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are you sure your price data is correct?
On 6/20/05, Mark Keitel <mkeitel@xxxxxxxxxxxxxxx> wrote:
>
>
> 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
>
>
>
>
>
>
> Mark
>
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>
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> ________________________________
>
>
> 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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>
> To get support from AmiBroker please send an e-mail directly to
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>
> For other support material please check also:
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>
>
>
>
>
>
> 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
>
>
>
>
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--
Cheers
Graham
http://e-wire.net.au/~eb_kavan/
Please note that this group is for discussion between users only.
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