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I am new to AmiBroker but, am able to program very simple systems.
Using simple long only concepts such as RSI, BBands, Gaps, etc I have
been able to get some decent returns back testing using EOD data from
Jan 2002 to present using some simple and realistic stops. Getting
real excited! I finally did a walk forward test (takes a long time)
on one of the systems and it shows that in 2007 that the returns were
negative. OK. I then tried a backtest from 2007-present on 4 other
simple systems that showed OK returns from 2002-present. Each one of
them had negative returns in the last 18 or so months.
I would expect these negative returns since jan 08 as the market has
been down a bit. I am wondering if this is why all the hedge funds
are going broke that we have been hearing about in the news.
Has anyone else seen poor returns on EOD data in your back tests in
the last 18 months?
I guess I need to dream up some new back test systems to try or maybe
intraday data might help.
Tod Pellaton
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