[amibroker] Re: Reconciling MAE/MFE backtest results

["sebastiandanconia" <sebastiandanconia@xxxxxxxxx>]

Your system reverses to short on long exits, is that right? (Sell = Short = Cross(StoD,StoK);)  Have you checked to see what happens if you just set it to "Buy" and "Sell" so you're just getting the long trades?  Maybe the fact that the system is reversing from long to short within the same bar is "confusing" AB?

I don't know for sure that this is it, but it's something to try.  (JMO, but I think the best practice is to test long and short systems separately, anyway, just because long and short trades behave differently from each other.)


Sebastian

--- In amibroker@xxxxxxxxxxxxxxx, "q03237241" <adsligtd@xxx> wrote:
>
> Hi,
> 
> I have been going cross-eyed with this for days, so I am hoping someone can point me in the right direction.
> 
> I am trying a system that buys/sells on a stochastic cross. However when I examine the backtest output, I cannot reconcile the MAE% figure with the simulated trade data.
> 
> 
> Here is the code:
> 
> //enter at close of bar
> SetTradeDelays(0,0,0,0); 
> BuyPrice = C;
> SellPrice = C;
> ShortPrice = C;
> CoverPrice = C;
> 
> 
> //Stochastic indicator
> 
> Userfriendly = Param("User Friendly Variable",1,1,50,1);
> periods = Param( "Periods", 15, 1, 200, 1 );
> Ksmooth = Param( "%K avg", 3, 1, 200, 1 );
> Dsmooth = Param( "%D avg", 3, 1, 200, 1 );
> StoD = StochD( Userfriendly*periods , Userfriendly*Ksmooth, Userfriendly*DSmooth);
> StoK = StochK( Userfriendly*periods , Userfriendly*Ksmooth);
> 
> //-----------------------------------------------
> 
> // buy & Sell conditions
> 
> Buy = Cover = Cross(StoK,StoD);
> Sell = Short = Cross(StoD,StoK);
> Buy = ExRem(Buy,Sell);
> Sell = ExRem(Sell,Buy);
> 
> 
> Plot(C,"C",colorBlack,styleCandle);
> Plot( StoD, "StoD", colorBlue, styleLine|styleLeftAxisScale);
> Plot( StoK,"StoK", colorRed,styleLine|styleLeftAxisScale);
> 
> ////////////END/////////////////////////////////////
> 
> 
> As an example, when I run the backtest on ticker SKI.AX I get a long entry @ $1.33 on Jan29 ? 2010 with an exit @ $1.31 Feb8. Reported MAE of 1.5%.
> 
> When I check the chart I get trade open $1.33 and trade low of $1.30 (Feb8) giving a MAE of $0.03c or 2.25%. 
> 
> Checking other trades gives similar results. All the MFEs I have checked seem ok.
> 
> Does anyone have any pointers for me?
> 
> 
> Thanks
> Chris
>




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