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<SPAN
class=540164814-20102003>understood, if the total histories are different, not
just their order, sorry.
<SPAN
class=540164814-20102003>
<SPAN
class=540164814-20102003>dave
<BLOCKQUOTE
>Your
missing something :) Pal wrote that he was missing the first two trades.
Here is a small example I just did in excel. Two accounts both starting
out with 1000. On the column on the left, I made 100% profit on the first
trade, 90% on the second, etc...The last trade I made 10%, compounded. I
only took out the 100% profitable trade on the other column. Everything
else the same. Quite a difference in equity,
corrrect?1000
10002000
19003800
34206840
581411628
930218605
1395427907
1953539070
2539650791
3047560949
3352267044 John--- In
amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:> it's counterintuitive to some degree, but 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.> > $10k x 150% x 50% is the same as $10k x
50% x 150%> > because> >
$10k x 150% = $15k and $15k * 50% = $7.5k>
and> $10k x 50% = $5k and $5k * 150% = $7.5k> > >
or am I missing something?> > dave> 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,> >> >
Pal
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