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The system tester in metastock eod gives the option of commission in points
or percent. This has been true going back several versions.
Lionel Issen
lissen@xxxxxxxxxxxxxx
----- Original Message -----
From: "Yarroll" <komin@xxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxxxxxxx>
Sent: Tuesday, September 04, 2001 9:25 AM
Subject: Commissions
> Hello List,
>
> I'm continually battling with a problem maybe you could help solve?
>
> I trade futures exclusively and for this reason I'm interested in
> "points-only" testing in Metastock. I do believe that a valid idea has to
> be properly tested, and that means tested against as much data of all
kinds
> and going as far back into history as possible.
>
> However, with this approach I'm up against a very real problem. I usually
> test against stock index data and it obviously comprises quite a few
> incompatible price ranges. If Nikkei used to be above 30,000, then Dow was
> below 200 for quite a while back in history.
>
> Inevitably I have a problem with commissions. With points-only test I have
a
> points-only commissions as well, and it would be ridiculous to apply the
> same points to Dow in 1925 and to Nikkei in 1989. I would rather need
> percentage commissions, but that's impossible to have in Metastock.
>
> Right now the only options I'm aware of are:
>
> 1/ Truncate my data into periods with similar price ranges (eg., 200-400;
> 400-800; etc.) and apply Metastock points-only different commissions to
each
> price range individually. This is what I'm actually doing.
>
> One obvious disadvantage of this is that I'm practically buried under
piles
> of charts, notes etc. Moving all this stuff manually is what takes most of
> the time, and what could be done in days (with % commissions) takes weeks
> :-((
>
> Another serious disadvantage is that this assumes testing in neverending
> sideways (trendless) periods. So usually the amount of work is doubled by
> the necessity to run the results against validation data sets with
strongly
> trending markets. For example, with Taiwanese index losing almost half her
> value in a year time you'd have to use just a few months of data for
> testing, but then see what happens to your ideas in a sharp transition
> period.
>
> 2/ Use no commissions at all - hoping for a good win/loss ratio - if it's
> high then probably commissions wouldn't matter much.
> Except, of course, when they WOULD matter. Second problem: sometimes a
> useless win/loss ratio doesn't preclude the overall profitability of a
> system :-((
> Much less work here anyway, and if some of these approximations captures
> your attention then you can always process the work as usual (point1).
Gosh,
> how I love to hear about "approximations" in testing context :-((
>
> 3/ Use Omega TradeStation Strategy Performance Report which is easily
> exported to Excel, trade-by-trade. Commissions set to 0 of course. In
Excel
> you can do the usual work (and so much for many of TradeStation advanced
> testing capabilities:-(( }
> However, TS IMO would be even slower than Metastock {in fact, to the point
> of uselessness) in handling the amount of charts required in tests. Also
> optimization speed makes it inferior {no offence here, Omega fans!
> It's superior in just about every other respect... In fact I code
everything
> in TS when stuff has been tested in MS}.
>
>
> Frankly, all this situation with testing impossibilities is quite annoying
> and it seems nobody really cares... Most futures testing is done on 1-2
> contracts and no more than 1.5-2 years back (if not even less) - which is
> completely suicidal IMO.
>
> Any ideas please? Testing across a BASKET of contracts would really speed
> everything up and I immediately got excited when I heard of it... There
was
> talk here about MSBT addin. I've checked their website, it does have %
> commissions alright, but it doesn't allow points-only test. Maybe there
is
> some software... AmiBroker? (Supposedly runs a test on multiple
contracts?)
> OmniTrader? etc.
>
> 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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