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--- In amibroker@xxxxxxxxxxxxxxx, "progster01" <progster@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "timekeeper_origen" <timekeeper_origen@> wrote:
> >
> > 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)
> >
>
> Hi.
>
> I think that a proper answer may require that we know exactly how your exit signals were generated, and possibly also exactly how you had AB configured at the time of the test.
>
> There are many settings that might come into play here, and I don't think there can be a general answer based solely on the information provided so far.
>
Thanks for jumping in. There are a lot of combinations when checking boxes in the Backtester gui, for sure
One thing that may have impact and would be very grateful for your insight on would be the following:
Under the "Trades Tab" the buy/sell/short/cover delay the implications/effects of the integer buy/sell choices?
I have always been somewhat perplexed by this part of the settings gui since the amibroker userguide merely describes it as "allows to define custom delay between signal and trade." Hmmm...what does this mean, really? that there should be a 1 in each box or that (in the going Long case - used as an example) there should be a 1 for the buy since it is 1 day away from the signal and a 2 in the sell portion if one doesn't want to sell on the same day in which one buys?
But this choice seems, on the face of it, weird since if one knows that one wants to Buy on the day after the EOD signal is received but doesn't really care about when one sells except for not wanting it to be on the same day as the buy and only cares that the 0.50% stop is ultimately hit that begs the question: am I know now forcing the backtester to punch out on the day after the buy even if that's not yet meeting the goals/needs of my "Profit Target Stop" (again, 0.50% in my case) found under the Stops Tab?
Richard
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