trade over an n-bar exit?

Thanks for the code Jez!