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Barry,
About the only comment I can make is that I have produced systems the
generate in real life what they backtest to. If you understand all
the issues, you can make it match. Another point is that when I trade
against my system --deciding the best second to send the order after
it says to send it, I generally get a better result. This is trading
one minute bars. It all just depends on the details of the system and
the trader --and the delays from the data feed.
Other than that, I generally agree with your assessment.
BR,
Dennis
On Jul 2, 2008, at 11:40 AM, Barry Scarborough wrote:
> I guess I will start a debate that I don't intend to participate in
> but state it for consideration. It seems many are trying to tweak
> their back tester to find the absolute best performance but include
> intangibles like slippage. Back testing, in my opinion, should only
> be used to compare systems to find which out performs another. That
> is all you need to do because the market will change and the system
> will not work as you expect. So it is a waste of time to try to eek
> our more gain or try to factor in slippage or all such nonsense.
>
> Why do I say this? I have a system that consistently will back test
> 200% to 1000% A DAY using 1 Russell emini contract ER2 and a 1 minute
> chart. In longer periods the gain is less and I use various time
> periods and data samples. In the real world it does not make a profit
> on a 1 minute chart. But that system works much better than one that
> back tests with less gain and the system does not even start to make
> a consistent gain with a period under 15 minutes. Using hour charts
> it is much better but no where near 200% a day the back tester shows.
>
> The problem is when you enter the real world, especially with auto
> trading, whipsaw during sideways periods and during trend changes
> will eat your lunch. Auto trading will come close to getting the
> value of the close at the time the signal was generated by your
> system. But there is slippage and that can be significant depending
> on the buy/ask spread and the volatility of the market. You can't
> predict what it will be. Don't even try! Even if you use a simple
> button pushing auto trading system, where you hit the buy or sell
> button when you see your signal, you can't hit the button fast enough
> to simulate the price you get on the static chart. So your results
> will not come close to your back test results. I REPEAT NOT EVEN
> CLOSE!!! So it is a waste of time to do more than use back testing to
> compare systems. Trying to predict what it will do in the real world
> is deceitful, sheer folly, don't do it.
>
> Well that's my two cents worth. I am going back to sleep now.
>
> Cheers,
> Barry
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>>
>> Hi Louis --
>>
>> Perhaps write a simple loop?
>>
>> for (i=0; i<BarCount; i++)
>> {
>> // test to see if there was a Buy on this bar
>> // and if there was, adjust BuyPrice
>> if (Buy[i] == 1)
>> {
>> BuyPrice[i] = 1.01*BuyPrice[i];
>> }
>> }
>>
>> Or am I missing something?
>>
>> Thanks,
>> Howard
>>
>>
>>
>>
>> On Tue, Jul 1, 2008 at 9:27 PM, tayamaan <tayamaan@xxx> wrote:
>>
>>> Louis, you now assume your slippage to be 1%, which is a guess
>>> anyways. It differs per situation what your system considers to be
>>> the Buy/Sell Price and what you actually pay or get at the market.
>>> These are still two different things. I wouln't know how to
> calculate
>>> the real slippage, all you can do is comparing the difference
> over a
>>> period of time and take some kind of average.
>>>
>>> Adrian
>>>
>>> --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> Graham
>>> <kavemanperth@> wrote:
>>>>
>>>> turn off the option of PriceBoundChecking in the Analyser
> settings
>>> of in the AFL
>>>>
>>>> SetOption( "PriceBoundChecking", 0 );
>>>>
>>>> --
>>>> Cheers
>>>> Graham Kav
>>>> AFL Writing Service
>>>> http://www.aflwriting.com
>>>>
>>>>
>>>> 2008/7/2 Louis Préfontaine <rockprog80@>:
>>>>> Hi,
>>>>>
>>>>> But is it possible to set the backtester to consider that the
>>> buyprice was
>>>>> let's say 1% higher than the Close on the bar the trade was
> made?
>>>>>
>>>>> That's what I tried to do. If it's complicated, I can live
> with
>>> this (well,
>>>>> I can at least try, since I believe I am still a beginner in
>>> understanding
>>>>> AFL), but I'd need to know if it is possible, and if yes, what
>>> can be a good
>>>>> start...
>>>>>
>>>>> Was I on the right track with
>>>>>
>>>>> SetTradeDelays( 1, 1, 1, 1 );
>>>>> BuyPrice = c*1.01;
>>>>> SellPrice = c*0.99;
>>>>>
>>>>> Cause it does not work at all...
>>>>>
>>>>> Thanks again,
>>>>>
>>>>> Louis
>>>>>
>>>>> 2008/7/1 Graham <kavemanperth@>:
>>>>>>
>>>>>> Then you need to set out exactly what you need to do and
> write
>>> the afl to
>>>>>> match
>>>>>> It is all logical steps
>>>>>> I do it by writing down all the restrictions and
> possibilities
>>> and
>>>>>> what I need at the end and how I think is best way to achieve
>>> this
>>>>>> ......... in detail. There are no short cuts and can be very
>>> tedious.
>>>>>> I also more often than not write out a flow chart to map all
>>>>>> decisions, inputs, outputs, calculations etc.
>>>>>>
>>>>>> --
>>>>>>
>>>>>> Cheers
>>>>>> Graham Kav
>>>>>> AFL Writing Service
>>>>>> http://www.aflwriting.com
>>>>>>
>>>>>> 2008/7/2 Louis Préfontaine <rockprog80@>:
>>>>>>> Hi Adrian,
>>>>>>>
>>>>>>> Thanks for your suggestion. But still... How can I do
> this? I
>>> mean: I
>>>>>>> want to be precise. With the kind of markets I am in and
> what
>>> I am
>>>>>>> trying
>>>>>>> to do, precision is very important... I need to be able to
> set
>>> a
>>>>>>> particular % adjustment for particular situations...
>>>>>>>
>>>>>>> Louis
>>>>>>>
>>>>>>> 2008/7/1 tayamaan <tayamaan@>:
>>>
>>>>>>>>
>>>>>>>> Hi, if you would really like to try to compensate for
>>> slippage,
>>>>>>>> adding this to your commissions as part of your
> transaction
>>> costs is
>>>>>>>> perhaps an idea.
>>>>>>>>
>>>>>>>> Adrian
>>>>>>>>
>>>>>>>>> Hi Graham,
>>>>>>>>>
>>>>>>>>> How can I put more information so that my buy price is
> 1%
>>> higher
>>>>>>>> than C and
>>>>>>>>> sell price 1% lower than C?
>>>>>>>>>
>>>>>>>>> Thanks,
>>>>>>>>>
>>>>>>>>> Louis
>>>>>>>>>
>>>>>>>>> 2008/7/1 Graham <kavemanperth@>:
>>>>>>>>>
>>>>>>>>>> Without more information on what you are trying to
> achieve
>>>>>>>>>> The price will be for the bar of actual entry C*1.01
> or
>>> C*0.99
>>>>>>>>>>
>>>>>>>>>> Also the prices may be outside than the bar range in
>>> which case
>>>>>>>> the
>>>>>>>>>> closer of high or low is used if you have the
>>> PriceBoundChecking
>>>>>>>> on
>>>>>>>>>>
>>>>>>>>>> --
>>>>>>>>>> Cheers
>>>>>>>>>> Graham Kav
>>>>>>>>>> AFL Writing Service
>>>>>>>>>> http://www.aflwriting.com
>>>>>>>>>>
>>>>>>>>>> 2008/7/1 Louis Préfontaine <rockprog80@ <rockprog80%
>>>>>>>> 40gmail.com>
>>>>>>>>>>> :
>>>>>>>>>>
>>>>>>>>>>> Hi,
>>>>>>>>>>>
>>>>>>>>>>> I have been trying to set a formula for slippage:
>>>>>>>>>>>
>>>>>>>>>>> SetTradeDelays( 1, 1, 1, 1 );
>>>>>>>>>>>
>>>>>>>>>>> BuyPrice = C*1.01;
>>>>>>>>>>> SellPrice = C*0.99;
>>>>>>>>>>>
>>>>>>>>>>> It doesn't work at all. I tried to write C*50 just
> for
>>> fun, but
>>>>>>>> it didn't
>>>>>>>>>>> change the buyprice at all. What can possibly be
> wrong?
>>>>>>>>>>>
>>>>>>>>>>> Thanks,
>>>>>>>>>>>
>>>>>>>>>>> Louis
>>>>
>>>
>>>
>>>
>>
>
>
>
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