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Steve,
The
http://groups.yahoo.com/group/amibroker/message/43353
code may help your investigation for the recent years
DT
--- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve2@xxxx> wrote:
> Dimitris,
>
> You raise an interesting question. Just how long is a sensible
> backtest? Personally, I see no point in backtesting to 1960 let
> alone 1930. The computer was hardly invented then, never mind the
> internet.
> What I do like to see is a period of rising prices and a period of
> falling prices. I want to include the most recent data, so that
> means taking 2000-2003 as my falling period. The obvious choice for
> the rising period is now 1997-2000, the most recent relevant period.
> Hence my test period is usually 1/1/1997 to yesterday.
>
> I often think it would be beneficial if we all reported results for
> the same bunch of criteria, such as:
>
> Date: 1/1/1997 - present
> Initial equity: $10,000
> Compounded: Yes (or No?)
> Commission: 0.5%
>
> Etc. etc.
>
> Of course, I don't expect my preferences to be selected, but a
> discussion about a suitable set might be interesting.
>
> After such a discussion, I would happily share my most interesting
> backtests (methods & results). Would anyone else?
>
> Steve
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx> wrote:
> > Steve,
> > I understand your comments, but there is a more tough question:
If
> we
> > make a 10 or 20-year study and it is consistent to some basic
> > principles of the indicator and it is , hopefully, profitable,
> shall
> > we expect a repetition of the 20-year scenario ?
> > The 20-year study may be VERY attractive to force us think in
this
> > way. Is it correct? I really doubt.
> > Anyway, i will temporarily forget these hesitations and give some
> > long-term descriptions, just for the dialogue. Give me some more
> time
> > for the examples.
> > DT
> > > Dimitris,
> > >
> > > We have visited this area before. The D-Ratio indicator falls
> > apart once
> > > taken out of the last few years of bearish conditions. See the
> > attached
> > > chart where D_Ratio for ^VLIC took us out of the ^NDX in mid
> > November 1998
> > > at ~1460, and kept us on the sidelines as the ^NDX went to
~4700.
> > >
> > > I know you don't keep data back before 2000, but you should
in
> my
> > > opinion - unless you are sure that the coming year will be like
> > 2000-2002
> > > and not like 1997-1999! Even if you do not backtest on 1997-
1999
> > data, you
> > > should be prepared to observe the behaviour of your excellent
> > indicators
> > > during that period.
> > >
> > > Steve
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
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