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Here is another possible use of the MS Explorer for calculating the
profitability of its own past explorations or for back testing a system
during a specified period. I have been away for some time now, so I don't
know if any other members have posted something like this in the meanwhile.
I am aware of the fact that there have been a lot of interesting and more
sophisticated exploring methods using the MS Explorer for back testing, but
this one might be also useful, since it's quite simple, fast and easily
adaptable to various needs.
Suppose we had performed an exploration on date xx/xx/xx, based on a set of
conditions, like <myCondition1> and <myCondition2> and ..<myCondition10>,
all part of the Explorer's Filter.
Say that 3 securities had passed our strict filter and had been candidates
for long entry at the next bar's Open.
10 periods after our long entry we want to check the performance of the
above securities, to evaluate our conditions either as part of a system or
as part of the exploration.
The following method checks the %profit gained 1, 2, 3, 4, 5 and 10 periods
after our position has been opened.
1. Copy -paste the code into the corresponding fields of the Explorer.
Column A
Col Name: H1 %
Code: (Ref(HIGH,-9)-Ref(OPEN,-10))*100/Ref(OPEN,-10) {%Gain 1 period after
long
entry}
Column B
Col Name: H2 %
Code: (Ref(HIGH,-8)-Ref(OPEN,-10))*100/Ref(OPEN,-10) {%Gain 2 periods after
long
entry}
Column C
Col Name: H3 %
Code: (Ref(HIGH,-7)-Ref(OPEN,-10))*100/Ref(OPEN,-10) {%Gain 3 periods after
long
entry}
Column D
Col Name: H4 %
Code: (Ref(HIGH,-6)-Ref(OPEN,-10))*100/Ref(OPEN,-10) {%Gain 4 periods after
long
entry}
Column E
Col Name: H5 %
Code: (Ref(HIGH,-5)-Ref(OPEN,-10))*100/Ref(OPEN,-10) {%Gain 5 periods after
long
entry}
Column F
Col Name: H10 %
Code: (H-Ref(OPEN,-10))*100/Ref(OPEN,-10) {%Gain 10 periods after long
entry ( the
Exploration Date)}
Filter
Entry:= <myCondition1> and <myCondition2> and ..<myCondition10> ;
Ref(entry,-11)=1 {since we have entered long 10 periods ago, the signal has
been generated 11 periods ago}
2. Click on the Options button on the Exploration Editor, check the radio
button "Specific date" and enter the date for which you want the exploration
performed. Click OK, OK, Explore.
3. After the exploration is done click Reports:
The results in this case concern the maximum profits possible on each one of
the above dates (periods).
For example the column H1 % shows the maximum %profit possible 1 period
after our long entry, whereas H10 % shows the maximum %profit possible 10
periods after our long entry, which is the date for which we performed the
exploration.
This is a simple method, not taking into account commissions or slippage.
Nevertheless, it might be useful if one wants to have a rough idea of the
profitability of his trading rules, performing back-tests rather
"horizontally" (on multiple securities, on various dates, for a few specific
date records) than "vertically" (on one security, on many adjoining date
records).
An additional advantage of this method is that one can specify custom entry
or exit prices, instead of fixed ones like Close, High, Low, Open.
Furthermore, one is able to get an idea of how "crowded" his explorations
usually are, since he knows how many securities pass his filter's
conditions, on various dates.
Needless to say, that we can easily use Close in the place of High if we
rather want to base the profitability on more "realistic" conditions than
calculating max profits.
We may also want to check the profits on other than the above-specified
dates, for example on 5, 10, 15, 20 and 25 periods after our long entry.
What's more, we can calculate the %drawdown on specific dates after long
entry, by substituting High for Low prices. We can back-test for short
entries instead of long ones, etc.
I hope this might be useful for some of you.
Happy analysis
Stephanos
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