I don't receive these posts in the mail, and Yahoo strips out the images, so I can't see your image.
However, it doesn't matter. The bias is not the number of long vs. short trades, but rather the number of days long vs the number of days short. Even then, you don't care. Since the second script applies your strategy to detrended data, all bias is removed from the results. The only answer you want to know is whether your strategy performance is better than zero, with statistical significance, once the position/trend bias has been stripped out. You get that answer by comparing the mean of the second script results (i.e. your strategy) to the mean of the first script results (i.e. the market). The scripts have already stripped all position bias/trending. The mean of the first results will always be approximately zero. The mean of the second results will reflect your strategy's predictive ability. A t-test will tell you if the difference is more than just chance. Mike --- In [email protected], "Louis Préfontaine" <[EMAIL PROTECTED]> wrote: > > Hi Mike, > > I attached an image of what I got. I suspect that the green/red arrows may > be the buying/selling signals. So if there are more red than green then the > system has a negative bias, or if it stays with a red longer than with a > green it is negative, right? Could you please confirm this? > > I tried one of my own formula which has a strong positive bias (like making > zillions of money in the techno-bubble and losing from 2000 to 2003) but I > got more red arrows then green. Maybe there is something that is not right? > > Please tell me if you can't see the image. > > Thanks, > > Louis > > 2008/3/3, Louis Préfontaine <[EMAIL PROTECTED]>: > > > > Hi Mike, > > > > I am not sure I understand. If the first script did it all, why did you > > recommand me to add all the close and then divide by the number of close to > > get the average? What was the use of this operation? And why the second > > script, which creates yet another quote with the ELR alone... I think I'd > > need to subtract the ELR from the actual quote, but how to do that... I am > > not sure I understand how I can have a detrended data that can be useful > > with my rules to get a ratio of buying/selling (short/cover) signals that > > would allow me to know if a have a positive/negative bias. > > > > Could you please explain to me how you actually use this/those script(s) > > to see if your rules has a bias? > > > > Thanks! > > > > Louis > > > > > > > > 2008/3/3, Mike <[EMAIL PROTECTED]>: > > > > > > I believe that SetBacktestMode, or at least some of its argument > > > values, were introduced in more recent versions of the product. Since > > > I'm setting it to the default, you can just leave it out. > > > > > > As for the ALR, my first script (Detrend.afl) does everything for > > > you. The values held in the Close field of the composite symbol (e.g. > > > ~SP-500) will *already* have the complete, detrended and adjusted > > > value. Nothing more for you to do. > > > > > > Mike > > > > > > --- In [email protected] <amibroker% 40yahoogroups.com>, "Louis > > > Préfontaine" > > > <rockprog80@> wrote: > > > > > > > > Hi Mike, > > > > > > > > Thank you so much for your reply. I really appreciate your step-by- > > > step > > > > advices. This is really amazing to see the work you've done with > > > Aronson's > > > > ideas! > > > > > > > > I tried to follow your step-by-step guide but unfortunately it > > > seems there > > > > may be a mistake in the following code: > > > > > > > > SetTradeDelays(1, 1, 1, 1); // All trades on next Open afterEOD > > > Signal > > > > SetBacktestMode(backtestRegular); // One symbol, no redundant > > > signals > > > > SetOption("InitialEquity", 100000); > > > > SetOption("AccountMargin", 100); > > > > > > > > For some reason I get an error Line 2, Col.: 16 Error 30. Syntax > > > error. > > > > > > > > Did I do something wrong? Is it possible to do the same thing in > > > another > > > > way? > > > > > > > > Anyway I now fully understand what we're trying to do here. After > > > I got the > > > > ALR for each day, all that will be needed will be to subtract it > > > from day1 > > > > to day 2 log. Then we will need to set rules with +1 and -1 > > > value... Well, > > > > I am not 100% sure I fully understand, but it's getting close. If > > > I can > > > > only get past this error... > > > > > > > > Thanks a lot! > > > > > > > > Louis > > > > > > > > > > > > > >
