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AmiBroker's accuracy doesn't play a role in system performance (it is
accurate) what you probably mean is what kind of slippage you can
expect. The effect of slippage would depend on your average profit.
You can simulate and check the effect of slippage by increasing your
commission level.
Without position sizing you can get unrealistic profits. You also need
to check your Limit Trade Sizing setting in the AA. Suppose you enter
at the open and want to get the open price, you will need to inspect
the volume at that instant. Your window for a satisfactory fill may
only be one minute. What is the typical volume for that one Minute?
Would your system still be profitably if you limit your trades to 5%
of that volume? You may have to switch to Real-Time minute data to be
sure.
Another question is whether you would have been able to stick to the
system :-)
What was your worst Draw Down?
How long was the DrawDown?
If your system is in a DD for months at a time, which is not
unusual for a system giving high profits over a ten year period,
very few traders would stick to the system.
Finally - be sure your code is sound. It is very easy to build-in small
logical errors that give you huge profits. For some examples see:
http://www.amibroker.org/userkb/2007/07/21/system-design-pitfalls/
Some of these errors are almost impossible to detect unless you test
the system using simulated account, and trade the system for a week.
Than compare each trade with those your Backtester got. I you get a
match you'll get rich :-)
herman
> What has been people's experience with Amibroker in terms of
> accuracy? Initially, I found it very difficult to design a system
> that makes a decent profit. However, I have recently designed a
> system that would have netted me (through the backtester years
> 2000-2010) almost $1 billion dollars had I not put an positionsize
> restrictions on it. Now that seems obviously unrealistic. Now I made
> my positionsize a little more realistic (a scale of 10-30% of
> current equity). And I am still coming up with $29 million over the
> past ten years. I am wondering what I may be doing incorrectly.
> Here are some questions:
> 1. How accurate is amibroker with an EOD trend following design
> where I buy or short on the open after the trigger?
> 2. What sort of things do I have to be aware of to make the system more realistic?
> 3. How do you account for slippage in your EOD trading system?
> 4. On a different note, what is the most profit that you were able to backtest?
> I just want to understand and be realistic with what I have
> designed. I am a little naive because I have already started
> dreaming about my new found wealth. I would appreciate any thoughts.
> ------------------------------------
> **** IMPORTANT PLEASE READ ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
> TO GET TECHNICAL SUPPORT send an e-mail directly to
> SUPPORT {at} amibroker.com
> TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
> Yahoo! Groups Links
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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