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Steve,
When I run one of your indicators
against a group of stocks using Explore, most of them show 'Max $ DD' and 'Max %
DD' as zero. A few show non-zero values. Any idea why this is? Here is my
include file, in case this gives a clue:
TestBars
=126; // bars in testperiod (most recent
bars)StartDate = 991231; // start date for earlier test
periodEndDate =
0; // end date for earlier test
periodGoLong =
1; // 1 = take long positions, 0 = no long
positionsGoShort =
1; // 1 = take short positions, 0 = no short
positionsSignalPrice = Close; // array used for trade signals
and plotting indicatorTradeDelay =
1; // bars after trade signal to execute
tradeTradePrice = Open; // array used for trade
executionsInitEquity = 100000; // initial
equityReInvest = 1; //
1 = initial equity, 2 = compounded equityCommAmount =
0.5; // commission
amountCommType = 2; //
1 = $/trade, 2 = %/trade, 3 = c/shareEnterBarOne =
1; // 1 = always open trade on 1st test bar,
0 = don'tOptimizeBy = 1; // 1 =
annual % return, 2 = peak equity at close/all
trades
// 3 = % winning trades, 4 = avg %
return/trade
// 5 = % return/worst trade, 6 = drawdown/starting equity
Also AB settings use n and
n=1
Thanks,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Steve Dugas
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 05, 2003 4:13
AM
Subject: Re: [amibroker] Steve
Dugas
Hi Stephen - Thank you for the kind words. Please see my
replies to yourquestions below:----- Original Message
-----From: "Stephen Almond (T)" <<A
href="">s.almond@xxxxxxxxx>To: "Ami"
<<A
href="">amibroker@xxxxxxxxxxxxxxx>Sent:
Friday, April 04, 2003 5:15 AMSubject: [amibroker] Steve
Dugas> Steve, congratulations on you excellent .DLL. I would
like to make acouple> of comments:>> 1. On the
attached chart of your TRIX indicator, the buy/sell signals seem> too
good to be true. Seems the programme picks the peak before the>
subsequent down day which defines that peak (same for troughs, of
course).> Can you introduce a couple of days delay to make the trades
more 'real'?>The chart shows the trade signals while the
reported results are based onthe actual trades. TRIX uses a reversal
system, so the indicator will changecolor on the day that it reverses -
you can confirm this by hovering thecursor over the day that it changes
color, and also the 2 days before, andreading the values in the tool tips.
I deliberately programmed the charts toshow the signals so that it would
alert me to signals on the current bar.Actually, the signal is given on
the day that the DOT (not the line) changescolor. I added the dots because
in line mode, AB uses the new color toconnect the signal bar to the
previous bar, possibly giving the impressionthat the signal occurred
the day before it actually did. In real time itdoesnt matter because the
color change for the latest bar will will show upon the dot and the line
at the same time, but when looking at past signals,it is the first DOT of
a new color that signals the reversal.You can select when the actual
trades take place, similar to AA settings, bysetting the TradePrice and
TradeDelay variables at the top of the code. Theyare preset to execute the
trade on the open of the day following the signal,but for example, if your
style is to trade at the close on the day of thesignal, just change
TradePrice to "Close" and TradeDelay to "0".> 2. I notice that if I
use 63 days (~1/4 year) for my Testbars and get a> return of 12%, then
the Annual return is shown as 48%. Is the lack of> compounding correct,
or are you simply erring on the conservative side?The program uses 2
methods to figure annual return, one if you arereinvesting initial equity
and the other if you are reinvesting compoundedequity. If you want to
reinvest compounded equity (and also calculate annualreturn based on this
method), just set ReInvest variable to "2".>> 3. I note in
you help document that you say the backtest isn't completely>
consistent with the explorations. Do you hope to remedy this? As
anexample> if I use testbars =126, should I be able to backtest
over 126 bars and at> least get the same number of trades as indicated
by the exploration?>Well, actually, the DLL has its own
built-in backtester, which it runs whenyou do an exploration. That is how
it determines the optimal parameters - ittests all combinations you select
and returns the most profitable one. Idont think that the results will
ever be identical to AB's backtesterbecause there are a number of
variables to consider and I dont know exactlyhow Tomasz handles them all
in his code. For example, AB calculates interestwhen you are out of the
market - I didnt bother to add interest in the DLLbecause it seems like a
relatively minor amount these days, but maybe I willadd it in the future.
Another example is if you choose to reinvest initialequity, the DLL will
actually reinvest the lesser of initial equity oractual equity (in case
you lose money on the first trade for example, thisis more realistic) I
think this would correspond to using AB "positionsize"with "allow
shrinking" turned on . Another example is that the DLL allowsyou to open a
trade on the first bar of the test period if you want to,rather than wait
for the first signal to occur. If you select this method,it will look
backwards from the 1st test bar to find the previous signal andthen enter
the trade on the 1st bar of the test period. I added this becauseI usually
concentrate on what the stock has been doing very recently and ifsome
stocks make me wait for half the test period before opening a trade,that
makes it hard to make a valid comparison over such a short time. To getas
close to AB results as possible, you can set all parameters to be asclose
to AB settings as possible. In my limited testing of this, I have seenthat
it is possible to come pretty close.> Thanks for the great
programmeYou are welcome : - )>>> Send
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