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
>>>>
>>>
>>>
>>>
>>
>
>
>