Eric,
I ran a quick back test
from 6/16/2004 – 6/16/2005
On small caps got a -28%
return
On Internet Sector +26%
return
This is interesting
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of eric paradis
Sent: Sunday, June 19, 2005 5:13
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Erronous
Trade in new system generates unusual results
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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