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Backtesting Tradingsystems and Moneymanagement



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Hello Tomasz,
I'd like to backtest a strategy, that not only includes particular 
technical buy and sell signals, but also specific entry and exit 
calculations and entry/ exit prices resulting from these calculations 
( comparable to the ones I posted here with my MM system ).

Is there a possibility, to add either ATR based stops ( profit and 
loss ) to the backtesting settings or to include specific formulae in 
the trading-system itself, which would override the settings in 
backtesting ?
I.e. in Omnitrader, you can set ATR based stops by defining 1. the 
period to calculate ATR ( 1 - xxx days ) and 2.the range of ATR ( 
i.e. 1.5 times or 2 times ).

This means, one can employ a trailing stop based on changing 
conditions for volatility.

Furthermore, it would be great to have the possibility, to backtest 
systems not only for a given account size, but on dynamic-
positionsizing.

I.e. , my system is able to determine the optimum positionsize, based 
on my risk rules and account size, for each security by using it's 5 
day or 10 day volatility range, stop-loss and profit targets.

This positionsize can vary considerably from day to day ( or week to 
week ) and makes sometimes adjustments necessary in order to get the 
best out of trade.

I have yet to find a software, that let's me backtest such a MM 
system. I know, that wealthlab is able to do this and the formulae 
look rather similar to AB's.

Here a few links to WB to demonstrate the functions I mean :

http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=FnTradingSystem.htm

http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=FnPositionManagement.htm

http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
page=SystemsCoding.htm

As for an example, here the kind of standardcode used in WB for Set 
position data :
n := CumDown( Bar, #Close, 4 );
if n >= 9 then
begin
BuyAtMarket( Bar + 1, 5000 );
SetPositionData( LastPosition, n );
end;

I'd like to use now a formula which refers to my system at this 
point :
BuyAt(Result of my formula)( Bar + 1, ( result of my formula );

Do you think something like this would be possible in AB ?

best regards
Stefan