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Tom:
I ran a couple of "before and after" system tests, with the Ref() function, as you described how to use it. I assume that it works correctly now, but I have a few questions regarding the messages Metasotck provides when you look at the list of attempted trades.
Looking at my "before" test on the Orders tab, I got two types of messages. The first is:
Considered
Placed
Cancelled-Open Cost
I assume this is the key one that the Ref() gets around?
The second message in the "before" test was:
Considered
Placed
Open
Cancelled-Position Limit
What does "Position Limit" mean?
When I modified to include the Ref() function, and the changes to Buy and Sell at Open, and set days delay to 0, both of the above messages vanished. But then I would get:
On day 1 (i.e. the first day a trade signal was received)
Considered
Placed
Open
Executed
On day 2 through day ?:
Cancelled - Zero Size
This would continue until I received a signal to sell, and then the sell would be executed correctly.
I assume this above message is because my Buy (and Sell) signals are a "> than" or "< than", and not a "cross" function, so the Buy remains in effect but I don't have any $ to buy with (since I am set to trade 100% equity)?
Thanks ever so much for all your help on this one. Any other problems with the Ver. 8 System Tester that your research has found? If so, letting us know would be greatly appreciated! Unfortunately, I now have lots of "conclusions" which have to be retested!!
Harry
--- In equismetastock@xxxxxxxxxxxxxxx, "bex1210" <hmw3@xxxx> wrote:
> Tom:
>
> Thanks so much for the clear explaination. I think I have it (I'll
> know when I test it tomorrow).
>
> I usually test at 100% and $10,000. For old guys like me, that means I
> can do most of the results math in my head.
>
> Harry
>
> --- In equismetastock@xxxxxxxxxxxxx "Tom Sprunger" <tlsprunger@xxxx>
> wrote:
> > Harry, answers below
> >
> > >
> > > Could you let the rest of us know how the Ref() function solves
> the
> > problems you mentioned about 100% Equity in the System Tester?
> >
> > First a quick refresher.
> > The system tester calculates a signal. Then it passes the signal to
> the
> > Broker module.
> > The broker module calculates the number of shares it can buy based
> on the
> > price on the signal day, and typically tries to buy them on the next
> day.
> > If the price the next day is > the price on the signal day it can't
> buy and
> > you miss the signal.
> >
> > So, what we need to do is make sure the signal price and the Buy
> (Sell)
> > price are the same to avoid missing signals.
> >
> > Two ways to do.
> > 1. set to enter on close on day of signal. Here the signal price
> (usually
> > close) = buy price and you miss no trades.
> >
> > 2. use Ref() function. This is more realistic because you can enter
> on the
> > next bar. What happens here is that the tester does no recognize the
> signal
> > to be true on the entry bar because you are always referencing one
> bar back.
> > But on the next bar when it looks back it sees you have a valid
> signal. So
> > now it calculates how many shares to buy. If you have delay set to
> 0, the
> > voila! The signal price = the buy price and you always get filled
> > correctly.
> >
> > The Tester uses the same price field to calculate # shares as it
> does to buy
> > them.
> > So, a realistic test is to buy on the open after the bar of the
> signal.
> > So set your properties to buy/sell on open with 0 delay.
> > Then use Ref() as below
> >
> > x:= enter condition; {this is what you want for signal, eg Cross(a,
> b)}
> > Enter:=Ref(x,-1);
> > Enter
> >
> > What we are doing is getting around the problem of the tester by
> using the
> > way it works to do what we want to do and it should be doing anyway.
> >
> > The % of Equity is up to you. Doesn't matter. Pick whatever you
> want. I
> > like to start with a nice round number like 1000 and use 100% so I
> can see
> > how the return compounds.
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