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Wayne
How about using random generator twice ... first pick your stock ... the
pick the entry date ... this would be even better (truly random) test in
that you use no entry formula at all
you will need to correlate your stock nuber and date bar number with the
random generator... but that should be quite doable.
I am not convinced that the random test coomparison is necessary ... beleive
a long term backtest is just as valid if you have various market
environments in that time frame
Ara
----- Original Message -----
From: "seneca_kw" <wwells@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, August 17, 2004 3:15 PM
Subject: [amibroker] Random trades: is Excel better than Amibroker?
> I hope I can generate interest in discussing what I think is an
> important topic: the use of random trades to evaluate backtesting
> results.
>
> Here's some background on what I'm trying to accomplish. This is
> based largely on Acrary's posts on Elite Trader.
>
> Consider a system that enters at the open, exits at the close, and
> generates 500 trades during the test period. For comparison, you
> would generate 500 random trades drawn from the same period, each
> with an entry at the open and exit at the close. You would repeat
> the random test at least 1,000 times. You could then see how your
> system test results compare to the random results. I won't go into
> the details of that step, but in general you're looking for profit
> results that beat at least 70% of the random tests.
>
> I've been unable to figure out how to do this in Amibroker. The
> tests have to do two things: 1) generate truly random trades; 2)
> generate a specified number of trades during the test period.
> For the first requirement, I used this formula based on one provided
> by Herman Van Den Bergen:
> Y = Random()*100;
> Buy = Cross(Y, 50);
> After a number of test runs, I became convinced that this was not
> generating truly random trades. For a 14 year test of 99 stocks,
> approximately 20% of the trades were occurring in the first month.
> This frontloading of trades happened consistently.
>
> In addition, when a trade signal was generated, multiple trades were
> generated on the same day. So there'd be no trades for weeks at a
> time, then 7 trades on the same day, then another dry period, and 6
> trades on the same day.
>
> These two observations convinced me that the trades were not being
> executed randomly, with each stock and each trading day having an
> equal chance of being selected.
>
> I discussed the second point in my previous thread ("How to Limit
> Number of Trades?"). Herman made a suggestion for dealing with this
> problem that I haven't followed up on yet.
>
> Unable to figure out how to get what I needed with Ambroker, I turned
> to Excel. I generated a complete trading history for the test period
> (entering at each open and exiting at each close for each stock). I
> exported this list to Excel and am developing formulas to randomly
> pull trades out of this list. It's been no picnic working with a
> spreadsheet containing over 260,000 trades.
>
> I have no doubt that I can get what I need using Excel but I can't
> help but think it would be easier and better to work inside
> Amibroker. Has anyone else gone this route or have any suggestions
> about how it can be done?
>
> Thanks,
> Wayne
>
>
>
>
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> http://www.amibroker.com/
>
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