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Just a thought...Possibly your system didn't work well during the early
years and went broke in 2001?
Steve
----- Original Message -----
From: "wadebullock" <wadebullock@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 18, 2006 6:25 PM
Subject: [amibroker] Backtesting problem! Any Ideas?
> I've am new to AB, programing/coding etc., but I've been putting in
> my time trying to learn, but kind of stumped at this point. Any help
> with this would be greatly appreciated!
>
> I've been trying to backtest a simple ADX pull back system, the code
> follows:
>
> _SECTION_BEGIN("HV100");
> HV100 = round(StDev(log(C/Ref(C,-1)),100)*100*sqrt(256));
> _SECTION_END();
>
> Filter = HV100 > 40
> AND ADX( 14 ) > 30
> AND PDI() > MDI()
> AND Close > 40
> AND MA( Volume, 50 ) >= 400000
> AND Close > MA(Close, 200)
> AND RSIa( Close, 5 ) < 50
> AND RSIa( Close, 2 ) < 30;
>
> TriggerPrice = Ref(High,-1);
> Buy = Ref( Filter, -1) AND High > TriggerPrice;
> BuyPrice = Max( Open, TriggerPrice );
> Sell = Cross ( EMA ( Close, 8 ), Close);
>
> Here's the problem, using the Range "All Quotations" I only get back
> 71 results that date from 1999 to late 2001, but if I set the Range
> to test over this past year 10/16/05 to 10/16/06...I get 25
> additional signals.
>
> What appears to be happening is that for some reason not all of the
> quotations are being backtested. Has anyone had this sort of problem?
>
> Below are my settings from the report generated:
>
> Initial Equity: 7000 Periodicity/Positions: Daily/Long
> Commissions: 7.00 per trade Annual interest rate: 0.00%
> Range: 10/16/2005 00:00:00 - 10/16/2006 Apply to: Filter
> Include Filter Exclude Filter
> Market - Market -
> Group Stock Group -
> Sector - Sector -
> Industry - Industry -
> Watch list - Watch list Exclude
> Index - Index -
> Favourite - Favourite -
> Account margin: 50 Futures mode: No
> Def. round lot size: 100 Def. Tick Size 0
> Drawdowns based on: High/Low prices
> Long trades
> Buy price: Open Sell price: Close
> Buy delay: 0 Sell delay: 0
> Short trades
> Short price: Open Cover price: Close
> Short delay: 0 Cover delay: 0
> Stops
> Maximum loss: disabled Profit target: disabled
> Value: 5.00 Value: 0.00
> Exit at stop? yes Exit at stop? yes
>
> Trailing stop: disabled
> Value: 0.00
> Exit at stop? no
>
> Thanks!
>
> Wade Bullock
>
>
>
>
>
> 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
>
>
>
>
>
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