Re: [amibroker] Why does this great system not work in reality?

["Tomasz Janeczko \(groups\)" <groups@xxxxxxxxxxxxx>]

Hello,

You did not account for slippage. Use 0.5% or higher commissions to simulate slippage and backtest again.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "samu_trading" <samu_trading@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, June 16, 2007 6:08 AM
Subject: [amibroker] Why does this great system not work in reality?


> All,
> 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?
> 
> Thanks, Samantha
> 
> 
> 
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
> 
> For other support material please check also:
> http://www.amibroker.com/support.html
>  
> Yahoo! Groups Links
> 
> 
> 
> 
> 


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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html
 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/