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Point taken, Dingo.
My point was not to discourage, but to let it be known that some
people don't find certain things useful. The minority speaks,
although the minority does still exist.
What is potentially damaging is when you can spend countless hours
using backtesting to improve your trading when all you needed was to
rely on some good automated scans and some basic intuition. The
trader must ultimately determine what works for them -- and not just
blindly listen to the majority (which was the mistake I made).
~B
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> I'm surprised that you would post something like this. No offense
intended
> but I wouldn't discourage anyone from using a tool just because I,
> personally, had never had success with it or couldn't figure out
how to use
> it.
>
> I know of a good many successful traders using AB's backtester with
> excellent results and they have developed systems in which they
have enough
> faith to trade for a living.
>
> d
>
>
>
> _____
>
> From: Brian [mailto:brian@x...]
> 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
> >
> >
> >
> > ---------------------------------
> > Do you Yahoo!?
> > Check out the new Yahoo! Front Page. www.yahoo.com
> >
> > [Non-text portions of this message have been removed]
>
>
>
>
>
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>
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