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I
didn't comment before, but in my opinion, using a one cent commission rate is
not very realistic. Many in this group tend to use 0.5%. I use
1.0% to make sure that I include adequate slippage on trades that enter at the
next open.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Another thing... I don't know about anyone else, but I ALWAYS have my
interest rate set to zero. Otherwise, a system that isn't in the
market very often or uses a small percentage of available capital can make
enough money on interest to cover up deficiencies in the trading
system. After deciding that the system has merit and selecting
parameters, etc., I may set the interest to some value to see how a fund using
the system might fare.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Stewart
[mailto:stewart@xxxxxxxxxxxxxxxx]Sent: Saturday, April 19, 2003
6:37 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: Help - Unrealistic Results (for Stewart)
The defaults as shown, give the results:<FONT color=#0000ff
size=1>
ApplyStop(<FONT color=#0000ff
size=1>Optimize( <FONT color=#ff00ff
size=1>"Type", <FONT color=#ff00ff
size=1>1, <FONT face="Courier New" color=#ff00ff
size=1>1, <FONT face="Courier New" color=#ff00ff
size=1>1, 1<FONT
size=1> ),Optimize(
"Mode", <FONT
color=#ff00ff size=1>1,<FONT face="Courier New"
color=#ff00ff size=1>1, <FONT face="Courier New"
color=#ff00ff size=1>1, <FONT color=#ff00ff
size=1>1 )
,Optimize(
"Amount", <FONT
color=#ff00ff size=1>0, <FONT color=#ff00ff
size=1>0, <FONT face="Courier New" color=#ff00ff
size=1>0, 1<FONT
size=1> ),1,<FONT
color=#ff00ff size=1>1);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003 11:35
PM
Subject: RE: [amibroker] Re: Help -
Unrealistic Results (for Stewart)
No
worries... we are all just trying to help and we don't expect you to divulge
your system... especially one that looks that good!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The problem is that it is hard to debug a problem when the system
supplied isn't the same system that produced the results
supplied.
<FONT face=Arial color=#0000ff
size=2>
As
you can see from the other posts, several of us ran your system, either on
our own basket(s) of stocks or your specific stocks and (I think) we all got
negative returns. There must be some sort of "future leak"
involved in one or more of your settings. As you can see in your
results, every trade lasted exactly one day... highly suspicious and
possibly suggesting future leak somewhere.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>I'll have a closer look later today and I think others are looking as
well.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The system you supplied was set up for optimisation. Your
performance figures were based on only one set of parameters derived from
your optimisation. It would be a HUGE benefit to anyone trying to help
you to know exactly which stop parameters were used to derive the
spectacular results.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Cheers
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Stewart
[mailto:stewart@xxxxxxxxxxxxxxxx]Sent: Saturday, April 19, 2003
6:19 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: Help - Unrealistic Results
Chuck (and Anyone Else that
missunderstood),
I sincerely apologize if my post was
misleading. My original message did say "similiar", and I assumed the
people helping had seen that. I've been following this group for awhile
(although silently until fairly recently), and it seems fairly common not
to divulge the system specifics when trying to debug something. Having
said that, my actual system was almost exactly as my example, however, the
prices were actual composite prices that I built (e.g. Close of MSFT +
Close of Cisco)/2. I am fairly certain that the issue isn't with the
system conditions, but with the stop or other system settings, which
is what I was trying to highlight.
Regards,
Stewart
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003 9:45
PM
Subject: RE: [amibroker] Re: Help -
Unrealistic Results
<FONT face=Arial color=#0000ff
size=2>Like a lot of people on this board, I spent some time looking at
this particular post in an effort to help someone with a
problem.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Also, like a lot of others, I found that the system (as
presented) lost money no matter which stocks I tested it
on.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Then... we get a message that the system (as presented) was only
"similar" to the one with the problem.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>It's one thing to not divulge a good system to the
group and another to let us waste our time debugging a non-existent
system.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The original post did say it was "similar", so I'll confess to
reading too much into it.Send BUG
REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
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Service. Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
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href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
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href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
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Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
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