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One thing that can cause this is if your system uses the Cross()
function. If you made a buy based only on a Cross() that occurred in
2003, you would not own the stock in a test of 1/1/2004 - 12/31/2004
only.
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> 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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