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The following from "Market Beaters" by Art Collins:
ROBERT PARDO P. 1 The basic goal of everybody trading futures should
be to make the most amount of money with the least amount of risk.
CHARLIE WRIGHT P. 21 One of the interesting things that we found in
our research was ultimately, indicators don't matter.
LARRY WILLIAMS P. 41 The creation of wealth comes from money
management, not from systems.
LOUIS LUKAC P. 61 Everything that we have ever developed from day one
has been mechanical.
KEITH FITSCHEN P. 83 I can show you that you need thousands of trades
in your development sample before you can have any statistical
confidence that it's going to trade that way in the future.
WAYNE GRIFFITH P. 101 Anyone who has developed a system has to admit
there are situations that the system does not cover.
TOM DEMARK P. 117 The bottom line was, after 17 programmers and four
or five years of testing, the basic four or five systems worked the best.
MIKE DEVER P. 133 I can't stress this enough; you don't want to be
making single strategy, single market bets in a portfolio if you want
to survive over a long period of time.
BO THUNMAN P. 151 I had hundreds of calls from people who opened up by
saying, Listen, just give me the name of a system that works
consistently'.
BILL DUNN P. 165 I just looked at charts and without applying anything
sophisticated at all, I said, `This couldn't be random'!
TOM WILLIS P. 185 Once you have a system, the biggest obstacle is
trusting it.
JOHN HILL P. 201 What I have found is, it's good to make it
exceedingly difficult to enter the market but very easy to get out.
MURRAY RUGGIERO P. 217 If you don't like the neighboring numbers,
you've got a problem, because odds are, you will wind up with the
results of the neighboring set of parameters.
DR. GARY HIRST P. 243 There is no one thing that will let you say,
`This works in all markets and it always will'.
rgds, Pal
--- 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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