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<SPAN
class=783291321-12052003>Tom,
<SPAN
class=783291321-12052003>
I am aware how the
system tester places trades. I've been using MS off and one since the
'80's and have been using 8.0 since it was released. Although I am focused
on the ES and use the points only option in my system testing, I did run some
sample tests using the % equity option before responding this
morning. By changing various options, I was able to generate
quite a number of different results. I was also able to duplicate your
"taking the trade problem". I agree with you that when using the system
tester, you need to look on the orders screen to make sure all the orders
considered were executed.
<SPAN
class=783291321-12052003>
I have also used
the "ref()" function in the past to fix problems with entries.
<SPAN
class=783291321-12052003>
I'm not clear from
your emails if you have been able to get the system tester working the way you
want to or not (did the ref() work for you)? If not, why not post your
intended entries/exits and let's see if I, or someone else in the group, can
find a solution? I often find that MS will allow you to do just about
anything if you work at it.
<SPAN
class=783291321-12052003>
Good
Trading,
<SPAN
class=783291321-12052003>
Joe
J.
<SPAN
class=783291321-12052003>
<BLOCKQUOTE
>
<FONT color=#0000ff
size=2>
Joe, here are my
comments on your comments. I'm not sure you understand how the tester
places trades (or doesn't). Read
on.
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 youcould have different
delays for entry and exit.The v8 tester does not allow different delays
for entry and exit. It usesthe same delay for all entries and
exits. The v8 tester also allowsdifferent price fields for the
long and short entries and exits, which thev7 did not. But there
is more you should know.... read o<FONT
size=2>n
<SPAN
class=268390717-12052003>
<SPAN
class=268390717-12052003>Joe: V8 does allow for different delays
on the entries and exits. There are two places to do this.
First on the buy/short screen you can set the "Strategic Delay(bars)" or if
you notice on the Trade Execution tab it says "Delay order Opening
XX".
<SPAN
class=268390717-12052003>
<SPAN
class=268390717-12052003>Tom: the Delay on
the Trade Execution Tab applies to all buys/sells. You can't set the
Buy to delay = 1, and the sell to delay = 0 on this
tab.
<SPAN
class=268390717-12052003>
<SPAN
class=268390717-12052003><FONT
color=#ff0000 size=2>The buy/short
screen delays you refer to are in the description of the specific System
Test you wrote. <FONT
face=Arial><SPAN
class=268390717-12052003>They will delay the signal but won't solve
the "take the trade" problem. You will still potentially miss
trades. Actually if you read the manual this is to allow for
delays from your data vendor. When I ran this test using a
delay of 1 day for all the executions, I still got a very
different answer from using the Ref() function, which matched my 7.2
results. Frankly I'm not exactly sure how this approach
works, but since it doesn't work like 7.2, I'm not going to spend a lot of
time figuring it out.
<SPAN
class=268390717-12052003>
<SPAN
class=268390717-12052003>With respect to your "% of margin problem", on the
system testing options screen, you may want to change the % of
Available Equity to 50% instead of 100%. This should eliminate
the problems of not having enough to enter the trade.
Realistically, you are probably never going to put 100% of your account
into one trade anyway.
<SPAN
class=268390717-12052003>
<SPAN
class=268390717-12052003>Tom: Changing to 50% of available equity
changes nothing. It just tries to buy with 50% Equity instead of
100%. Let's say you have $1000 equity. Then you get a signal
today and the the price today is $20.00. The system will try to buy 50
shares tomorrow if you have set at 100%. However if the open price is
$20.01, the order will be cancelled and there will be no trade.
Changing to 50% Equity does nothing. It just means that it will try to
buy 25 shares tomorrow. If the open is $20.01 it still will not buy
because you told it to only use 50% of the equity.
<SPAN
class=268390717-12052003><FONT
face=Arial><SPAN
class=268390717-12052003>
<SPAN
class=268390717-12052003>When working with the system tester, I always
recommend putting the "system" into the indicator builder and plotting
out the signals in some sort of "dot" or +1 (long)/-1 (short) format so that
you can double check to make sure everything is working the way you
want before relying on the system tester's
results.
<SPAN
class=268390717-12052003>
<SPAN
class=268390717-12052003>Tom: Agreed. That is how I found these
problems. By the way, it should be noted that the signals are
generated properly in the system tester. The problem comes in
with the Broker module which places the trades. You may have a valid
signal generated but the Broker won't place the trade. You can see
this in the ORDERS report. You will see Considered and Placed if there
is a signal generated. What you may then see is Cancelled. This
is because the Broker calculated the number of shares it could buy the day
of the signal, then the price changed, and the so the Broker could not buy
that number of shares. Then you see Cancelled. Its the
Broker module that screws up the equity and return results. But
its all part of the System
tester.
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