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