I think Sam mentioned in another post that he is trading a non-margin account for tax reasons (perhaps it is Canadian TFSA or RRSP). Then it could be the case there. Would be great is someone could confirm.
Val
Fully Automated Stocks Trading
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I think Sam mentioned in another post that he is trading a non-margin account for tax reasons (perhaps it is Canadian TFSA or RRSP). Then it could be the case there. Would be great is someone could confirm.
Val
That's very interesting, thank you so much for your posts. Would you say that there are important things that you can do with Amibroker that you can't do with RealTest? Could you run a two parameter optimization with RealTest and have the results display in 3D? Some of the optimizations that I run for Amibroker can take several minutes and that's running up to 32 threads on the computer processor. Do you think RealTest would perform faster or slower? I would be hesitant to switch from Amibroker but I would certainly be open to using something that is simpler, faster and works better.
I trade margin, RRSP and TFSA accounts. I did actually test with a non margin account if I would be able to send out more limit orders than the funds available and it wasn't allowed. I also tried the same thing with IB conditional orders. Say for example, the stock opened at $10 and I wanted to have a limit order at 10% below the open or at $9. I could set up a condition that a $9 limit order will only be sent if the price was less than $9.10. However, each of my conditional orders was counted the same as the limit orders and IB stopped me after all my capital was used up.
This is not true at all. I even asked about this, there's some hard limit at 10,000 I believe was the answer. Where do you get your information? what's the specific error message?
Certainly. The first area would be power and flexibility of chart customization. My charts are flexible enough to be useful for reviewing the trades from a backtest, but that is their main purpose, so they're not as infinitely customizable as AB's.
The second area would be perhaps some kind of esoteric indicator that truly requires complex code to specify (can't practically be specified using a series of array assignments). RT has all the standard indicators but lacks, for example, matrix processing.
That said, there are things RT does that AB can't do or can only do with difficulty. A very simple example is to simply go through all the trades in a back test in sequence and see them (one at a time) on charts, automatically sized to show the entry and exit bars clearly. The multiple strategy support which Val has highlighted is, of course, another.
I have a powerful optimizer with multiple optimization modes including genetic. I don't currently have 3D graphing of 2-parameter results, though I do have a heatmap graph which actually conveys no less information than the 3D graph (it just looks less fancy). It also has a unique ability with 3+ parameter optimizations to show any 2 parameters as the average of all other results with those parameters.
RealTest is, in general, quite a bit faster than AmiBroker. This is especially true when using Norgate data with extra series such as original price or index constituency. The difference is mainly due to RT's data architecture. You define the subset of the database that you actually need, and run an import (extract that subset) once. After that, the extracted data remains in memory for very efficient (direct memory pointer) access.
I would be hesitant to suggest that anyone who has been through the full AB learning curve and developed their production strategies with it should switch (had this same conversation with Cesar Alvarez). That said, I'd be happy to have you try it and see if there are ways it could be useful to you, in parallel with AB. (One might be to simply have a way to double-check your AB backtest results.) And even if you don't find it useful, that would be useful feedback for me!
Thank you so much for your response @mhparker. I just realized now that you're the creator of RealTest. I wish you great success with it. I would certainly love to try using RealTest and let you know what I think of it.
I think Amibroker is a great program. The most important thing I'd like to do with any trading software, is to make the most profit with the least amount of effort and expense. I don't care how pretty I can make the charts or how complicated I can make the code. I'm not doing this to impress anyone, I'm doing it so I can make money.
It would appear that there may be a couple of things that are important to me, that RealTest can do better than Amibroker. As you and Val have pointed out, RealTest can properly backtest a system with limit orders and multiple positions without having to use a complicated custom backtest. The other thing is to be able to optimize a system a lot quicker. Sometimes I can spend days to create a trading system with Amibroker. Most of that time is spent waiting for optimizations to run. It's fun to catch up on my Youtube viewing while I'm waiting for each optimization to run, but unfortunately, I don't get paid for watching those videos. I should code a simple system both on Amibroker and on RealTest. Then I can try running an identical optimization on each program so I can compare how long each one takes.
I think Amibroker is a great program. The most important thing I'd like to do with any trading software, is to make the most profit with the least amount of effort and expense. I don't care how pretty I can make the charts or how complicated I can make the code. I'm not doing this to impress anyone, I'm doing it so I can make money.
It would appear that there may be a couple of things that are important to me, that RealTest can do better than Amibroker. As you and Val have pointed out, RealTest can properly backtest a system with limit orders and multiple positions without having to use a complicated custom backtest. The other thing is to be able to optimize a system a lot quicker. Sometimes I can spend days to create a trading system with Amibroker. Most of that time is spent waiting for optimizations to run. It's fun to catch up on my Youtube viewing while I'm waiting for each optimization to run, but unfortunately, I don't get paid for watching those videos. I should code a simple system both on Amibroker and on RealTest. Then I can try running an identical optimization on each program so I can compare how long each one takes.
Thanks! I'll be very happy to have you try it. With your knowledge and experience, I'm sure that you'll have many useful suggestions for its improvement.
You must be including a lot of parameters and steps. I used to also do this too, and actually added the "sequential" and "genetic" optimization modes as much more efficient ways to find the best parameter areas vs. combinatorial brute force. But these days, I rarely run an optimization. My preference is to combine more strategies, each of which has as few parameters as possible.
What was your anticipated expectation for this trading system? Why do you start to classify it in the "snake oil salesmen' system for sale" category?Meanwhile something I noticed last week - MR Long system PnL started looking like like one of those snake oil salesmen' systems for sale
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