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Worthless? How do you know which setups to construct scans and
explorations for if you don't backtest? And even if you're a
discretionary trader, why not give yourself more of an edge by
scanning and exploring for stuff that tests out as opposed to stuff
that doesn't?
--- In amibroker@xxxxxxxxxxxxxxx, "Brian" <brian@xxxx> wrote:
>
> 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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