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Technically speaking, I think the reason you're only getting a test
of the "A" tickers without PositionScore is related to the reasons
Terry and I were talking about. AB simply follows the rules we set,
literally giving us what we ask for even if that may not be what we
expect to get.:)
What is happening when you add the PositionScore criteria is that the
order of the stocks tested gets changed. Instead of the stocks
getting tested in alphabetical order, PositionScore orders them a
different way, so you get different results.
Just as a very simple example, without PositionScore AB might read
your ticker list in this order, looking for trades: AA, AB, AC, AD,
AE, AF, BA, BB, BG, BT, CA, CG, etc., etc.
Using PositionScore, the stocks might be ranked differently and AB
might take the stocks from the same list in an order like: CG, BA,
AF, AE, BT, AA, AD, CA, etc. That would account for why you get out
of the "A"s when using PositionScore, because some of the low-
scoring "A"s, "B"s, "C"s, etc., weren't at the top of the list.
Conceptually speaking, in looking over the original code it doesn't
look like the writer used a sound testing technique. He's optimizing
the stochastics for each stock he's trading based on hindsight. The
reason you're getting such great test results is because of one of
the predominant misuses of optimization: It's describing what could
have happened if you'd known in advance what the ideal settings were
for each stock you'd be trading. That's not realistic, so you can't
trust it to work in the future.
However, if you found a wide range of stocks that could be profitably
traded using the SAME or SIMILAR stochastic parameters, that would be
a better reason to think that the stochastic indicator was worthwhile.
JMO and FWIW.
Luck,
Sebastian
--- In amibroker@xxxxxxxxxxxxxxx, "Roy Ewing" <slickums76@xxxx> wrote:
>
> Sebastian,
>
> Thanks for the tips. Please see more details in msg # 90880
>
> Roy
> --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
> <sebastiandanconia@xxxx> wrote:
> >
> > A little more information, please.:) Does the system test all
> > the "A"s and then stop right before the "B"s? Or is there a
limit to
> > the number of "A"s it tests, also? When you use PositionScore,
do
> > you know that you're getting a full test on all the stocks, or
does
> > the system still stop testing additional stocks at a certain
point,
> > just farther into the alphabet?
> >
> > Not knowing all the details of what you're doing, here's a
trouble-
> > shooting idea. Have you got a position-limit set in Automatic
> > Analysis or in the system code itself? Without PositionScore,
there
> > would be no ranking of the stocks, they'd simply be bought in
> > alphabetical order from your watchlist as the "buy" signals click
> > off. If there's a position limit set, the system would just buy
> > stocks up to the position limit and stop. After those stocks got
> > sold and a new "buy" signal comes up, the system will do the same
> > thing over again, starting with the "A"s. If there are enough
stocks
> > meeting the criteria to fill the portfolio from within the "A"s,
your
> > system would never get to the "B"s. Anyway, that's just a place
to
> > start looking.
> >
> > Also, in my (our) experience, if a free system looks really great
> > there's something wrong in the testing process, LOL!
In "Backtester
> > Settings" under the "Trades" tab, see what the settings are. My
> > advice is to set them at "Open" with a 1-day trade delay,
otherwise
> > your system is taking trades on the day of the signal and not the
> > NEXT day when you'd actually make the trade. That will make your
> > system returns artificially (and unrealistically) high.
> >
> > Sorry if I've gone over stuff that you already know. Most of my
> > mistakes are simple ones that I just didn't think of.:)
> >
> >
> > Luck,
> >
> > Sebastian
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Roy Ewing" <slickums76@xxxx>
wrote:
> > >
> > > I found a very good "system" in the AFL Library that produces
very
> > > good results for what I am trying to backtest. Here it is,
stripped
> > > to the essentials:
> > >
> > > ---------------------------------------------------------------
> > > // Formula Name: STD_STK Multi
> > > // Author/Uploader: Willem Jan
> > >
> > > STK=Optimize ("StK" , 14, 2, 18, 2);
> > > STD=Optimize ("StD" ,16, 2, 18, 2);
> > > pds =Optimize("pds", 10,2,18,2);
> > >
> > > Sell= Cross (EMA (StochD (STD),pds),EMA( StochK (STK),pds));
> > > Buy= Cross (EMA(StochK (STK),pds),EMA( StochD (STD),pds));
> > >
> > > Filter=Buy OR Sell;
> > >
> > > Buy=ExRem(Buy,Sell);
> > > Sell=ExRem(Sell,Buy);
> > >
> > > /* My Added POSITIONSCORE */
> > > PositionScore = 100 + MFI(); //Also many others tried!
> > >
> > > ----------------------------------------------------------------
> > >
> > > The problem is that w/o "POSITIONSCORE", I never get out of
> > the "A's"
> > > during backtesting.
> > >
> > > I have had good results using "positionscore" with other
formulas,
> > but
> > > I have tried over 30 combinations of different indicators here
and
> > the
> > > results are MUCH WORSE. Not only a little, but a lot worse.
> > >
> > > I can't believe the formula is so good that nothing will help
it,
> > and
> > > the fact that I can't get out of the "A's" in my watchlist mean
> > there
> > > should be "better" trades.
> > >
> > > My watchlist is a list of "Optionable" stocks from TC2005,
> > backtesting
> > > for 5 years (about 600 stocks).
> > >
> > > Any ideas?
> > >
> > > I have emailed the author, but his email bounced.
> > >
> > > Thanks.
> > >
> > > Roy
> > >
> >
>
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