|
PureBytes Links
Trading Reference Links
|
Yuki,
Thanks for the response. I will use your suggestions in backtesting.
I wanted to respond to oone of your comments:
Speaking only for myself, just put your trial system in a list
e-mail, rather than forcing everyone to take the time to visit the
files area, locate your file, and read it. If it gets to be a
monstrously long system, maybe that's another thing, then.
There is a book Titled: "It's not what you say, It's what other people hear".
Your response to my placing the .doc file in the Files area was my fault.
I didn't clearly enough relate what I was trying to do. The document is 20 pages long. I thought that too large for the list to read through. I was trying to teach myself how to develope a system. I put the process into a word document. The system, I developed, wasn't developed to create Profit, it was developed to instruct myself on how to develope a system. The system, to me, has no value and wasn't intended to have any value.
What I was primarily interested in; was having others review my process and tell me:
If I was heading in the right direction?
Where could the process be imporved? (as in, "What else don't I know?")
Again, thanks for your input.
Bill
PS No plans to manage a Hedge Fund!
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxx> wrote:
>
> Hi Bill,
>
> Sunday, February 4, 2007, 2:41:25 AM, you wrote:
>
> BH> After responding to Brianzee123's email, I ran a back test on a
> BH> Defined Filter of a Watchlist of the 1500 stocks that are in the
> BH> S&P 3 main Indices; S&P-500, MID-Cap and Small-Cap.
> BH>
> BH> The back test produced a heafty $18K+ return, so without
> BH> changing any variables, I ran the same back test on "All" Symbols
> BH> (I have TeleChart's database) and came up with only a $1300
> BH> return. The primary profit producer in the S&P list was DAKT, but
> BH> it didn't show up in the run from "All" Symbols.
> BH>
> BH> I don't understand why that hapopened. Can anyone explain it to me?
>
> Do you have enough initial equity to backtest "All" Symbols? (I
> didn't notice what backtest mode you were using.) If you don't, AB
> will, just as you would be forced to do in real life, buy until it
> runs out of buying power. Then it will stop buying.
>
> Moreover, if you don't specify a position size, it will use *ALL*
> your initial equity on the first buy. So you need to specify
> position size, position score (which symbols would have priority),
> probably maximum number of open positions, and other elements.
>
> If you do not set your backtests up correctly, the results will be
> horrendously misleading. They might indicate a gold mine that simply
> isn't there, or a complete failure that isn't quite that bad.
>
> Last, total return in currency value doesn't mean anything, really.
> "Hefty" is very subjective, and certainly would not describe an
> annual return of US$ 18K on a million dollars of initial equity. (It
> would probably be the end of your hedge fund management career.) ^_^
>
> When you mention return, talk in percentages; then we all can relate
> to it -- and it has some meaning. Also mention drawdowns. If you had
> to risk 36K of drawdown to get that 18K, well that wouldn't be a very
> good deal then, would it? Talk percentages there, too.
>
> Speaking only for myself, just put your trial system in a list
> e-mail, rather than forcing everyone to take the time to visit the
> files area, locate your file, and read it. If it gets to be a
> monstrously long system, maybe that's another thing, then.
>
> Yuki
>
---------------------------------
We won't tell. Get more on shows you hate to love
(and love to hate): Yahoo! TV's Guilty Pleasures list.
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.432 / Virus Database: 268.17.26/670 - Release Date: 2/5/2007 2:04 PM
|