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RE: [amibroker] back test versus porfolio back test



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<SPAN 
class=642595516-09102003>all understood tomasz.
<SPAN 
class=642595516-09102003> 
<SPAN 
class=642595516-09102003>sorry if I seemed impatient, didn't mean to at all. I 
know you have a ton of stuff on your plate, and my situation wasn't simple. I 
also know that I've been the perpetrator of many a user error 
(:-)...
<SPAN 
class=642595516-09102003> 
<SPAN 
class=642595516-09102003>the original post I replied to was on the main list, so 
that's where I replied. I'm not sure if yuki's on the beta list or 
not.
<SPAN 
class=642595516-09102003> 
<SPAN 
class=642595516-09102003>take care,
<SPAN 
class=642595516-09102003> 
<SPAN 
class=642595516-09102003>dave
<SPAN 
class=642595516-09102003> 
<BLOCKQUOTE 
>
  First: there is a list to discuss beta 
releases:
  <A 
  href="">amibroker-beta@xxxxxxxxxxxxxxx 
  
   
  <A 
  href="">http://www.egroups.com/messages/amibroker-beta
   
  Second thing: there are no known problems with 
  portfolio backtester in regular mode
   
  Third thing: your bug report is in the queue. You did not 
  received the answer because
  I have lot of support work (not connected with bug reports) 
  and bug reports are time consuming
  so they are processed with 2nd priority.
   
  Fourth thing: upto now I have received a couple of 'bug 
  reports' about portfolio backtester
  but each turned out to be user error. 
   
  Best regards,Tomasz Janeczkoamibroker.com
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    Dave Merrill 
    
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Thursday, October 09, 2003 4:34 
    PM
    Subject: RE: [amibroker] back test 
    versus porfolio back test
    
    <SPAN 
    class=928301414-09102003>have you checked if there are important differences 
    in the actual trades? I assume, since you're comparing the 
    results, that you're not using any portfolio features that you *want* to 
    make it behave differently in that mode, right?
    <SPAN 
    class=928301414-09102003> 
    <SPAN 
    class=928301414-09102003>one reason I ask about the actual trades is that 
    while working on portfolio-based systems recently, I've noticed what may be 
    some strange sell behavior, or rather lack of sells. it's come up in a 
    pretty complex environment, and I'm not 100% certain my code isn't causing 
    it in some way, but I haven't seen how it is, yet. I sent in a possible bug 
    report about it and haven't heard back, probably because it's not a simple, 
    easy to isolate situation that would have been easy to confirm or explain 
    away.
    <SPAN 
    class=928301414-09102003> 
    <SPAN 
    class=928301414-09102003>for example, one system switching on fairly 
    fast indicators showed some holdings lasting multiple years. I can see 
    on the charts that the relevant indicators crossed their thresholds many 
    times, without generating a sell. also, the system had a 30% stop loss in 
    place, that likewise didn't sell. I discovered this while investigating some 
    trades with uncharacteristically large losses, like 87%. sometimes things 
    like that do happen if a stock breaks really quickly through your stop, but 
    here, the losses occurred over a very long period. the expected sells never 
    occurred, neither from my indicator-based code nor from the stop 
    loss.
    <SPAN 
    class=928301414-09102003> 
    <SPAN 
    class=928301414-09102003>as I said, I wrote <A 
    href="">bugs@xxxxxxxxxxxxx about this; 
    hopefully I'll hear back at some point.
    <SPAN 
    class=928301414-09102003> 
    <SPAN 
    class=928301414-09102003>dave
    <BLOCKQUOTE 
    >I'm 
      playing with some simple ideas right now, and I find that I amgetting 
      dramatically different test results from the regular backtester and 
      the new portfolio back tester.  I realize the latter is abeta 
      while the former is not, however the former is showing a niceprofit on 
      the report summary, while the latter is showing a loss.Anyone else 
      getting conflicting results like that?  Shouldn't themoney totals 
      be the 
same?Yuki






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