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<FONT color=#000080
size=2>b:
<FONT color=#000080
size=2>
You do not
specify which mode you are talking about: regular mode or regular
portfolio mode.
When you enable
rotational trading, the set delays do not work...this is by design. The
current version only enters and exits on the CLOSE. But future releases
will let you control entries and exits.
<FONT color=#000080
size=2>
Some of the good
results may be because of the entry and exit at CLOSE. This is only
realistic if you are doing real time trading and can run the formula just before
market closes.
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: b519b
[mailto:b519b@xxxxxxxxx]Sent: Thursday, October 09, 2003 6:03
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
back test versus porfolio back testDave,I
sent a similar bug report in a few days ago. In my case, the entries and
exits wre market signals, so all trades should have been exiting at the
same time, but once in every 5 to 10 exits, one trade would not exit and
would remain "open" until the end of the test period - even if the end was
several years and 50 market exit signals later. In one test a portfolio of
5 was down to only 1 stock being traded after 10 years. The other 4 slots
in the portfolio were occupied by the trades that failed to
exit.As you say, it may be a tough bug for TJ to track down because,
at least in my case, it was only happening 4 times in several hundred
trades.However, the "possible" bug my previous post referred to
was of a different nature. I have to make some time to explore it a bit
more before sending in a bug report -- I want to make sure the problem is
not something in my AFL code or my data. But I will tell you what
it looks like, in case you have already seen somthing like it. It appears
that in some conditions the settradedelay does not take effect. Either
that or I have discovered the mother of all Holy Grails: 800%/year with
only 18% drawdowns. Have you noticed anything like
this?b--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill"
<dmerrill@xxxx> wrote:> 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?> > 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.>
> 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.>
> as I said, I wrote bugs@xxxx about this; hopefully I'll hear
back> at some point.> > dave> I'm
playing with some simple ideas right now, and I find that I
am> getting dramatically different test results from
the regular back> tester and the new portfolio back
tester. I realize the latter is a> beta while the
former is not, however the former is showing a nice>
profit on the report summary, while the latter is showing a
loss.> Anyone else getting conflicting results like
that? Shouldn't the> money totals be the
same?> > YukiSend
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