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Sid,
Thanks for the clarification. I once was trying a system
and abondoned it because of the exit I'd see when in
fact no exit should have triggered given the trading rule. It
only happend on the last bar and thought somehow the
system was looking forward.
Well, I will now go back to esmperimenting more with that
abondoned system cos it had a good hit rate.
thanks
nand
--- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx> wrote:
> At 11:51 PM 04/27/2003 +0000, you wrote:
>
> >Sid,
> >
> >Using the bband entry exit system u posted a few messages
> >above, why does it exit the last day.
> >Example, it buys AXP on April 25 and also exits on April 25,
> >both prices as same $36,69 (Yahoo Quote).
> >I am confused abou the exit. Pleas clarify
> >
> >
> >nand
> Nand,
> Well it depends on which output you are looking at.
> In AA backtest it shows AXP as being an open long position which
was
> entered at the close on the 25th.
>
> In the System report, last trade line it shows the same entry on
the
> 25th. In addition it shows an artificial close that it uses to
determine
> the value of any open positions. This is the way the system report
> works. It does not mean an actual trade took place on the close of
the
> last day of data.
>
> On the chart you will see there is no close (solid red) arrow on
the 25th.
> ****
>
> Fred, I find this little routine is much quicker than writing a
real system
> when checking out possible trading ideas. I can pop in a few lines
of code
> and generate all the usual AB statistics such as W/L %, number of
> consecutive losers etc. Then I look at the chart with B/S arrows
and your
> equity curve with its statistics to complete the picture.
>
> I would also like to write a similar routine to evaluate exits by
using
> some simple default technique to generate entries which could then
have the
> exit under test applied. However it is a tricker proposition to
generate
> meaningful comparison values for an exit test. Entries are
easy...enter,
> count out X days and see what you get. Exit stats will be confused
by the
> indeterminate time elapsed between fake entry and the exit being
tested.
>
> Cheers
> Sid
>
>
> ---
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