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imho backtesters are essential to evaluate and test new trading ideas. I
couldn't do without them. How else would you test a new idea?
best regards.
herman
-----Original Message-----
From: Brian [mailto:brian@xxxxxxxxxxxxxxxx]
Sent: Saturday, November 06, 2004 1:13 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: wrong Backtesting results:
Hey Kris,
I've used a variety of backtesters now and they are essentially
worthless to most traders, in my opinion. If you can visually see an
indicator working well, that it generally indicates a good buy/cover
or short/sell signal, you'll be okay.
It's far more productive to focus your time on creating a variety of
scans and explorations that run automatically throughout the trading
day, or at EOD. Look for setups way in advance, and then patiently
wait for a buy or short trigger so you can pounce on them at the
perfect moment.
What backtesters don't ultimately give you is confidence in trading,
I find. I've gotten excellent results in backtesting only to find I
did not trust the system and couldn't trade it.
Now, if you are setting up an automated logical order system that has
nothing to do with human emotions, then by all means use backtesting
to the fullest.
If you do test, there's only really a handful of indicators that are
worth testing anyway, IMO -- try T3, IFT-RSI, Relative Slope
Trendlines, and Finite Volume Elements, as your main indicators, and
you're good to go. MACD and stochastics are good ones, too. Most
important, don't forget to use a price trendline indicator to verify
your signals are happening at the right time.
That's my experience, anyway. I feel I wasted a **lot** of precious
time diddling around with backtesters.
Best wishes and good luck,
~Bman
--- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@xxxx> wrote:
>
> Hi all:
>
>
>
> I am trying to get the hang of the Backtester. So far I don't get
it, or it is showing bad results.
>
>
> I run a system and the percent profits and $ profits do not match
the figures in the Report. I include a quick summary of what concerns
me, then the System tested, then the Settings, then the Report for
anyone who cares to scroll through these and help me out here. I
would appreciate any pointers here.
>
>
>
> SUMMARY
>
>
>
> Total Profit = 55.14%
>
> Total Trades = 11
>
> winning Trades = 2
>
> Losing trades = 9
>
> Total Profit of 932 dollars and Total Loss of 5762.
>
> This does not make sense to me. How can the total profits be less
than the total loss and yet the system returns 55.14% ???????
>
>
>
> Can I trust these? Is backtester off the mark here?
>
> Or what am I doing wrong here?
>
>
>
> full results below:
>
>
>
> CODE:
>
>
>
> SetFormulaName("Channel Breakout");// basic setup as per kaveman
Perth
>
> SetBarsRequired(4000,1);
>
> SetTradeDelays(1,1,1,1);
>
> SetOption("initialequity",10000);
>
> PositionSize=2500;
>
> SetOption("MaxOpenPositions",5);
>
> SetOption("PriceBoundChecking",1);
>
> SetOption("CommissionAmount",19.95);
>
> PositionScore = 100/C;
>
>
>
> // Channel Breakout //
>
> Line = Ref(C,-1) + (1.2 * Ref(ATR(6),-1));
>
> Buy = Cross(C,Line)
>
> AND ROC(EMA(C,120)) > 50;
>
>
>
> Sell = 0;
>
> ApplyStop(2,2, 3 *ATR(15),1);
>
>
>
> SETTINGS:
>
>
>
> Initial Equity: 10000 Periodicity/Positions: Daily/Long
>
> Commissions: 19.95 per trade Annual interest rate: 5.00%
>
> Range: 599 bars Apply to: All symbols
>
> Margin requirement: 100 Futures mode: No
>
> Def. round lot size: 1 Def. Tick Size 0
>
> Drawdowns based on: Close prices
>
> Long trades
>
> Buy price: Open Sell price: Open
>
> Buy delay: 1 Sell delay: 1
>
> Short trades
>
> Short price: Open Cover price: Open
>
> Short delay: 1 Cover delay: 1
>
> Stops
>
> Maximum loss: disabled Profit target: disabled
>
> Value: 0.00 Value: 0.00
>
> Exit at stop? no Exit at stop? no
>
>
>
> Trailing stop: disabled
>
> Value: 0.00
>
> Exit at stop? yes
>
>
>
> REPORT:
>
> Statistics | Charts | Trades | Formula | Settings | Symbols
>
>
>
> Statistics
>
> All trades Long trades Short trades
>
> Initial capital 10000.00 10000.00 10000.00
>
> Ending capital 15514.46 15514.46 20990.33
>
> Net Profit 5514.46 5514.46 10990.33
>
> Net Profit % 55.14 % 55.14 % 109.90 %
>
> Exposure % 2.58 % 2.58 % 0.00 %
>
> Net Risk Adjusted Return % 2137.17 % 2137.17 % N/A
>
> Annual Return % 2.93 % 2.93 % 5.00 %
>
> Risk Adjusted Return % 113.63 % 113.63 % N/A
>
>
>
> --------------------------------------------------------------------
------------
>
>
>
> All trades 11 11 (100.00 %) 0 (0.00 %)
>
> Avg. Profit/Loss -439.03 -439.03 N/A
>
> Avg. Profit/Loss % -17.57 % -17.57 % N/A
>
> Avg. Bars Held 52.27 52.27 N/A
>
>
>
> --------------------------------------------------------------------
------------
>
>
>
> Winners 2 (18.18 %) 2 (18.18 %) 0 (0.00 %)
>
> Total Profit 932.62 932.62 0.00
>
> Avg. Profit 466.31 466.31 N/A
>
> Avg. Profit % 18.65 % 18.65 % N/A
>
> Avg. Bars Held 67.00 67.00 N/A
>
> Max. Consecutive 1 1 0
>
> Largest win 876.37 876.37 0.00
>
> # bars in largest win 49 49 0
>
>
>
> --------------------------------------------------------------------
------------
>
>
>
> Losers 9 (81.82 %) 9 (81.82 %) 0 (0.00 %)
>
> Total Loss -5762.00 -5762.00 0.00
>
> Avg. Loss -640.22 -640.22 N/A
>
> Avg. Loss % -25.62 % -25.62 % N/A
>
> Avg. Bars Held 49.00 49.00 N/A
>
> Max. Consecutive 4 4 0
>
> Largest loss -1391.10 -1391.10 0.00
>
> # bars in largest loss 9 9 0
>
>
>
> --------------------------------------------------------------------
------------
>
>
>
> Max. trade drawdown -1219.88 -1219.88 0.00
>
> Max. trade % drawdown -28.49 % -28.49 % 0.00 %
>
> Max. system drawdown -6038.39 -6038.39 0.00
>
> Max. system % drawdown -28.17 % -28.17 % 0.00 %
>
> Recovery Factor 0.91 0.91 N/A
>
> CAR/MaxDD 0.10 0.10 N/A
>
> RAR/MaxDD 4.03 4.03 N/A
>
> Profit Factor 0.16 0.16 N/A
>
> Payoff Ratio 0.73 0.73 N/A
>
> Standard Error 612.13 612.13 296.91
>
> Risk-Reward Ratio 1.01 1.01 2.42
>
> Ulcer Index 4.00 4.00 0.00
>
> Ulcer Performance Index -0.62 -0.62 N/A
>
> Sharpe Ratio of trades -1.73 -1.73 0.00
>
> K-Ratio 0.07 0.07 0.17
>
>
>
> Regards
>
> ChrisB
>
>
>
> ---------------------------------
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