Amibroker FAQ

[CanOz]

If I pay a fund manager a small management and/or performance fee, there's no need for me to even switch my computer on. No work at all. No responsibility, no daily commitment.

You still need to pay a management fee, usually 2/20 (2% management fee and a 20% out-performance fee ). Then you also need to grit your teeth through the drawdowns...

So lets do the math....

Typical Fund
$100,000 x 2% = $2000 + out-performance fee = 20% of capital gain over xx%

Drawdowns - no fund manager anyone here can afford would not have 2 losing years.

Flipper or custom coded system - $660.00 - $2500.00 one time fee

Drawdowns - you need at least two years to let a system run. 2 losing years in 10 is outstanding.



The best of the best - 10 Billion in Assets in 2010
Bruce Berkowitz's Fairholme fund...

Launched at the end of 1999, Fairholme Fund has seen a loss in two calendar years: 2002, when it was down 1.6% but still 20.5 percentage points ahead of the S&P 500, and 2008. And it's beaten the benchmark in every year except 2003, when it nonetheless posted a 24% gain.

To each their own, you can either be a fund manager or pay a fund manager.

CanOz

 

[CanOz]

Or perhaps this one GB....

Would you invest?

AROR +9.1%
MaxDD: -51.7%
Max Recovery 5.5yrs
Worst Year: -32.1%

CanOz

 

[captain black]

AROR +9.1%
MaxDD: -51.7%
Max Recovery 5.5yrs
Worst Year: -32.1%

hmm...there's been a few that have dined at that "buffet"...

 

[Gringotts Bank]

Or perhaps this one GB....

Would you invest?

AROR +9.1%
MaxDD: -51.7%
Max Recovery 5.5yrs
Worst Year: -32.1%

CanOz

Canoz, what makes me say those things is that I put quite a big value on being able to set and forget (fund manager), so long as the returns are reasonably close to what Radge is getting. I know you're saying most funds don't manage that in the long term, but one can always trade the funds, switching around every few months/years as cycles come and go.

The 10 minutes per day sounds easy until one has to do it every day for 2 years whilst the account is dropping in value. I couldn't do that. I know that's not the idea - one has to tough it out, but I'm just saying 2 years of losses would be too much for me, especially when it involves daily work.

tech, I don't use a fund manager. I'm just trying to make a comparison.

Radge has a good thing going. Personally I'd want him to tweak the system or find out what went wrong since 2011.

 

[captain black]

Personally I'd want him to tweak the system or find out what went wrong since 2011.

The system is trading within it's tested metrics, there's nothing wrong with it. It's a trend following system that will suffer longer term drawdowns than a mean-reversion or shorter term momentum based system. That particular system does quite well on a weekly basis too from memory so there's not a lot of work in it and over the long term it easily outperforms the average fund manager.

 

[tech/a]

Canoz, what makes me say those things is that I put quite a big value on being able to set and forget (fund manager), so long as the returns are reasonably close to what Radge is getting. I know you're saying most funds don't manage that in the long term, but one can always trade the funds, switching around every few months/years as cycles come and go.

The 10 minutes per day sounds easy until one has to do it every day for 2 years whilst the account is dropping in value. I couldn't do that. I know that's not the idea - one has to tough it out, but I'm just saying 2 years of losses would be too much for me, especially when it involves daily work.

tech, I don't use a fund manager. I'm just trying to make a comparison.

Radge has a good thing going. Personally I'd want him to tweak the system or find out what went wrong since 2011.

Well your using a poor example.
The chart offered up by Can Oz

ISNT his ( Radges ) it's a system disclosed in " Un holy grails "
It's called " The Flipper "

 

[CanOz]

Or perhaps this one GB....

Would you invest?

AROR +9.1%
MaxDD: -51.7%
Max Recovery 5.5yrs
Worst Year: -32.1%

CanOz

Well done Captain...indeed the Sage Of Omaha himself, Warren Buffet. The 20% Flipper beats him with one hand tied....

CanOz

 

[CanOz]

The system is trading within it's tested metrics, there's nothing wrong with it. It's a trend following system that will suffer longer term drawdowns than a mean-reversion or shorter term momentum based system. That particular system does quite well on a weekly basis too from memory so there's not a lot of work in it and over the long term it easily outperforms the average fund manager.

Captiain...

Exactly. GB once you start programming and testing more of these, assuming you will, you'll see that no matter what you do there will be a scenario where the system will draw down. You can't just stop trading it or "tweak" it out of it.

CanOz

 

[CanOz]

The Amibroker coded 20% Flipper vs The Sage of Omaha....just an example of what the small retail trader can do with 100k left alone and traded/compounded in a disciplined fashion...

 

[Gringotts Bank]

Canoz, if that's the flipper then what is chart in the post #1676?

 

[CanOz]

Canoz, if that's the flipper then what is chart in the post #1676?

I thought you might have guessed....it's a different market, the ASX. the more recent equity curve is of the flipper traded on the US markets.

CanOz

 

[Trembling Hand]

Personally I'd want him to tweak the system or find out what went wrong since 2011.

The system is trading within it's tested metrics, there's nothing wrong with it.

Comment GB?

 

[SuperGlue]

Need help with converting numeric dates to real proper dates (04/01/2013) for Automatic Analysis.
Did look in Amibroker help reference, couldn't get my head around DateNUm(), etc...


//Dividend, Yield and dates

DIV = GetFnData("DividendPerShare");
DIV_PAY_DATE = GetFnData ("DividendPayDate");
DIV_EX_DATE = GetFnData("ExDividendDate");
DIVYield = (GetFnData("DividendPerShare") / C) * 100;
Filter = DIV;
DateNum ();
AddColumn(C,"Close", 1.3);
AddColumn( DIV, "DPS");
AddColumn( DIVYield, "Dividend Yield %", 1.3);


AddColumn (DIV_EX_DATE, "Ex Date");
AddColumn (DIV_PAY_DATE, "Pay Date");

Got it to work, made it more simple:
---------------------------------------------------------

//Dividend, Yield and dates


Filter = GetFnData("DividendPerShare");

AddColumn(C,"Close", 1.3);
AddColumn(GetFnData("DividendPerShare"),"DPS");
AddColumn(((GetFnData("DividendPerShare") / C) * 100), "Dividend Yield %", 1.3);

AddColumn(GetFnData("ExDividendDate"), "Ex Date", formatDateTime);
AddColumn(GetFnData("DividendPayDate"),"Pay Date", formatDateTime);

--------------------------------------------------------


Dividend & Dates from Commsec.
Unfortunately Amibroker doesn't have space for inputting Interim EX & pay dates.

 

[Gringotts Bank]

Comment GB?

I accept cap's comment. Bandy has some way of telling whether a system is broken or just having a bad run. I guess they're using that as a measure. If I was going to buy the system, I'd ask about that.

 

[RutheezKey]

Hi All,

I'm sorry to always be asking for help here (although I've previously shared some brief segments of code). Anyway, when considering a US market day of 390 minutes, one should be able to configure ten equal bars ---- meaning each bar would contain 39 minutes of market data.

Well, I unfortunately am too stupid to figure out how to configure AB to give me this presentation. Any help with this problem will be greatly appreciated.

TIA,
RutheezKey

p.s. I'm using IQFeed

 

[captain black]

Hi All,

I'm sorry to always be asking for help here (although I've previously shared some brief segments of code). Anyway, when considering a US market day of 390 minutes, one should be able to configure ten equal bars ---- meaning each bar would contain 39 minutes of market data.

Well, I unfortunately am too stupid to figure out how to configure AB to give me this presentation. Any help with this problem will be greatly appreciated.

TIA,
RutheezKey

p.s. I'm using IQFeed

You can set a custom time interval via "Tools -> Preferences -> Intraday". Change any of the custom time interval amounts to 39 minutes.

 

[RutheezKey]

Thanks CB,

I did that and got 11 bars. I discovered that I must, in "database settings", have the trading hours end at 15:59 (that's 3:59 NY time)-----then I get the desired 10 bars of equal length.

Later!

 

[Gringotts Bank]

Guys, some help pls?

On the chart below, there's two low pivots circled. They are found using Zig function.

How do I find the HHV (circled) in the space between the two low pivots? (I don't want to use Zig for this).

Thanks.

 

[RutheezKey]

Hi GB,

How about building a swing-chart using "fractal pivots" --- see Ed Pottasch's work in AFL lib. @AB.com

Then you can calculate the intervals in bars (between consecutive lows/highs). Then use the HHV/LLV function to gather the "extreme" opposing pivot.

This has worked for me in the past.......just an idea.

 

[Gringotts Bank]

Hi GB,

How about building a swing-chart using "fractal pivots" --- see Ed Pottasch's work in AFL lib. @AB.com

Then you can calculate the intervals in bars (between consecutive lows/highs). Then use the HHV/LLV function to gather the "extreme" opposing pivot.

This has worked for me in the past.......just an idea.

Hi Rutheez, I have a lot of Ed's stuff on my PC, but as for deciphering the fractal pivot code....

Can you offer any clues? My coding ability is at the basic level.