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Hy everybody,
this post has two purpose:
- to alert users about "not realistic assumptions" about
back
testing;
- to ask TJ if he can kindly check and fix what I'm about to say.
As an absolute beginner user, I tried to get in touch with Amibroker
and the back testing feature, using a simple channel break-out
system on just 1 stock.
Just to be clear, the AFL is something like that:
channeltop = Ref( HHV( High, 10 ), -1 );
channelbottom = Ref( LLV( Low, 10 ), -1 );
Buy = High > channeltop;
Sell = Low < channelbottom;
Very simple logic, stop and reverse, always in the market.
I was stunned because the results were too good to be true and well
above those of another backtesting engine (TS5).
So I checked trade by trade and found out 2 problems:
1)suppose I'm long and get a stop and reverse signal for tomorrow
at 10,59.
Next day the market opens at 10.18 than rallies and make a high at
10.80 and close at 10.76 (that's a real case about an Italian
stock).
In the real life I should have sold and open a short position at
10.18, the open. Unluckily, AMB sells at 10.59, i.e. doesn't have
any control about the order of the price inside the daily bar.
2)now, go on with the example. Let's suppose I close the long
position and sell short at 10.18 (at the open). Like any channel
breakout system, now I have a buy stop level, let's say it is
10.70.
Amibroker refuses to recognize that in that day I have 2 trades (
first I cover long and go short, and later I cover short and go
long) and execute just the first of them.
So next day, the back testing is short but in real life I should be
long.
Then, there a third little reason for difference, but this is less
disturbing; I'm not able to explain to AMB that I cannot trade
fractional part of a share.
I have "1" in Automatic Analysis ---- Settings---- "min
Shares"
but still the backtest trades something like 929.387 shares……
instead of 929.
Please don't think these are marginal questions. Over a 10 year
period the difference in reported performace compounds and at the
end is very large.
I strongly want to stress that I love AMB. I have other software,
but like AMB more than higher priced programs.
Just let's fix these things….
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