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hi,
this reply is not exactly what you intend but
anyway ...
my systems enter and exit using limit prices. In
cases that say my buy limit is 22 and the open price is 21.50 and the high is
22.5 my system would buy at 21.50. As a worst case scenario I use 22 (the buy
limit price). In practice I find that usually they don't give it to you for
21.50 but you'll have to pay more (slippage). On average (tested in practice
with the Nasdaq 100 stocks) they charge me 0.12% extra. So instead of paying
21.50 (as my backtest will use) I end up paying about 21.53 on average. Worst
case scenario: I will pay 22$. If the system still works it is a good sign.
This is my wordt case scenario test.
ed
----- Original Message -----
Sent: Thursday, November 25, 2004 8:16
AM
Subject: [amibroker] Worst Case
Analysis
Hi,
Does Amibroker allows a worst case analysis,
or is this feature
expected in the near future?
The Worst-Case
analysis allows to create a report that will tell how
the system would
have done based on the start date. Software would
automatically select
each trade in sequence making it the very first
trade entered. Results of
each run would be saved to a row in a
report file. The knowledge gained by
examining the results of the
system when run from 1000 different start
points rather than just 1
would be very valuable.
How many times
out of 1000 did it have a losing first year? Second
year? How many times
out of 1000 did equity reach $1 million by year
5? What was the average
capital requirement out of 1000 starts? What
was the highest? How many
times out of 1000 did drawdown exceed 50%?
Answers to this type of
question will let the user know with a high
degree of probability what to
expect from the system in real trading.
Can this be done in
Amibroker?
Best
regards
Rizwan
Check AmiBroker web page
at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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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