A 68 indicator, hard-ranking system using Amibroker...Tom DeMark Sequential • Top System over Lookback: Pivot Point Squeeze (13 days) Next Steps Investing/Trading Goals Technical

A 68 indicator, hard-ranking system using Amibroker

H o w M a n y I n d i c a t o r s D o Yo u R E A L LY N e e d ?

M a r k B a t e s , C F Te

ATA S M e e t i n g W e d n e s d a y, M a y 5 , 2 0 2 1

Agenda

Amibroker Platform

Problems With Some Standard Approaches

Results

Theory, Approach and Considerations

Amibroker Considerations

Goals of the System

Goals of The Trading System

Investing/Trading Goals Technical Goals

• Acceptable Net RAR

• Acceptable Number of Trades

• Acceptable Average Bars Held

• Acceptable Trade Win Percentage

• Acceptable Max System Drawdown

• Runs Quickly even Intraday

• Backtests Quickly

• Scales well with more indicators

Design Goals

• +1 system makes it same or better

• Minimal number of head fakes

• Avoid “look forward” functionality

Amibroker Platform

My Experience with Amibroker Why Amibroker?

• User since 2007

• Using version 6.30

• Data comes from Yahoo Daily Close

• Have also used 5 min data from TD Ameritrade using API

• Regular feeds of data from FRED

• Array-based language

• Very fast processing

• Sophisticated backtester

• Monte Carlo analysis

As applied to this problem

• Many indicators at one time

• Ranking

• The Foundation by Southwind v13 – 2010


Theory – Inherent Issues With Technical indicators

• Trending and Trading Periods favor different indicator types

• Beta affects which indicators/values make sense

• A “system” that works for Stock A might not work for Stock B

• Market trends and economic cycles complicate success over time


Multi-indicator Approach And Challenges

• Build a “system of systems” that will adapt automatically

• “Survival of the Fittest” model reflects the market itself

• Addition of +1 system should not negate performance

• Use Techniques that don’t favor one oscillator type over the others

• Challenge: statistically relevant backtesting

Amibroker System Settings

General Settings System Specific Settings

• Trade Delay period (1,1)

• Initial Equity 100k

• Long-only Trading

• Long-Short calculations

• Lookback Period

• Short, Medium and Long Periods

• Number of “Winning” symbols

• Buy/Sell signal confirmation length

• Position Size is 1/n

Possible Ranking Factor(s)

• Gain during lookback period

• Gain over multiple economic cycles

• Maximize Expectation value

• Maximize Winning percentage

• Maximize RAR/MDD

• Choice: Total Return / Exposure

Indicator Examples

Types Individual Examples

• Leading

• Lagging

• Confirming

• Short Term

• Long Term

• Trend

• Momentum

• Volume

• Volatility

• Moving Average

• MACD

• Bollinger Band

• ADX

• PDI

• Slope Divergence

• Stochastic

• CCI

• Relative Strength

Systems Examples

• Swing Trading

• OBV variants

• Trend + Oscillators

• Money Flow

• Martin Pring

• Turtles

• DeMark variants

• Ichimoku

• Heikin-Ashi

• Adaptive Cycles

• Volatility

• Cycles

Theory Output Example

Setup

• Slider = 200 bars

• Shortperiod = 10 bars

• TopLimit = 3 strategies

Notes

• Green: model BUY

• Red: model SELL

• Blue: 200dma

• 9/16/2020 last day of BUY signal

Permutation System version 35 no restraints

final Buy=0 Sell=0

version 23

BuySum= 9.484883e+07

SellSum= 5.151071e+07

Tradecount= 166

RANKCOUNT

Rank=1 Formula=103 Name=MACD Shortperiod Equity=5.169183e+07

Rank=2 Formula=211 Name=Martin Pring KST Equity=5.151071e+07

Rank=3 Formula=105 Name=MA mediumperiod Equity=4.3157e+07

Rank=4 Formula=10 Name=Joanne Klein shortperiod Equity=3.941296e+07


Notes

• Formula 105 turned to SELL

• Aggregate pushed to SELL

• Actual trade at next day Open

• Number of participating systems can be varied

Permutation System version 35 no restraints

final Buy=0 Sell=1

version 23

BuySum= 5.250441e+07

SellSum= 9.261211e+07

Tradecount= 166

RANKCOUNT






Notes

• Every system has a rank and a signal

• One could count BUY v SELL signals, but that does not reward excellence

• Low numbers of participating systems give better, but more volatile, results





Rank=5 Formula=109 Name=BBandBot longperiod Equity=3.178877e+07

Rank=6 Formula=215 Name=Turtle Trading System Equity=2.940932e+07

Rank=7 Formula=248 Name=Dagnino 200dma System Equity=2.286805e+07

Rank=8 Formula=102 Name=MA longperiod Equity=2.253516e+07

Rank=9 Formula=204 Name=LinRegSlope mediumperiod Equity=1.716808e+07

Rank=10 Formula=205 Name=PDI/MDI mediumperiod Equity=1.643893e+07

Rank=11 Formula=235 Name=Mean Reversion Trading System Equity=1.526644e+07

Rank=12 Formula=219 Name=AFL - Premier Stochastic Indicator Equity=1.41556e+07

Rank=13 Formula=238 Name=MA Channel Breakout Equity=1.415363e+07

Rank=14 Formula=223 Name=AFL - The Quest for Reliable Crossovers Equity=1.360469e+07

Rank=15 Formula=217 Name=AFL - An Expert of a System Equity=1.130473e+07

Rank=16 Formula=213 Name=Dave Landry Pullback Scan Equity=1.102577e+07

Rank=17 Formula=231 Name=Version 5.0 - Trend and Oscillating Model Equity=1.048088e+07

Rank=18 Formula=106 Name=BBandBot mediumperiod Equity=9644544

Rank=19 Formula=246 Name=Keltner Band Trading System Equity=9317566

Rank=20 Formula=247 Name=Multi Timeframe Exploration Equity=7390152

Rank=21 Formula=206 Name=Chaiken longperiod Equity=6535885

Rank=22 Formula=112 Name=ATR System Equity=6150601

Rank=23 Formula=11 Name=Joanne Klein mediumperiod Equity=6106582

Example 1 – Setup –Maximize RAR/MDD

Preliminary Optimization Prior to Example

• Optimization using S&P 500

• Data Optimization 1/1/2007 to 4/28/2021

• Maximize RAR/MDD

• Slider 2000 bars: represents an 8+ year daily equivalent but tends to exclude short term irreproducible results

• Short Period: 20 bars

• Top Limit: 1 system

• Buy Signal Confirm: 20 bars

• Sell Signal Confirm: 9 bars

Example 1 –S&P500 optimization Results

Results of Backtesting Using Previous Setup but with x Top Systems – 1/1/2007 to 4/28/2021

Top RAR% Exposure% Trades Win% MaxDD RAR/MaxDD

1 13.18% 55.63% 4286 57.96% -41.39% 0.32

5 12.00% 46.68% 5918 57.06% -34.94% 0.34

9 11.52% 43.16% 6397 55.70% -34.78% 0.33

13 11.70% 41.28% 6397 55.14% -34.85% 0.34

17 11.89% 40.11% 6429 53.63% -33.48% 0.36

21 11.89% 38.10% 6392 53.72% -32.21% 0.36

25 11.70% 37.55% 6386 52.60% -31.43% 0.38

29 11.32% 37.37% 6370 52.14% -31.42% 0.38

33 11.23% 37.02% 6345 51.80% -31.06% 0.36

37 11.59% 36.70% 6332 51.78% -30.98% 0.37

Example 2 – Setup –Maximize Net Percent Profit

Preliminary Optimization Prior to Example

• Optimization using S&P 500

• Data Optimization 1/1/2007 to 4/28/2021

• Maximize Net Percent Profit

• Slider 200 bars

• Short Period: 10 bars

• Top Limit: 24 systems

• Buy Signal Confirm: 6 bars

• Sell Signal Confirm: 18 bars

Example 2 –S&P500 optimization Results

Results of Backtesting Using Optimized Setup with 24 Top Systems

• Annualized RAR = 16.16%

• Trades: 14353 (avg bars held = 202)

• Win % = 58.20%

• Max DD = -36.96%

• RAR/MaxDD = 0.44

Example 2 –K - Kelloggs

Results of applying Optimized S&P Setup with 24 Top Systems

• Annualized RAR = 10.84%

• Trades: 27 (avg bars held = 319)

• Win % = 55.56%

• Max DD = 0.39%

• RAR/MaxDD = 28.04

• Top 1-5 Systems for K on 4/29/2021:

1. AFL – Predictive Indicator

2. Williams ShortPeriod Equity

3. Money Flow Index

4. Hawkeye Spread Analysis

5. Tom DeMark Sequential

• Top System over Lookback: Pivot Point Squeeze (13 days)

Next Steps

Investing/Trading Goals Technical Goals

• Acceptable Net RAR

• Acceptable Number of Trades

• Acceptable Average Bars Held

• Acceptable Trade Win Percentage

• Acceptable Max System Drawdown

• Runs Quickly even Intraday

• Backtests Quickly

• Scales well with more indicators

Design Goals

• +1 system makes it same or better

• Minimal number of head fakes

• Avoid “look forward” functionality

Documents

A 68 indicator, hard-ranking system using Amibroker...Tom DeMark Sequential • Top System over Lookback: Pivot Point Squeeze (13 days) Next Steps Investing/Trading Goals Technical