|
PureBytes Links
Trading Reference Links
|
Terry,
At this point I am thinking maybe the backtester checks for particular
stock's volume and wouldn't let me buy more than that. So the
long-term case had too much money, cannot use all the money into
stocks, thus resulted in smaller loss.
This is sort of like a situation where I have $10000, spend $100 on a
stock and blow it all. Sure, the $100 is gone, but I still have $9900
left.
I am yet to verify if this is indeed the case, but if it was, I am
afraid backtester wouldn't work too well for a long-term simulation.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxx> wrote:
>
> Max System Drawdowns are compared to available equity. Your long term
> test has tons of available equity so the losses by comparison are small.
> --
> Terry
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of intermilan04
> Sent: Wednesday, June 07, 2006 21:17
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Interpreting backtest results
>
> Hi all,
>
> I'm having trouble interpreting the result of my backtest where:
>
> 1) When I backtested my system between 1996-2006, my equity as of
> 2004/1/1 was 239,047,456 and 2004/12/31 was $235,772,048, loss of 2%
> for the year of 2004.
>
> 2) when I backtested THE SAME SYSTEM from 2004/1/1 to 2004/12/31 (just
> that particular year of 2004), my equity goes from $30000 to $19417
> for a loss of whooping 35% for the year of 2004.
>
> Although the amount of money is different for the former and the
> latter, the backtester makes same trades throughout 2004 (i.e. if the
> former trades ABC on 2004/3/3, so does the latter). I split my funds
> evenly among 4 trades at once. However, the former only loses 2%
> throughout the year of 2004 while the latter loses 35%.
>
> If anyone has seen something like this, could you please explain as to
> why this may occur?
>
> Thank you in advance,
>
> intermilan04
>
>
>
>
>
>
>
> 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
>
>
> Yahoo! Groups Links
>
|