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I'm sure you have done a wonderful job of backtesting. But I don't
trade systems that I haven't backtested myself. My question was open
to anyone. You need not respond to any of my "backtesting" questions.
--- In equismetastock@xxxxxxxxxxxxxxx, manohohman <no_reply@xxxx> wrote:
> This was backtested using TradeStation.
>
> I took the Tradestation results and did what I suggested all of you
> do, I set it up on chart; I manually marked the entry and exit
> signals; and then I figured out the trade profit and losses by hand.
> When you do that your results will vary from the backtest results
> slightly but you then know how well you will do trading the sytem and
> not the computer. The computer won't make the trades for you, so you
> might as well figure out how much less efficient you are than the
> computer. That way you won't get surprised in live trading.
>
> I do not use mechanical test results from any program without the
> hand anaylsis. When I backtest with a mechanical system I only
> consider the results to be relative--that is comparable from one to
> another on the same testing platform. However, they have nothing to
> do with live trading. Often a mechanical system will give you great
> results until you go to trade it and you can't read the entry and
> exit signals, or process the information fast enough because we're
> human and not a computers.
>
> This system has already been backtested by a lot of people. You don't
> need to reinvent the wheel. If you look at three or four years worth
> of data and pick out the signals by eyeball, it will tell you
> everything you need to know.
>
> As I explained, I study and tinker with systems development, and this
> came from some of my books. I've put this together based on the work
> of many other people who are very competent.
>
> If you backtest and get results other than the ones I've told you
> about, I can't explain to you why you got different results. I don't
> have clue as to what you have done. If you set the system up right,
> follow the trading rules, eyeball test it, anc calculate the results
> properly by hand, you will get very similiar results to the
> tradestation results.
>
> If you backtest this using other systems, who knows what you'll get.
> I certainly don't know. It doesn't matter. If you set up the
> Geometric Index and test it using the same platform with the same
> setup, it will give lower results than the Arithmetic Index, which is
> what Tradestation said. While your comparison results will be the
> same, your P&L numbers will be different.
>
> I'm sorry, but I don't have time to answer any more questions on
> backtesting. Anyone who wants to use the system can. If you want to
> do 10,000,000 backtests on it yourself, be my guest. I just can't
> spend the time helping you figure out how your backtesting works,
> what parameters to use, what assumptions to make, etc. Backtesting is
> a black hole for time, energy and misleading results.
>
> This system only predicts market moves as a whole, so it only works
> with the market as a whole, thus SPY.
>
> I was asked if the system was curve fitted! How can you curve fit a
> 4% price move. It either moves 4% or it doesn't! I was asked if it
> was tested on out of sample data! That's only relevant if the
> equations can be curve fitted.
>
> Sorry no more backtesting questions, please.
>
> Good luck!
>
> JO
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