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Lionel, I assume you were using the results of one exploratation as input to
another as a means of getting more than 6 columns. That would certainly
work for backtesting as both of the explorations would have identical
securities and the way I'm using them, none are filtered. But one could
also just write another exploration and use it on the same list to get the
additional columns. Then you paste the results into Excel and delete the
redundant columsn either way. Six of one, half a dozen of the other. This
has given me several ideas to try out.
Tom
----- Original Message -----
From: "Lionel Issen" <lissen@xxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Monday, June 25, 2001 2:31 PM
Subject: Re: Evaluating MS Trading Systems
> 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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