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Greetings to All,
Question:
I ran some daily predictions with a predictive system i put together and then looked at the trades in excel. I told the backtester my benchmark prices were not based upon Open or Close but upon the Average price for both the Buy and Sell side. A 1 day delay was also fed into the backtesting GUI.
Getting to the point of my concern: would someone kindly educate me as to why in the following 3 cases returned by the run - when i called for a 0.5% profit stop - that profits could have been realizable in excess of that (or available at all), as shown in the sample below, and mirror real-world expected trading results?
Ticker Trade Entry Exit % change Profit Shares Pos. value Cum. profit
AXP Long (profit) 10/1/04 10/1/04 0.61% 49.45 222 9875.5 116.09
Result: 0.50% profit
CAT Short (profit) 10/11/04 10/11/04 -0.54% 1.11 7 271.19 315.25
Result: 0.41% profit
C Long (profit) 10/22/04 10/22/04 0.89% 163.29 529 21329.82 777.97
Result: 0.77% profit
I'm comfortable that I could have scaled out in the first AXP trade since the name moved up by more than that. So, i guess that's fine, and the punch out matches the stop I set, but the questions that remain are troubling and confusing to me:
(a) how does the backtester know which came first, the low of the day or the high of the day?;
(b) in the next Short CAT trade the name moved down by 0.54% so why was i assigned a 0.41% profit even though my 0.50% stoploss was also in place there i.e. why did i punch out there according to the backtester and not just wait for the 0.50% target, and lastly;
(c) for the C Long trade, which moved 0.89% in my favor, how would I have had the forsight in real trading to take advantage of the 0.77% profit booked me by the backtester but waited so wisely for it to have gone up past my 0.50% stop and take down a tidy 0.77% profit instead?
Again, did I even have the opportunity to do such a thing at all since i have no idea how the backtester is basing this upon the high vs. low range of the day since, depending upon which came first I may not have had ANY of these opportunities for profit...period.
What am I missing?
Grateful for your replies,
timekeeper (aka Richard)
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