Re: [amibroker] Amibroker Perspective, AmiBroker Email List Archive

Hi,

I've been using AB for about a year and I still consider myself a novice - the product is very versatile - it's capabilities are vast - but the downside is that it will allow you to make mistakes - it's the flipside of freedom.

Like you I'm a trend trader, and I've found no problems with the AB backtester.

In the past when I've generated "too good to be true" backtest results the culprits were:

1) Forward looking functions: Zig, Peak and Trough
2) Liquidity. Very easy to assume you can buy more of a small cap stock than there is issued stock.
3) Survivorship Bias. Todays top 50 stocks weren't yesterdays top 50, and the ones that are at the top now are basically the winners, and you could not have known that in 2000.

When I get such a result, I look at the trade listings and have a look at the charts on those trade days, you should soon realise where the problem lies.

Don't be discouraged, the product is good, and the path to backtesting systems is not that simple. A lot of the systems/processes that you see published in books simply don't stand up in backtesting!

Stick with it and you should find something that suits you.

Robert Z

From: jchi18 <inbox.chi@xxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tue, 9 March, 2010 2:31:13 AM
Subject: [amibroker] Amibroker Perspective

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.