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Hi Fred,
yes very true.
thanks for the tips
UM
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, April 28, 2003 5:31 PM
Subject: [amibroker] Re: Correctly backtesting a system
> I would suggest two things to you ...
>
> 1. I hear what you are saying about news driven events whether they
> are geo-political or earnings related, but I think it best to at
> least know the effects these are likely to have otherwise one may be
> in for a large gotcha when trading with real dollars.
>
> 2. Don't limit your testing to the bear market. If it isn't already
> then sooner or later this one will be over after which time the
> system you are building & testing will have no "experience" with bull
> market conditions unless you test it during some length of time pre-
> 2000.
>
> These are just suggestions ...
>
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > 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@xxxx>
> > 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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