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Yes, the System Tester is not perfect.
Ex.
Anyone that trades the emini futures indexes knows that the spread is
0.25 points in the ES(S&P 500 index contract). Well, we also know
that the MS Tester uses realtime stops and targets! If you get a
stop at 990.33 when using % stops/targets, that does not make sense
because you can only trade in quarters of a point in the index
futures! The only possible out would be 990.25 or 990.50. So, your
results will be off from what might have been done trading in
realtime. Of course, I realize this and take that into account in my
system development. The use of points in the stops/targets is
another option, but that can distort a trading system that looks at a
longer term data set that covers several months and range.
Bob
--- In equismetastock@xxxxxxxxxxxxxxx, bigdogreg61 <no_reply@xxxx>
wrote:
> Tom,
>
> I really appreciate you posting this e-mail. I wish I had known
> this before I purchased 8.01.
>
> Points only has problems too. Do a Points Only Test on a Security
> and note what the Buy and Sell price is in the Results Detail View
> window. I had a signal to buy @ $13.30 Sell @ 17.79 and the
> points only gave result of 4.45 (should be 4.49).
>
> The Result I got When I had 20 trades with Debry.com Msst Points
> only test were much different then Equis Enhanced System Tester.
> This program cost $1695.00 and the System Tester has major
problems.
> Equis should release 8.02 ASAP.
>
>
> I WANT TO TRADE AND NOT BETA TEST A SOFTWARE THAT I PAID SOMEONE
> $1695.00 FOR.
>
> Unhappy,
>
> User
>
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Tom Sprunger"
> <tlsprunger@xxxx> wrote:
> > bigdog, and any one else interested,
> >
> > I spent a week or three figuring out how the MS v8 System Tester
> works. I
> > had problems getting the results from 8.01 to match 7.2. I had
> strange
> > signals, missing trades, multiple trades off one signal, etc.
> Had several
> > emails, phone conversations, etc with Equis. Bottom line is that
> they went
> > overboard in trying to make it realistic, to the point it is
> unrealistic
> > (my opinion). Especially if you are trying to develop and test
> systems.
> > However, there are two workarounds you can use to get valid
> results.
> >
> > So I won't forget what I learned I, wrote it up. Below tells how
> the tester
> > currently works and explains why the results give missing trades,
> multiple
> > trades, doesn't use your full equity, etc. and therefore
provides
> invalid
> > results.
> >
> > Read below how 8.01 works, then look at the two methods to get
> valid results
> > if you are trying to develop and test systems.
> >
> > Equis has told me they are looking into changing it, but no
> commit, and no
> > timeframe for making the decision.
> > If you agree with me, send or call them and tell them to change
> it. At the
> > bottom, I list what I have recommended they do.
> >
> > ------------------------------------------------------------------
-
> ---------
> >
> > The Metastock v8.x system tester works very differently than
> previous
> > versions. On the up side it can test multiple securities
> simultaneously.
> > However, its operation has differences that are very significant
> to a system
> > developer, and in reality are not anywhere near what would happen
> in the
> > real world.
> >
> > It is important to understand these differences because the v8
> tester can
> > give very different results from the v7 tester when using the
same
> system on
> > the same security with the same time periods. In addition,
> because of the
> > v8 "features" you can get different results comparing the several
> systems on
> > the same security from the v7 tester. This also implies
> Optimization
> > results could be invalid.
> >
> > Later we will see how to get around these issues and limitations.
> >
> > Here's the major differences.
> >
> > The v8 tester has several new options that are key. The key
> differences
> > result from a "Broker" module which places orders.
> >
> > a. "Position Limit" This is accessible from the "General"
screen
> on each
> > individual system test description. You will need to be very
> careful what
> > you put in here as you will see later. In addition, if you are
> comparing
> > different systems, you need to be sure that they all have the
same
> number of
> > positions allowed or you may get unfair comparison results.
> >
> > b. Trading size. In the v7 tester the system traded 100% of
your
> equity on
> > each trade. There was no option to do otherwise (except
> for "points only"
> > test). The v8 tester allows you to trade a constant number of
> shares, total
> > transaction cost, or a percentage of equity available. We will
> concentrate
> > on the "% of equity available, as it is most relevant for system
> development
> > and comparison.
> >
> > c. Trade Price -- the v7 tester allowed you to select the price
> field
> > (O,H,L,C) for entry and exit and the delay for each. In other
> words you
> > could have different delays for entry and exit.
> > The v8 tester does not allow different delays for entry and
exit.
> It uses
> > the same delay for all entries and exits. The v8 tester also
> allows
> > different price fields for the long and short entries and exits,
> which the
> > v7 did not. But there is more you should know.... read on.
> >
> > The biggest difference in v8 is the addition of a button
> for "Realistic
> > Market Prices". It is important to understand what happens when
> you check
> > this button.
> >
> > To explain, let's assume you have "Position Limit" =1, "% of
equity
> > available"=100 and the "Realistic Market Prices" button checked.
> >
> > When you get an enter Long signal, the program calculates the
> number of
> > shares that can be purchased using the open price on the signal
> bar (day0).
> > It tries to purchase that number of shares at the open price on
> the next bar
> > (day1). However, if the open price on the next bar (day1) is
> higher than
> > the price from the signal bar (day0), the tester does not place
> the order
> > because you do not have enough money. Now let's say you did not
> have enough
> > money. If your system is gives one day signals like you would
get
> from a
> > cross(x,y) signal, then this trade will never be entered.
> >
> > If your system stays on a buy like you might have with a latch or
> with a
> > c>mov(c,20,e) structure, then the tester will still be on a buy
> signal on
> > day1. It will then recalculate the number of shares that can be
> purchase at
> > the open on day 1 and attempt to buy them on day2. If it can't
> buy because
> > the price is up at the open on day2 then it will not enter. The
> process
> > will continue until either the price drops at the open and you
get
> filled or
> > the buy signal goes away. Thus it is again possible that you
> never enter on
> > this trade signal. The other possibility is that you will not
get
> filled at
> > 100% of your equity.
> >
> > Now for a moment assume that you had your "Position Limit" set at
> 10, and
> > your buy signal remains in effect. The tester will continue each
> bar to try
> > to
> > fill your orders as above, and will add positions until either
> your buy
> > signal goes away, or your equity is used up, or your positions
are
> equal to
> > 10. So if you have a buy signal that lasts for 20 bars, you may
> get 10
> > positions filled where the last one may be filled on the last
bar
> before
> > the buy signal goes away.
> >
> > Note: the reverse happens on enter short signals.
> >
> > When the system gets an exit signal (either long or short) it
> exits on the
> > open of the next bar if you have "Realistic Market Prices"
> checked. Note
> > that there does not seem to be any issues on the exits. Since it
> is an
> > exit, it just exits regardless of the prices.
> >
> > If your system is an always in the market system, and you flip
> from a long
> > to a short, it will exit longs on the next bar, and attempt to
> sell short
> > the number of shares it calculates based upon the open price of
> the signal
> > day. If the price on day1 is higher, it does not enter the short
> sale.
> >
> > So, it is key to realize that if you use "Realistic Market
Prices",
> > Your tests are not at all realistic because you may not get
filled
> on the
> > day of the signal, or you may get filled at all, or you may get
> filled
> > multiple times. Implications are:
> > 1. Can't compare systems on same security.
> > 2. buy sell arrows represent entry/exit dates and not signal
dates.
> > 3. This problem applies to all securities including mutual funds.
> > 4. Very difficult to develop systems and see valid signals.
> > 5. Can't compare performance on one security to another with same
> or
> > different systems
> >
> > Next let's review how the "Trade Price" from the "Trade
Execution"
> screen
> > works if you do not have the "Realistic Prices" option set.
> >
> > The system calculates the number of shares to buy based on the
> price field
> > you choose and then tries to buy them on the price field you
> choose.
> >
> > If you have "Buy Price" = Open and Delay =1, the system
> calculates the
> > number of shares to buy based upon the Open price on the signal
> bar and
> > attempts to buy at the open of the next bar. If you have "Buy
> Price" =
> > Close and Delay = 1 the system calculates the number of shares
> based upon
> > the close of the signal bar and attempts to buy on the close of
> the next
> > bar. Same for Sell Price, Sell Short Price, etc. So if all you
> do is
> > uncheck the "Realistic Market Prices" button and use "Buy on open
> with
> > delay=1", nothing really changes.
> >
> > This is not logical at all! If you decided to buy on the open
> tomorrow
> > based on a signal today, only an idiot would calculate the
number
> of shares
> > to buy based on today's open! There has been a whole day's worth
> of price
> > action transpired already and the open from yesterday
> > is no longer relevant. You would logically use today's close
> to "Estimate"
> > the number of shares that you "Might purchase" the next day.
> >
> > Because of all this it is difficult to develop and compare
systems
> using the
> > v8 tester that produce valid results.
> >
> > Now, it gets even worse. All this tells me the optimization
> results are not
> > valid in v8. Since
> > all this buy, can't buy because price is up, etc etc stuff
occurs,
> I assume
> > it occurs on each optimization run. So your optimization results
> are not
> > based on reality. In some trades, you don't get filled because
of
> this. In
> > others you get filled late. A $.01 increase on the open would
> potentially
> > cause you not to be filled. So it makes the optimization results
> > inconsistent and unreliable. When you optimize you want to find
> the best
> > signals that optimize your performance. The potential non or
> late fills
> > because of a small price change on a given parameter run totally
> distort
> > this.
> >
> > So what can you do to get around this to develop and compare
> systems,
> > compare multiple systems, etc. ?
> >
> > Note that the above issues do not seem to effect you if you use
> a "Points
> > Only" test. In this mode apparently the v8 works just like the
v7
> tester.
> > So you can get valid results that way.
> >
> > But if you wish to see an equity curve, or get a return in %
then
> you have
> > the above problems.
> >
> > There are two ways to get around this and get valid results and
> signals.
> >
> > First, don't use "Realistic Market Prices".
> > Make sure your "Position Limit" is set to 1.
> > Set Equity Default size to 100%.
> > Under Margin Requirements to
> > Long Initial = 100%
> > Long Maintenance = 0%
> > Short Initial = 200% (amazingly, 200% means no margin, but
> that is
> > another story)
> > Short Maintenance = 101% (this means essentially no
> maintenance. for
> > some dumb reason they won't let you put in 100%, so you will
never
> be able
> > to trade your full equity on a short trade, only 99%.)
> >
> > Now you have two options.
> > 1. Set all your enter and exit positions to "Close" with a Delay
> =0.
> > This will enter and exit all of your equity (except for the
stupid
> 1% limit
> > on short sales) at the close. All your signals will show up on
> the charts
> > correctly, your % gains will be correct and it will produce
> results very
> > close to the v7 tester. Of course the drawback is that in the
> real world,
> > you probably won't enter and exit on the same bar as the signal.
> However, if
> > you are mainly looking to compare systems or see signal dates,
> then this
> > works.
> >
> > 2. Set all of your enter and exit conditions to use format of
> > Ref(enter,-1).
> > Use "Price Field = Open with Delay =0". (or Close with delay of
> 0, or
> > whatever).
> > What happens is that the condition that is true on day0 gets
> evaluated as
> > true on day1 (the day after the signal and the right day to
> enter). The
> > number of shares are calculated and purchased at the same price.
> The arrows
> > show up on the chart on the entry/exit day.
> >
> > This is as realistic as the v7 tester and actually pretty good.
> > The downside is you have to rewrite all your systems to use the
Ref
> ()
> > function in all the enter and exit conditions. Lots of work and
> pain.
> >
> > Using either of these methods should make the system tests valid,
> match 7.2
> > results, and make the optimization results valid.
> >
> > What should be done is that Equis changes the tester. Here is
> what I have
> > recommended they do:
> >
> > If the "Realistic Market Prices" button is checked the system
> should adjust
> > the number of shares to buy everything allowed by the equity in
> the account
> > at the open the next day.
> >
> > When the user selected options for Buy,Sell, etc are checked, the
> system
> > should adjust the number of shares to buy the total $ allowed by
> the equity
> > at the price field selected, on the bar selected by the delay
> field.
> >
> > Of course the other option is to just put it back to the v7
method.
> >
> > One other caveat, I have done any testing attempting to use the
> limit
> > orders so I have no idea what happens when you try to do that.
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