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Chuck,
You should check all settings especially
COMMISSIONS.
If your system was written in Metastock you may
consider setting options so that
AB emulates Metastock backtester:
a) since Metastock is NOT able to trade single bar you may
want to UNMARK
"Allow same bar exit (single bar trade)"
b) since Metastock always exits trade on reverse system you
may want to MARK
"Reverse entry signal forces exit"
You should also check Trade price and delays.
And then backtest SINGLE stock and look at the result
table
- the results should be the same as in Metastock.
Once you ensured that your settings and formula are the
same (or work the same) as in Metastock
you can go on with optimization and/or multiple stock
backtest.
Best regards,Tomasz
Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, March 13, 2003 4:22
AM
Subject: [amibroker] Optimization
questions
I
would appreciate it if someone could help me to understand what I'm seeing in
an optimization run.
<FONT face=Arial color=#0000ff
size=2>
I am
running about 1000 combinations of parameters over 7,500 stocks over
15 years of daily data. Fortunately, my PC has plenty of
grunt and the run actually finishes.
<FONT face=Arial color=#0000ff
size=2>
Most
columns in the results grid show negative results. Net
profit, RAR, Average Trade, etc. are all negative and the profit factor is
less than one.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>You might be tempted to say "try another
system".
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>BUT... the composite equity curve is showing a very positive and
consistent profit. Since this system was converted from a
profitable MetaStock system, I expected to see a profitable equity
curve. I sorted the results by "Average Trade" and then did a
backtest on the highest ranked set of parameters, even though the average
trade was showing as a negative value.
<FONT face=Arial color=#0000ff
size=2>
I am
building the composite equity by saying:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>AddToComposite(Equity()/1000, "~Composite", "X");
<FONT face=Arial color=#0000ff
size=2>
The
reason I divide by 1,000 is so that the profit values are shown in an
acceptable format without overflowing into scientific notation. The
equity curve is a very attractive 40% angle, gradually going from zero to $30
million.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Since the equity curve looks like what I expect, why don't I see
positve values for the important metrics like RAR, Average Trade,
etc.?
<FONT face=Arial color=#0000ff
size=2>
I
want to believe the equity curve, of course. But I'm uncomfortable
seeing all the negative metrics.
<FONT face=Arial color=#0000ff
size=2>
I'm
also uncomfortable simply selecting the highest ranked set of parameters when
the best value is negative.
<FONT face=Arial color=#0000ff
size=2>
Any
assistance or comments would be appreciated.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2> Send
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