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My EOD, long only system definately experienced periods of drawdown
between Oct 07 through Jan 08, but was overall profitable for the
year 2007 and continues to be profitable for 2008, reaching new all
time highs over the last month or two.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "tpellaton" <tod@xxx> wrote:
>
> 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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