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i doubt that he wants to use those last 2... ?? or the position size is
he's only testing on one ticker.
d
_____
From: kaveman perth [mailto:kavemanperth@xxxxxxxxx]
Sent: Thursday, November 04, 2004 5:59 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Amazing backtest ==> Automatic/program trading
You might want to add in some settings, especially the initital equity
and trades size. your settings in AA window could be a problem if they
do not reflect actual trade conditions.
here is a sample of what I use for various type of testing
SetFormulaName("LastWeek"); //name in backtest report
SetBarsRequired(4000,1); //needed line - do not remove
SetTradeDelays( 1, 1, 1, 1 ); //open & close trades delay
SetOption( "initialequity", 20000 ); //initial capital
PositionSize = 4000; //trade size
SetOption( "MaxOpenPositions", 10 ); //max trades open
SetOption( "PriceBoundChecking", 1 ); //trade within days bar
SetOption( "CommissionMode", 2 ); //brokerage 32.95 up to $30
trade
SetOption( "CommissionAmount", 32.95 ); //brokerage amount
PositionScore = 100/C; //backtest lower price stocks
first
BuyPrice=H; //buy at days high price
SellPrice=L; //sell at days low price
On Thu, 04 Nov 2004 22:39:07 -0000, Claud Hou <hclaud_98@xxxxxxxxx> wrote:
>
>
>
>
> Not sure about that...
> Will check after work...
>
> Well, can you please list the things to set/watch/do for precise
> backtesting? I did not do much backtesting before.
>
> Thanks.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > and the delay = 1?
> >
> > d
> >
> >
> > _____
> >
> > From: Claud Hou [mailto:hclaud_98@x...]
> > Sent: Thursday, November 04, 2004 5:33 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Amazing backtest ==> Automatic/program
> trading
> >
> >
> >
> > Actually the program is not mine. I just got it yesterday from this
> > board. I only did some simple parameter tuning. My own program does
> > not perform as good as this one. So I did not mention it.
> >
> > Maybe there is some thing wrong with the way I ran backtests?
> >
> > 1) Set all trading price at Open.
> > 2) No stop loss.
> > 3) No optimizations
> >
> > here's the program:(you can run the same testing)
> > ===================================================
> > WildPer = Param("Wilder Time Periods", 9, 5, 100, 1 );
> >
> > Value = Param("RSI value", 50, 1, 100, 0.1 );
> >
> > Field = Param("Price Field (0-close, 1-high, 2-low)", 0, 0, 2, 1 );
> >
> > Mode = Param("Mode (0-RSI, 1-ReverseRSI)", 1, 0, 1, 1 );
> >
> > function RevRSI( value, array, periods )
> >
> > {
> >
> > AU = Wilders( Max( array - Ref( array, -1 ), 0 ), periods );
> >
> > AD = Wilders( Max( Ref( array, -1 ) - array, 0 ), periods );
> >
> > x = ( periods - 1 ) * ( AD * value / (100 - value) - AU);
> >
> > return IIf( x >= 0, array+x, array + x * (100 - value)/value );
> >
> > }
> >
> > array = IIf( Field == 0, Close, IIf( Field == 1, High, Low ) );
> >
> > aname = WriteIf( Field == 0, "Close", WriteIf( Field == 1, "High",
> > "Low" ) );
> >
> > if( Mode == 0 ) /* RSI */
> >
> > {
> >
> > Plot( RSIa( array, WildPer ), "RSI( " + aname + ", " + WildPer
> + ")",
> > colorRed );
> >
> > }
> >
> > else
> >
> > {
> >
> > Plot( array, aname, colorBlack );
> >
> > Plot( RevRSI( value, array, WildPer ), "ReverseRSI( " + aname
> + ", " +
> > WildPer + ")", colorBlue, styleThick );
> >
> > }
> >
> > Buy=Cross( array, RevRSI( value, array, WildPer ));
> >
> > Sell=Cross(RevRSI( value, array, WildPer ), array);
> >
> > short = sell;
> > cover = buy;
> >
> > Buy=ExRem(Buy,Sell);
> >
> > Sell=ExRem(Sell,Buy);
> >
> > PlotShapes(Buy*shapeUpArrow,colorAqua);
> >
> > PlotShapes(Sell*shapeDownArrow,colorYellow);
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > > well, I guess you'll just have to send me a copy privately so
> that
> > I can see
> > > what's wrong. 8-)
> > >
> > > Listen to your wife. its in your signal detection.
> > >
> > > d
> > >
> > >
> > > _____
> > >
> > > From: Claud Hou [mailto:hclaud_98@x...]
> > > Sent: Thursday, November 04, 2004 4:59 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: Amazing backtest ==> Automatic/program
> > trading
> > >
> > >
> > >
> > > Indeed it is too good. My wife says I am dreaming. But that's
> what
> > > backtest reports. It's not me. It's the program.
> > >
> > > As any trading system does, you always get a signal first.
> > > So the program works like this (daily based):
> > > 1) Detect a buy signal
> > > 2) Buy at Open next day. (and/or cover)
> > > .... hold till ...
> > > 3) Detect a sell siganl
> > > 4) Sell at open next day, immediately go short
> > > 5) loops back to 1)
> > >
> > > simple as that.
> > >
> > > BTW, I don't like Porche GT. So don't worry about that.
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > > > have you heard what "they" say when something sounds too good
> to
> > be
> > > true?
> > > > Doesn't yours sound a little too good to be true?
> > > >
> > > > Suggest you click the "Check" button in the AA window. If that
> > says
> > > you're
> > > > ok then are you testing for high and low values using EOD data
> in
> > > your
> > > > system for buying and selling?
> > > >
> > > > I'd advise you not to get too excited just yet and certainly
> > don't
> > > go out
> > > > and buy that Porche GT just yet.
> > > >
> > > > d
> > > >
> > > >
> > > > _____
> > > >
> > > > From: Claud Hou [mailto:hclaud_98@x...]
> > > > Sent: Thursday, November 04, 2004 4:41 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: [amibroker] Amazing backtest ==> Automatic/program
> > trading
> > > >
> > > >
> > > >
> > > > Last night I ran some backtests with some simple trading
> systems.
> > > > The results are amazing:
> > > > For example,
> > > > In 3 years from 11/03/2001 to 11/03/2004, with 10K initial
> > account
> > > > value, you'll get 5.3M trading only YHOO. (long/short).
> > > > The result will be even astonishing if you use margin and trade
> > > > options.
> > > >
> > > > So come some questions:
> > > > 1) How reliable are these backtest results?
> > > > 2) How's the progress for AB's feature of automatic trading
> with
> > IB?
> > > > 3) Better yet, is there a broker that accepts a trading system
> > from
> > > > customer and does program trading?
> > > >
> > > > Basically, open an account with 10K and let the program run
> every
> > > > trading day, then forget it. Three year later, you check your
> > > account
> > > > finding out you are a multi-millionaire.
> > > > How sweet is that? :-)
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Check AmiBroker web page at:
> > > > http://www.amibroker.com/
> > > >
> > > > Check group FAQ at:
> > > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > >
> > > >
> > > >
> > > > Yahoo! Groups Sponsor
> > > >
> > > >
> > >
> >
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> > >
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> > > >
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> > > >
> > > > _____
> > > >
> > > > 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
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> > subject=Unsubscribe>
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> > > > * Your use of Yahoo! Groups is subject to the Yahoo! Terms
> > of
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> > > >
> > > >
> > > >
> > > >
> > > > [Non-text portions of this message have been removed]
> > >
> > >
> > >
> > >
> > >
> > > Check AmiBroker web page at:
> > > http://www.amibroker.com/
> > >
> > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > >
> > >
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> > >
> > >
> > > _____
> > >
> > > 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:
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> subject=Unsubscribe>
> > >
> > >
> > > * Your use of Yahoo! Groups is subject to the Yahoo! Terms
> of
> > Service
> > > <http://docs.yahoo.com/info/terms/> .
> > >
> > >
> > >
> > >
> > > [Non-text portions of this message have been removed]
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
> >
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> >
> > _____
> >
> > 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
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> >
> >
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> Service
> > <http://docs.yahoo.com/info/terms/> .
> >
> >
> >
> >
> > [Non-text portions of this message have been removed]
>
>
> 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
>
>
>
>
>
--
Cheers
Graham
http://e-wire.net.au/~eb_kavan/
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