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Thought I might just add something here about backtesting. I do copy the
backtest results of multiple securites to excel, but as a scan result
with the buy/sell and any stop losses dates noted as 1/0 columns, and
include the buyprice and sellprices. I can then set up a full list in
chronological order to see the actual dds and trades. I limit the size
of the positions in excel as I do not trade a single stock, and this
method allows me multiple positions to determine if within my overall
capital. If the running account balance is less than a trade size, then
no trade is taken. More to real life to me. I can also limit the trade
size in excel to a percent of my capital and the number of trades open
so that only (say) 5 open positions can be made at one time. These
things are not too difficult in excel with the basic functions
available, and a bit of lateral thinking to sort the mechanics of
writing them.
Cheers,
Graham
-----Original Message-----
From: Fred <fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx]
Sent: Thursday, 6 February 2003 2:15 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: NDX / QQQ - Can it be traded ? - Questions
Nand,
As I stated before, yes it is ...
I have no particular interest in writing and testing a non-
compounding system since at best it will understate the MDD's, but if
you do then by all means cut and paste the data from the trade list
into Excel and build your own results ...
I think you'll find results are CAR ~ 70% MDD's < 10%, both of which
IMHO are misleading. As I asked before what do you do with the rest
of the ca$h ? and although this might have trading limits for money
managers and some very high stakes traders, for the rest of the world
it won't for some time.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "nkis22 <nkishor@xxxx>"
<nkishor@xxxx> wrote:
> I am not challenging your system, just want to figure
> out somethings about system testing. And I don't think it
> is a boring/teasing discussion.
>
> Here again from your output:
>
> "Out 1/15/2003 26.74 1/21/2003 25.03 0.00 0.00 50222689.16
> Long 1/21/2003 25.03 1/22/2003 24.93 50222689.16 -200650.74
> 50022038.42 "
>
> So. taking 100000 as equity (shown in the report)
> the trade breakdown I get is:
>
> Long 1/21 100000/25.03 = 3995 shares
> Exit 1/22 3995@xxxx = 99595.35
> so, Loss is 100000-99595.35= (404.65) BUT loss in the report
> above shown is huge -200650.74!! So, the equity number is not
> working.
>
> Let me try with 50222689.16, equity at close of previous trade
>
> Long 1/21 50222689.16/25.03=2006499.76 shares
> Exit 1/22 2006499.76 @ 24.93 =50022039.18
> so, Loss is 50222689.16-50022039.18= (200659.97) which
> is correct, so the system is compounding, isn't it?
>
> If you turn off the compounding, how does the system perform?
> I'm curious, as to whether lack of compounding may diminish
> the profits. Because your system kicked in just before the
> bull run; you built up a large equity, perhaps large enough to
> sustain any major loss. The starting date for the test influences
> the profit.
>
> tia
> nand
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx>
wrote:
> > In regards to a variety of questions that have surfaced:
> >
> > Although trading QQQ's throughout the day is more like trading the
> > futures then the NDX cash, trading QQQ's at it's close or at the
NDX
> > cash close is a close approximation to NDX. The system I posted
> before
> > included a chart and a report that showed NDX as the trade
vehicle
> which
> > although not tradable per se should suffice as a proxy for
trading
> QQQ
> > at the close.
> >
> > If for some reason it doesn't, attached are a full and a recent
> chart
> > and the results of trading QQQ itself over its entire history. I
> don't
> > like to test using QQQ because its history IMHO is too short. The
> > results are more or less the same.
> >
> > Fred
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