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[amibroker] Re: how do I ignore backtested stocks with large profit spikes?



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JMO, but it doesn't make sense to me.  Unless there is a flaw in the 
data, you're trying to deliberately exclude events that actually 
occur in trading.  Even worse, you're subjectively choosing which 
events to exclude, just about the worst sin you can commit in the 
system-testing community.:)  The result will be a system that isn't 
reflective of real-world trading.

Maybe a solution like this:  Instead of eliminating from testing the 
extreme trades that can actually occur, maybe have a rule to address 
them on the rare occasions when they come around?  Along the lines 
of "If my equity in this trade increases by 50% in a week, take 
profits" or "If my total portfolio equity drops by -10% in a month, 
reduce the size of all positions."

FWIW.


Luck,

Sebastian

--- In amibroker@xxxxxxxxxxxxxxx, "hairy_mug" <WSCHWARZ@xxxx> wrote:
> 
> Thanks Graham!
> 
> I have been doing that but this elimiates candidate stocks due to
> a gap... 
> What I would like to do is ignore those events, not the complete 
stock.
> 
> I think, for backtesting, I'll look ahead and not enter a trade if 
it
> will spike and the add a switch to turn this "look-ahead" off...
> 
> Does this make sense?
> 
> Walt
> 
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> > You could always exclude stocks that have had large gaps during 
the
> > period of your backtest. The only problem here is if the gap was 
due
> > to normal trading volatility (eg sudden good or bad news) then it
> > should remain in your testing as this is real trading risk.
> > If you maintain your database to include adjustments for stock 
splits
> > and consolidations then you should not have any untoward gaps.
> > If you run an exploration for gaps over the stocks you can then 
check
> > first on what stocks to exclude
> > Saying that here is an example of how to exclude stocks based on 
gaps
> > 
> > CondGap = Sum( GapUp()*( L/Ref(H,-1) ) >= 1.3 OR GapDown()*(
> > Ref(L,-1)/H ) >= 1.3 , 500 ) ==0; // using 30% gap as limit and 
over
> > 500 bars assumed as test period
> > 
> > Buy = YourBuyConditions AND CondGap;
> > 
> > 
> > Hope this helps
> > 
> > 
> > On Apr 2, 2005 3:00 AM, hairy_mug <WSCHWARZ@xxxx> wrote:
> > > 
> > > 
> > > When I back test and optimize, there are usually one or two 
stocks
> > > which throw off the profit because they had one large gain.
> > > I do not want to consider results over a set threshold.
> > > 
> > > Currently I have to exclude the stocks specificly...
> > > All ideas welcome!
> > > 
> > > Walt
> > > 
> > > 
> > > Please note that this group is for discussion between users 
only.
> > > 
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > > 
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > > 
> > > 
> > > Yahoo! Groups Links
> > > 
> > > 
> > > 
> > > 
> > > 
> > 
> > 
> > -- 
> > Cheers
> > Graham
> > http://e-wire.net.au/~eb_kavan/





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