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IMO Buy & Hold calculations should be based on prices at start and end dates
of date range under test. Using date of first signal would not give results
which could be used to fairly compare different systems fairly. Consider for
example the case of a system which does not generate its' first buy signal
until say 6 months into the period under test, during which stock has
already risen say 20%.
John
----- Original Message -----
From: <cliffelion@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, June 05, 2001 3:12 PM
Subject: [amibroker] Re: buy and hold results change
> Hi David,
>
> I am using the same timeframe, stocks and analysis settings. When I
> change systems the analysis results change as expected - but so do
> the buy and hold results. I want to use the buy and hold as the
> baseline to compare the different systems so I'm not sure how to
> compare the systems when the buy and hold results change.
>
> AMI may be using the buy point of the system to start the buy and
> hold calculation - which means that the system is influencing the buy
> and hold.
>
> This may be OK - but I would be interested to know if there are other
> methods for comparing systems.
>
> Regards,
>
> Cliff
>
>
>
> --- In amibroker@xxxx, "David Holzgrefe" <dtholz@xxxx> wrote:
> > I'm not sure if I follow what you mean Cliff
> > But if you change the system triggers? then I would expect that the
> buy sell
> > condition would change.
> >
> >
> > Regards David
> >
> > ----- Original Message -----
> > From: <cliffelion@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Tuesday, June 05, 2001 4:40 PM
> > Subject: [amibroker] buy and hold results change
> >
> >
> > > When I perform back tests over the same time period with the same
> > > stocks, I find that the buy and hold results change when I use
> > > different systems.
> > >
> > > I assume that this is because the buy and hold starts calculating
> > > when the system triggers a buy.
> > >
> > > Does anyone know if this is true???
> > >
> > > Thanks
> > >
> > > Cliff Elion
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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