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Hi,
I have a problem with the backtesting or the tickers
in my database. Testing a system, I get a trade
showing a profit of 7,700% on AMMC in one day. Is this
sort of error common? I cant seem to get an answer
about it.
Note- This system is from Elitetrader.com, out of a
discussion had by some traders about 2yrs ago. I have
yet to seriously play around it. But I would like
feedback as I've had these kinds of erronous trades
happen when I test public systems available on the
Amibroker site or elsewhere.
Eric
//System Code, run long only
/* we use yesterday values to enter positions today
(hence Ref() ) */
Factor1 = Ref( High-Low, -1 );
Factor2 = Ref( ((High + Low + Close)/3), -1 );
Factor3 = Ref( EMA(Factor1, Optimize("EMA-period1",
30, 20, 40, 1 ) ), -1 );
Factor4 = Ref( EMA(Factor2, Optimize("Ema-period2", 9,
5, 20, 1 ) ), -1 );
KUp=Factor4+Factor3;
KDown=Factor4-Factor3;
/* entry conditions by price limit */
BuyPrice = KDown*0.84;
Buy = Low <= BuyPrice;
ShortPrice = KUp*1.38;
Short = High >= ShortPrice;
/* use built-in precent profit target stop */
ApplyStop( 1, 1, Optimize("Profit target", 5, 3, 9, 1
), 1 );
/* exit conditions */
timeintrade = Optimize("Time in trade", 3, 3, 7, 1 );
Sell = Ref( ExRemSpan( Buy, timeintrade ),
-timeintrade );
//OR Close >= Factor4;
Cover = Close <= Factor4;
PositionSize=-7.5;
Plot(Close,"Price", 2, 64 );
Plot(KUp, "KUp", 2 );
Plot(KDown, "KDown", 3 );
Plot(Factor4, "Factor4", 33 );
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