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Hi again,
Trader already wrote it:
"When working with end of day data it makes no sense to even consider
trading on todays close. If you want any approximation to reality
you need to change to: buy tomorrows open (or later) for stocks and
tomorrows close for mutual funds."
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, October 13, 2001 10:10 PM
Subject: [amibroker] Re: The peculiar System
> Dear Tomasz,
> Well, it would be better to define "realistic" settings.
> Then we could have a common measure, and this will give a meaning to
> the backtesting procedure.
> So, what is your opinion ?
> Best Regards
> Dimitris Tsokakis
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Dimitris,
> >
> > I was not commenting your system. I think it is interesting and
> > I appreciate that you want to share with the others.
> >
> > The only thing I wanted to point out is
> > that you should use more realistic back testing settings
> > (this applies to ALL systems).
> >
> > The reason why I commented this particular e-mail
> > was that you were surprised why after reversing buy and sell
> > rules the system performed also quite well.
> > You said "It is not easy to explain this property."
> >
> > My answer was: unrealistic settings could (at least partially)
> > explain that.
> >
> > Best regards,
> > Tomasz Janeczko
> > ===============
> > AmiBroker - the comprehensive share manager.
> > http://www.amibroker.com
> >
> >
> > ----- Original Message -----
> > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Saturday, October 13, 2001 9:34 PM
> > Subject: [amibroker] Re: The peculiar System
> >
> >
> > > Dear Tomasz,
> > > Your comparison is not that fair and it is extremely simplified.
> > > If you read the text you replied, you will see that I had
> > > 32 trades from Jan 2000.(~450 trading days).
> > > This means 1 trade per 14 days.
> > > The neutral buy-sell system would be
> > >
> > > buy= cum(1)%14==1;
> > > sell=ref(buy,-13);
> > >
> > > ie 32 trades equally distributed in the whole period, whithout
> > > any other criteria applied.
> > > For your information, this system with the same settings for
> > > the same stock and the same period, gives Net % profit -24%.
> > > Best Regards
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > > > Dimitris,
> > > >
> > > > The reason why you get so good results is the one
> > > > I mentioned already sometime ago:
> > > > you set unrealistic entry/exit settings - buy on day's low
> > > > and sell on day's high.
> > > >
> > > > To prove it: please modify your selling formula to:
> > > >
> > > > sell = buy; /* sell on the same bar as you buy */
> > > >
> > > > and your system will be winning no matter
> > > > what is a buy formula with buying day low and selling day's
> high!
> > > >
> > > > You can go further buy on low and sell on high everyday -
> > > > This "system" generates 45272.59 % during 281 days on DJIA
> stocks
> > > > without ANY optimization.
> > > >
> > > > Great ? Not really - it is just an effect of unrealistic
> settings.
> > > >
> > > > Best regards,
> > > > Tomasz Janeczko
> > > > ===============
> > > > AmiBroker - the comprehensive share manager.
> > > > http://www.amibroker.com
> > > >
> > > > ----- Original Message -----
> > > > From: Dimitris Tsokakis
> > > > To: amibroker@xxxx
> > > > Sent: Saturday, October 13, 2001 1:30 PM
> > > > Subject: [amibroker] The peculiar System
> > > >
> > > >
> > > > I wrote yesterday that this system is strange.
> > > > One behavior never met before is the following:
> > > > I scan with the exposed buy/sell conditions
> > > > Buy=Cross(C2,C1);Sell=Cross(C1,C2);
> > > > The best % Net profit was +391% and all the 120 combinations
> > > > from optimization were profitable.
> > > > Then I inverse buy/sell with sell/buy, ie
> > > > Sell=Cross(C2,C1);Buy=Cross(C1,C2);
> > > > The best % net profit was 88.4% (!!) and the half of the 120
> > > combinations
> > > > were profitable, if for a period of
> > > > two years you were making mistakes all the time (32 trades).
> > > > It is not easy to explain this property.
> > > > Dimitris Tsokakis
> > > >
> > > >
> > > > Yahoo! Groups Sponsor
> > > >
> > > >
> > > >
> > > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> > > Service.
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
>
>
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>
>
>
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