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At 08:00 PM 6/24/01 -0500, you wrote:
>What is MSBT?
>Lionel Issen
MSBT (Multiple Security Back Testing) is an add-in for Metastock. I use it
to test my trading systems on various stock selections (50 - 8000 stocks).
It takes about ten minutes to process 8000 stocks and produces a Excel
compatible (.csv) report with about 50 stats (like in the MS system tester)
for each stock tested.
I like this add-in because it gives me an immediate idea of how robust my
system is. Testing my system on a large universe of stocks and knowing for
how many stocks the ROI actually improved, gives me a good (well, sometimes
not so good...) indicator of the "robustness" of my system.
The ratio (number of stocks with improved ROI)/(Total number of stocks)
makes a nice Robustness Index. It is also interesting to run tests on
different sectors or other categories of stocks. It would be interesting to
learn what kind of RB-Index other developers manage to obtain - anybody
care to share? I typically get 35% however I have have a sorting problem
related to negative B/H indices - so I think my ratio is actually much
better. Anybody calculated this ratio?
My systems tend to be too specific and finding stocks that trade well with
my system was difficult. Using the MSBT you run your system on all 8000
stocks (or less) and see immediately which stocks performed well with your
system. I had some interesting surprises :-)
For more info visit http://www.holygrailsoftware.com/msbt.shtml , the
add-in costs $45.
Happy trading!
Herman.
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