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Thank you, Randy. I think I should by Howard ebook on system
development for AB.
--- In amibroker@xxxxxxxxxxxxxxx, "Randy Harmelink" <rharmelink@xxx>
wrote:
>
> Several possibilities come to mind right away:
>
> 1. Survivorship bias. You're looking at stocks where the price is
> under $5. Your testing over the last 5 years will only include
stocks
> that survived. How many may have met your condition and then gone
> bankrupt or been delisted? You'll not know, because they are not
in
> your testing universe.
>
> 2. The volume and price you're testing on are probably adjusted
> instead of raw prices, no? So, if a strong stock has been rising
for
> the past 5 years, they've probably split a few times. So what WAS
a
> $20 price in 2003 and would not have met your condition in real
time
> BECAME a $4 price because of several splits and did meet your
> condition in the test.
>
> 3. Did you optimize with one set of data, then test it again with
> another? If not, your results could simply be the results of curve
> fitting.
>
> On 6/15/07, samu_trading <samu_trading@xxx> wrote:
> >
> > I'm frustrated. I backtested and optimized a very simple system
in
> > AB as following.
> > (buy highest ROC gainer of the last 3 days and some additional
> > fringe conditions; exit is 2% trailing stop, applied immediately)
> > PositionSize=-20;
> >
> > SetTradeDelays(1,1,1,1);
> >
> > Buy= ROC(Close,3)>Percentile(ROC(Close,55),100,99) AND Close>MA
> > (Close,150)AND Volume > Percentile( Volume, 100, 90 ) AND Volume
>
> > 100000 AND Close<5 ;
> >
> > Sell=0;
> >
> > ApplyStop(2,1,2,1,False,0);
> >
> >
> > It looked just great from the numbers when backtesting over the
last
> > 5 years:
> > CAR~170% MaxSystemDD=4.3%, number of trades >1000
> >
> > However, when I bought stocks at the next day's opening, I only
had
> > losers and got stopped out. Where does the difference between
the as-
> > is and to-be come from?
>
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