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I think there are many people that would like to test, optimize ... on a
portfolio. I've asked Equis several times about this and have made many
recommendations to them on this subject.
There are some ways to come close though.
- run a series of tests (including optimization) on a portolio and record the
results in Excel. Then further analyze in Excel. (Very tedious though)
- a crude but useful Exploration can be created to evaluate how a system
would perform on a list of stocks.
One problem with the current system test module is that many of the
statistics from the system test module aren't very useful.
Drawdown should be from the highest equity high in both dollars/points and
percent.
Worst trade should be in dollars/points and percent. (A $1000 loss on a
$50000 investment is much better than $500 loss on a $1000 investment, but
the test statistics don't show that relationship. It just shows the biggest
loss in dollars and lets you go through the trade data to find out what the
worst percent loss was. Also average loss should be in percent. The
percentage statistics may show the trading system/market performance is much
different than indicated)
Geometric Mean/trade in percent would be very useful. Optimization on this
parameter would also be needed.
For portfolio testing:
- weighting for each market
- optimization on market weighting
Your not the only one wanting this. Portolio testing in Metastock would put
it head and shoulders above Tradestation..... everbody else.
Kevin Campbell
In a message dated 5/2/00 12:53:09 PM Central Daylight Time,
Michel.Amelinckx@xxxxxxxxxx writes:
> GlacierThis amazes me, from the replay activity of this message it seems
> most members on this list are either futures traders or stock traders who
> have NO interest in testing patterns or systems on multiple stocks. For
> futures traders I can understand but for stock traders I don't. I can't
> believe that I'm the only one interested in an add on which makes it
> possible to TEST ON MULTIPLE STOCKS something similar than DeBRY MSST but
> then more flexible and powerful. Like described here below.
> Would this be possible ? If not in Visual Basic then in an other language ?
>
> Greetings
>
> Mickey
>
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