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Yarroll,
Thomas Stridsman recently wrote a book called "Trading Systems that Work" which, in addition to
offering a great study on systems development, addresses the issue that you are working with. In
a nutshell, he's advocating a percentage based normalization of trading results (as opposed to
normalizing the price), and you could treat your commissions similarly.
I know that you can export the trade by trade results from the systems tester in Metastock, but
this would be a long and tedious process across many markets as well as very manual for multiple
optimizations.
In EasyLanguage and Tradestation, you can use the FileAppend commands in your code to export your
individual trades already adjusted in percentage terms with your percentage commissions applied as
desired. If you have a workspace open with all the markets under consideration plotted with the
strategy/system applied to each, then each change you make to the code will propogate across all
of the open charts and append the results to your ASCII file (or .csv, if you wish). Then you can
finish your summary analysis in Excel.
Yes, the optimizations will be SLOOOOOWWWW, but the automated postings of the trade by trade
results (or summary results if you're willing to code the trade results into variables in Easy
Language) should be a big timesaver.
===============
Dave Nadeau
Fort Collins, CO
> Thanks, and all the best
> Yarroll
>
> PS. Talking about backtesting as described above... If it all worked as I
> just hope it one day would, there would be different pitfalls to
> encounter... Like 2-3 winning trades from the 20-30,000 range would
> inevitably skew the results of a test which would have 20-30 losers in the
> 200-300 range..
> So maybe the Metastock "idea" (or, necessity) to test in separate price
> ranges shouldn't be so annoying after all ;-))
> Could data somehow be normalised? So as TA indicators would just go nuts?
> Or, maybe something else should be constructed, percentage wins or losses
> vs. initial investment for every entry, just forsaking Tester's "Net Profit"
> completely? (Just like Metastock "percentage" tests, only without the
> brainless compounding:-(( }
>
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