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Hi Fred,
on the other hand such events make it IMHO
impossible to "successfully" backtest a system
because they simply "disturb" the testing process,
and having a big impact on the overall performance, IMHO.
I have the feeling that using this method tells more
about a system's quality in the general case.
I must admit, I'm using my own backtester, which
is somewhat much different by design than that of AB.
There I simply specify the initial capital and define
on maximally how many securities it shall invest the
whole capital. And, the selection process is based on
individual scores the system calculates for each stock
(as usual based on some indicator values etc.) and then
picking the n best scoring for the actual test trades.
I tried the same code in ABs backtester (execept sorting/ranking,
because this is not possible in AB) also over the N100 and it gives
about 14% profit since 10/1/2001 whereas using the "sorting&ranking"
method gives about 71%. In both cases the mentioned filter was
applied, and also using same commissions etc.
I'll do some more experiments.
UM
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, April 28, 2003 4:26 PM
Subject: [amibroker] Re: Correctly backtesting a system
> UM,
>
> Personally I don't like arbitrarilly throwing away trades based on
> what your suggesting there i.e. moves of +/- 20%. There are no ways
> I know to avoid future price spikes because of news events or
> whatever in real life so IMHO they best be dealt with in trading
> systems as well. However to answer your question, that statement had
> no effect in most of the systems I use until I reduced the numbers
> down to +/- 4.x% at which point it started to have negative effects.
>
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > Hi,
> >
> > in the group "amibroker-ts" I've posted IMHO a very
> > important finding on how to correctly backtest a system.
> > I would like to ask people if they could apply the one line
> > AFL code on their trading systems and report if the
> > performance of their trading system significantly changes.
> >
> > I also would ask what others think whether such a procedure
> > during backtesting should be applied or not.
> >
> > PS: there was a corrected version of the formula posted
> >
> > Thx
> > UM
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