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I think kaveman has made an excellent point in buying on the high and
selling at the low.
I routinely backtest using these settings in order to make the
results as bad as possible.
That way my results in real-time will hopefully be better than my
testing.
John
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> 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@x...]
> 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@xxxx>
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
> > > > >
> > > > >
> > > > >
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> > > > >
> > > > >
> > > > > _____
> > > > >
> > > > > Yahoo! Groups Links
> > > > >
> > > > >
> > > > > * To visit your group on the web, go to:
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> > > > >
> > > > >
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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
> > > >
> > > >
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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:
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> > >
> > >
> > > * To unsubscribe from this group, send an email to:
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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
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
>
>
> 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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>
> _____
>
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>
>
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