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the Buy/hold starts the calculation from the first period in the range
condition ,
When if fact the AFL will may not start calculations for say xn periods
after the date.
Giving a unequal comparison ?
an example would be ..
we set our search for a cross over of a mov but because the stock in a
steady up trend the mov afl is not triggered for several months when a small
pull back occurs ..trigging the afl but the buy/hold has started counting
the returns from day 1 of the range period ..
A valid point John I haven't look to confirm if this is the way AB does the
calculation.
This would explain why its hard to best the buy/hold .
included is a image of an example search
some unexpected results maybe the sell = sell OR lastbar; doesn't get
counted in the calculations for the afl ?
Please excuse me if I'm barking up the wrong tree ( got it wrong)
but I thought I would post a detailed answer so as newer ppl could get a
hold on the question .
range was set to 12 mth 06.06.2000 to06.06.2001
TJ will know
Regards David
----- Original Message -----
From: "John R" <jrdrp@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 06, 2001 8:40 AM
Subject: Re: [amibroker] Re: buy and hold results change
> 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/
> >
> >
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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