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The different results are a "good thing" because they give
some information on how robust your trading system is.
Difference due not necessarily mean a system is not
reliable, but it does remind one of how much (or little)
"randomness" affects returns. If differences are very large
due to different start dates, that is a caution flag in my
mind. I especially look at how much or little drawdowns are
affected.
--- Graham <kavemanperth@xxxxxxxxx> wrote:
> If this is portfolio backtest then you will likely get
> different
> results just by changing the start date by a small
> margin. It is
> dictated by the first trade, then the limits of capital
> and/or max
> number of trades as per settings.
>
> On 9/7/05, eric paradis <thechemistrybetweenus@xxxxxxxxx>
> wrote:
> > Hi,
> >
> > I'm backtesting an equity system and I have a bit of a
> > curiousity. Its a longer term trend system. AVG trade
> > is 100 days long.
> >
> > When I backtest 5yrs at a time I get different results
> > then when I test it 5 different times over 5 years (
> > i.e testing it yearly and multipling out all the
> > returns ).
> >
> > The only explanation I can think of is that the system
> > has a new set of trades every year when I test yearly,
> > while every five years, it holds on to the profitable
> > trades for a very long time frame, and is rewarded
> > more than in the shorter 1yr timeframe.
> >
> > Does that sound right, and is it a common issue in
> > evaluating the system?
> >
> > __________________________________________________
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> >
> > Please note that this group is for discussion between
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> >
> > To get support from AmiBroker please send an e-mail
> directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
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> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
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