[Attachment(s) from Brian Wild included below]
Hi Folks
Having had some problems backtesting an AFL
program, I tried to resolve the issues by looking at a very basic MA
crossover program. This gave very puzzling results as shown in the attachment.
Items included are the Main Plot, the AFL prog, and the backtester result. There
were no fancy settngs for the backtest.
Please note that the dates are in English format -
ie dd/mm/yyyy.
The problems I see are: -
1. Buy and Sell arrows show up correctly on the
plot. However, the backtest output has reversed all of these, so that the Sell
signal on 12/1/2009 has become a Buy in the table, and so on.
2. Nevertheless,these poor signals yield 3 trades,
two of which yield a profit! The backtester profit calculations appear to be
correct, and give a total profit of $2202.96 as shown at the bottom of the
backtest table.
3. This profit would imply a final equity of
about$12,203, given the starting value of $10,00. However, this bears no
relationship to the final value on the equity curve, namely
$7732.38.
4. These results were with the default
values of the Parameters set up for the fast and slow MAs. Selecting different
values by right-clicking on the plot, selecting Parameters, etc, then re-running
the backtest gave exactly the same calculations, although the plot changed as
expected. Is this the intended operation of the backtester? - i.e default values
are used regardless?
Any advice on the above issues would be
appreciated.
Brian
Attachment(s) from Brian Wild
1 of 1 File(s)
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