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YES!!
Claud
Lionel Issen wrote:
> Doesn't V 7.x of Metastock allow you to take the results of one exploration
> and use it as the input for another?
> Lionel Issen
> lissen@xxxxxxxxxxxxxx
> ----- Original Message -----
> From: "Tom Sprunger" <tlsprunger@xxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Monday, June 25, 2001 12:35 PM
> Subject: Re: Evaluating MS Trading Systems
>
> > Dave, you can't test different time periods in the Explorer unless they
> all
> > end in the last (most current) date, can you?
> >
> > By the way, being limited to 6 columns in the Explorer sure is a pain for
> > system testing! Sure limits you to what you can report.
> >
> > Tom
> > ----- Original Message -----
> > From: "Dave Nadeau" <dave_nadeau@xxxxxxxxx>
> > To: <metastock@xxxxxxxxxxxxx>
> > Sent: Monday, June 25, 2001 12:00 PM
> > Subject: Re: Evaluating MS Trading Systems
> >
> >
> > > Herman,
> > >
> > > I don't use the MSBT, but do the same sort of thing using the Explorer.
> I
> > will code many of the
> > > metrics that you are discussing and compare them across multiple
> > securities in a portfolio. You
> > > have some very good ideas and I would like to experiment with some of
> them
> > in my future tests.
> > >
> > > Another idea that may be worth trying is this: split your data into
> three
> > date ranges (assuming
> > > sufficient number of data points for a statistically valid result). My
> > theory is that when I
> > > create a system that is successful, it exploits a market behavior that
> is
> > consistent and
> > > persistent. An example is a trend following system. Some markets trend
> > better than others,
> > > especially certain commodities. PREMISE: Generally speaking, i.e.
> > across a group of these,
> > > that market which trends will be more likely to trend in the future than
> a
> > market which is choppy.
> > >
> > > So taking the best performing issues in the first date range, should be
> > the better performing set
> > > in the next data range, and then, the third. There will be variation
> > among some of the issues, of
> > > course, but in general, I'm looking for this to be true. If so, then I
> > get a good feeling for the
> > > robustness of my system as well as the expectation of its performance in
> > the future. When I find
> > > systems that do not do this, my sense is that they are not much better
> > than random, and are more
> > > of a curve fit rather than one I'd trust trading real dollars.
> > >
> > > This approach tends to be more of a securities fit, rather than a curve
> > fit. It's just another
> > > way to slice and evaluate a system.
> > >
> > > Dave Nadeau
> > > Fort Collins, CO
> > >
> > > --- Herman van den Bergen <psytek@xxxxxxxx> wrote:
> > > > 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.
> > >
> > >
> > > __________________________________________________
> > > Do You Yahoo!?
> > > Get personalized email addresses from Yahoo! Mail
> > > http://personal.mail.yahoo.com/
> > >
> >
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