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Re: [amibroker] Optimization questions



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Forgot one thing: you may also wish to unmark "activate stops 
immediatelly" box 
in the settings to simulate MS backtest.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Tomasz Janeczko 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Thursday, March 13, 2003 8:31 
  AM
  Subject: Re: [amibroker] Optimization 
  questions
  
  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> 
    <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> 
    <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> 
    <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> 
    <FONT face=Arial color=#0000ff 
    size=2>Any assistance or comments would be appreciated.
    <FONT face=Arial color=#0000ff 
    size=2> 
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