|
PureBytes Links
Trading Reference Links
|
Hi DIMITRIS,
Wednesday, June 23, 2004, 9:20:26 PM, you wrote:
DT> Yuki, the stats should read your stock data. What does your data
DT> say [after the merge procedure]? Do you have data for the
DT> non-trading days ? A CSCO trade buy on 18/6, sell on 21/6 is
DT> reported as Total # of bars in winners: 2 and *not* Total # of
DT> bars in winners: 4 because 19/6 and 20/6 were not trading days
DT> [it was a weekend], [I have no data for 19/6 and 20/6 ] How
DT> could your report "reads2 6-bar trade ??
I do not know DT. I seem to have a problem with this one stock, on
this one date, and it may be related to the gap, and that other
stocks do not have this gap, or it may be something else.
Here are some gory details:
1) The back test shows a long entry on March 5, 2003, closing with an
exit sell on March 12, 2003. There were no intervening bars for
*this* stock, but the market was open for other stocks of course.
2) The trade shows as 6 bars, and . . . it is, I notice, out of
sequence. (!) It is the *only* out of sequence trade in nearly a
thousand trades. Normally, they are listed in order of entry date.
This one comes between trades on March 10 and March 19 however. It
is out of sequence, and it is the only one.
3) I have an exploration that I run the night before to identify
setups. It's time-tested, and accurate. It shows this stock setting
up on BOTH March 3 and March 4. The data shows the March 3 setup did
not trigger on March 4, and the back test correctly shows no entry
then. The data also shows that the March 4 setup did trigger on
March 5. So the long entry on March 5 is correct.
So, the system is picking up the trade. It was a valid entry. And
it's selling it on the next bar (for *that* stock), which is March
12. But . . . the trade is out of sequence -- the only one in almost
a thousand trades, and it clearly says 6 bars, and that data is being
averaged into all parts of the back test stats where "bars" are
calculated.
So, I don't know what is wrong, but the data is clean, and my code is
fine.
Yuki
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|