|
PureBytes Links
Trading Reference Links
|
<SPAN
class=927180012-20102003>it's counterintuitive to some degree, but <SPAN
class=927180012-20102003>whether your gains or losses come first doesn't effect
the final outcome (with the possible minor exception of interest effects).
multiplication is commutative, so the order in which several
multiplications are done doesn't matter.
<SPAN
class=927180012-20102003>
<SPAN
class=927180012-20102003>$10k x 150% x 50% is the same as $10k x
50% x 150%
<SPAN
class=927180012-20102003>
<SPAN
class=927180012-20102003> because
<SPAN
class=927180012-20102003>
<SPAN
class=927180012-20102003>$10k x 150% = $15k and $15k * 50% =
$7.5k
<SPAN
class=927180012-20102003> and
<SPAN
class=927180012-20102003>$10k x 50% = $5k and $5k * 150% =
$7.5k
<SPAN
class=927180012-20102003>
<SPAN
class=927180012-20102003>
<SPAN
class=927180012-20102003>or am I missing something?
<SPAN
class=927180012-20102003>
<SPAN
class=927180012-20102003>dave
<BLOCKQUOTE
>I
have a lot of reading to catch up so I don't know if anybody responded to
your equity line question.It sounds to me that you are compounding
your results, correct? If so a few big wins at the start of your equity
line vs several losses at the start will greatly affect your equity line.
Check the first several trades. Here is where it has the greatest effect.
A way around this is to test on a single issue or set
amount.Regards,John--- In amibroker@xxxxxxxxxxxxxxx,
"palsanand" <palsanand@xxxx> wrote:> Hi,> > Here is
an interesting observation on system testing:> > Say you run a
system test over 10,000 bars of data, then print out a > chart of
the system's equity line. Then repeat the test, but start > 100 bars
later. Let's say two trades were included in those 100 bars, > so
they've been dropped. Now print the second equity line and compare
> it to the first. You'd get exactly the same equity line, but 100
bars > shorter. Right? Wrong! > > When I do this I
get a radically different equity line on the second > test, i.e.,
they are not near-mirror images of each other. My hunch > is that a
form of the chaotician's "butterfly-effect" has arisen: > changing any
given trade's market position (long, short, flat) will > effect in a
chain reaction all the subsequent trades in complex and > unexpected
ways. Here dropping the first two trades could very well > change the
system's market position when the third trade is > calculated, and so
on. > > I believe this observation has profound and unfortunate
implications > for the robustness of system testing. It's a second
and more subtle > problem that lies behind the mere
curve-fitting/optimization problem. > > If dropping a couple
of early trades will always effect later trades, > then there's no
truly "neutral" starting point with any test data. > Where your test
data starts determines the final test results just as > much as
your system does. > > The success or failure of many different
mechanical systems is > predicated to a surprising and varying degree
on the sequence of > events just prior to the first actual trade
generated by the system. > > The trade setup and timing of
the first trade can have a profound > effect on the subsequent trading
results. The circumstances and > timing of entry into the first trade
can sometimes make a huge > difference in the overall trading
performance. > > Regards,> >
PalSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|