fortyfour
189 posts
msg #113161
- Ignore fortyfour
modified |
5/6/2013 5:55:51 PM
Kevin,
Does Pangolin Z drawdown more in the same drawdown periods as your original.
Maybe you already answered that with " higher Sharpe ratio too" but just want to be sure.
Thanks.
|
Kevin_in_GA
4,599 posts
msg #113194
- Ignore Kevin_in_GA |
5/7/2013 10:24:37 PM
Original Z-score system - Performance for period 1/2/2007 through 4/1/2013
Max Drawdown - 17.15%
Sharpe Ratio - 0.9103
Pangolin Z - Performance for period 1/2/2007 through 4/1/2013
Max Drawdown - 11.77%
Sharpe Ratio - 1.748
This period encompasses the severe 50+% drawdown seen in the S&P500.
|
tomm1111
202 posts
msg #114749
- Ignore tomm1111
modified |
8/4/2013 10:16:10 PM
Kevin,
I've visited your systems on the collective2 web page. Impressive indeed. I have a question.
1. When you optimize this system, specifically what was the in-sample and out-of-sample data time frames used?
I’m potential subscriber and I'm trying to understand curve fit risk.
Thanks,
tomm1111
|
Kevin_in_GA
4,599 posts
msg #114750
- Ignore Kevin_in_GA |
8/4/2013 10:39:24 PM
Kevin,
I've visited your systems on the collective2 web page. Impressive indeed. I have a question.
1. When you optimize this system, specifically what was the in-sample and out-of-sample data time frames used?
I’m potential subscriber and I'm trying to understand curve fit risk.
Thanks,
tomm1111
++++++++++++
1. The in-sample data was 1/1/2008 until 12/31/2012 (or thereabouts). The goal was to include a period of protracted drawdown into the design - this is especially important for a long-only system like Pangolin Z. No out-of-sample data was used. I started trading it live on C2 on 3/26/2013, and so far it is up 17%.
I would suggest looking at www.statisticalinvesting.com to see the backtest data and results.
|
tomm1111
202 posts
msg #114751
- Ignore tomm1111
modified |
8/4/2013 11:10:47 PM
Kevin,
Thanks for the explanation. Your website answered the question I had.
tomm1111
|
tonyctl
7 posts
msg #114907
- Ignore tonyctl |
8/16/2013 3:57:11 AM
New to SF here and would like to know when I am backtesting this system and have Max. trades per day set to 2, will the backtest automatically select the first 2 stocks with the lowest Z scores to purchase? Also, does max. trades per day mean max number of purchases in one day or combined buy and sell orders?
|
duke56468
683 posts
msg #114908
- Ignore duke56468
modified |
8/16/2013 8:39:42 AM
@tony Here are the answers I got from SF. Start at the bottom.
Hi,
Thank you for the feedback. Any specific filter syntax necessary for your sorting syntax does need to be included.
StockFetcher.com Support
Vestyl Software, L.L.C.
On Mon, Jul 8, 2013 at 5:22 PM, > wrote:
So do I have to put the whole filter in selection method to get it to select in the same order as he filter?
--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 08:54:58 -0500
Subject: Re: backtest
From: support@stockfetcher.com
Hi,
If the "selection method" is left blank, the order of selection may not be reproducible.
StockFetcher.com Support
Vestyl Software, L.L.C.
On Mon, Jul 8, 2013 at 8:51 AM, > wrote:
IF I leave it blank what happens?
--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 06:13:28 -0700
Subject: Re: backtest
From: support@stockfetcher.com
Hi,
Thank you for the feedback. The order in the filter text does not effect the order used by the backtesting feature. To change the order of selection in backtesting, you have to update the "selection method".
If you have any additional questions, please do not hesitate to send us an email.
Thank you,
StockFetcher.com Support
Vestyl Software, L.L.C.
On Mon, Jul 8, 2013 at 6:10 AM, > wrote:
I know that!! My question is if I leave it blank will it chose stocks in the order chosen by the filter? If not how do I get it to select stocks in the order chosen by the filter?
--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 05:32:37 -0500
Subject: Re: backtest
From: support@stockfetcher.com
Hi,
Thank you for the feedback. Generally the default selection is by volume in descending order.
If you have any additional questions, please do not hesitate to send us an email.
Thank you,
StockFetcher.com Support
Vestyl Software, L.L.C.
On Sun, Jul 7, 2013 at 9:04 PM, > wrote:
If I leave selection method blank in the backtest will it chose the stocks in the order selected by the filter?
|
Kevin_in_GA
4,599 posts
msg #114909
- Ignore Kevin_in_GA |
8/16/2013 9:00:07 AM
Just put the following text (exactly as written here) into the selection method box:
/*FIRST DETERMINE HISTORICAL RATIO OF S&P STOCK TO THE SPY OVER THE LAST 16 DAYS*/
SET{PRICERATIO, CLOSE / IND(^SPX,CLOSE)}
SET{RATIOMA16, CMA(PRICERATIO,16)}
SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)}
SET{DIFF16, PRICERATIO - RATIOMA16}
SET{ZSCORE16, DIFF16 / RATIOSTD16}
SET{THRESHOLD16, RATIOSTD16 * 2}
zscore16 above -1
select by zscore16 ascending
If you want to use this intraday, you'll need to replace ^SPX with SPY.
|
tonyctl
7 posts
msg #114922
- Ignore tonyctl |
8/16/2013 1:00:38 PM
This is excellent info guys, thanks! Pardon my stupidity, but where is the selection method box you are referring to, Kevin? I can't seem to find it in the Backtesting settings. Also, I have tried replacing SPX with IXIC and generated rather interesting results :)
|
tonyctl
7 posts
msg #114925
- Ignore tonyctl |
8/16/2013 3:31:14 PM
NVM, just found it, thanks!
|