|
PureBytes Links
Trading Reference Links
|
Some Metastock related and other stuff and info that might be interest.
http://smcurl.com/hrPF7
-Ken
At 03:45 12/4/2003, you wrote:
>
>To unsubscribe from this group, send an email to:
>equismetastock-unsubscribe@xxxxxxxxxxxxxxx
>
>
>------------------------------------------------------------------------
>
>There are 6 messages in this issue.
>
>Topics in this digest:
>
> 1. Metastock Links
> From: "bob1@xxxxxxxxxxxx" <bob1@xxxxxxxxxxxx>
> 2. Re: Metastock Links
> From: sr5xtra
> 3. Re: Bugs in v8.01
> From: "equisdvc" <david_cardner@xxxxxxxxxxx>
> 4. Re: Re: Bugs in v8.01
> From: "Tom Sprunger" <tlsprunger@xxxxxxxxxxx>
> 5. System Test in 8.0 set like prior versions
> From: pumrysh
> 6. Question about unbounded indicators for any ICE user
> From: "metastockuser" <metastockuser@xxxxxxxxx>
>
>
>________________________________________________________________________
>________________________________________________________________________
>
>Message: 1
> Date: Wed, 3 Dec 2003 09:34:24 -0500
> From: "bob1@xxxxxxxxxxxx" <bob1@xxxxxxxxxxxx>
>Subject: Metastock Links
>
>All:
>
>Just a reminder to old and new members about my
>Metastock links page. This is NOT an endorsement
>of any product.
>
> http://www.robertew.com/cgi-bin/invest/inv_metastock.pl
>
>If you have other web pages to add, please email
>the urls to me.
>
>If you know of any plugin reviews, please send me
>either the url or the text itself.
>
>Thank you.
>
>Bob
>
>--------------------------------------------------------------------
>mail2web - Check your email from the web at
>http://mail2web.com/ .
>
>
>
>
>________________________________________________________________________
>________________________________________________________________________
>
>Message: 2
> Date: Wed, 03 Dec 2003 16:38:22 -0000
> From: sr5xtra
>Subject: Re: Metastock Links
>
>Bob -
>
>Thanks for the links page - appreciate it.
>
>Regards,
>Scott (new member)
>
>
>
>--- In equismetastock@xxxxxxxxxxxxxxx, "bob1@xxxx" <bob1@xxxx> wrote:
> > All:
> >
> > Just a reminder to old and new members about my
> > Metastock links page. This is NOT an endorsement
> > of any product.
> >
> > http://www.robertew.com/cgi-bin/invest/inv_metastock.pl
> >
> > If you have other web pages to add, please email
> > the urls to me.
> >
> > If you know of any plugin reviews, please send me
> > either the url or the text itself.
> >
> > Thank you.
> >
> > Bob
> >
> > -------------------------------------------------------------------
>-
> > mail2web - Check your email from the web at
> > http://mail2web.com/ .
>
>
>
>
>________________________________________________________________________
>________________________________________________________________________
>
>Message: 3
> Date: Wed, 03 Dec 2003 22:02:13 -0000
> From: "equisdvc" <david_cardner@xxxxxxxxxxx>
>Subject: Re: Bugs in v8.01
>
>Tom,
>Thanks for taking the time to respond. I agree with everything you
>had to say with one exception. I have just run a points only
>comparison test and it did not match. Sent the results to Equis. I
>had all of the settings you recommended. It took about three months
>to find them after I bought v8.01.
>David
>
>--- In equismetastock@xxxxxxxxxxxxxxx, "Tom Sprunger"
><tlsprunger@xxxx> wrote:
> > equisdvc, here is a summary of system test issues in 8.01 and how
>to get
> > around them I have posted a few times. Hope it helps you.
> >
> > -------------------
> > 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.
> >
> >
> >
> > ----- Original Message -----
> > From: "equisdvc" <david_cardner@xxxx>
> > To: <equismetastock@xxxxxxxxxxxxxxx>
> > Sent: Sunday, November 23, 2003 7:53 PM
> > Subject: [EquisMetaStock Group] Bugs in v8.01
> >
> >
> > > I have been working with the Equis Technical Support personnel
>since
> > > I purchased v7.0 in June of 2000. The support has been
>excellent, so
> > > when v8.0 was released, I bought it. I had developed my own
>trading
> > > algorithm and was particularly interested in being able to
>calibrate
> > > it against a portfolio of equities with the System Tester.
>However,
> > > I found the number of bugs in v8.0 was overwhelming and I had to
> > > revert back to using the v7.22 System Tester. My personal
>observation
> > > was that version 8.0 was not even qualified for alpha testing at
>the
> > > time of its release.
> > >
> > > I was delighted when v8.01 was released six months later. I
>thought
> > > the bugs had been corrected. I was wrong. I discovered that
>v8.01,
> > > although a big improvement, would barely qualify as a beta test
> > > version. I was both upset and embarrassed because I had talked
>two
> > > friends into buying v8.01.
> > >
> > > With both v7.22 and v8.01 on the same computer it is easy to
>compare
> > > System Tester results. The results between the two versions
>running
> > > the identical algorithm are drastically different, regardless of
> > > whether they are being run in normal or points-only mode. This
>occurs
> > > when v8.01 has been carefully configured to reproduce v7.22
>results.
> > > Bottom line is that v7.22 results make sense, v8.01 results do
>not.
> > > Technical support has not been able to explain the differences,
>nor
> > > provide a workable solution. I still do not use v8.01. I use only
> > > v7.22 because it is the only version that I trust.
> > >
> > > What I find unusual is that I can't find any other reference on
>the
> > > internet to the mismatch between v7.22 and v8.01 System Tester
> > > results. In my 43 years of using computers for problem solving,
>and
> > > having written, debugged, and documented roughly 100,000 lines of
> > > code, one of the primary requirements when modifying programs is
>that
> > > they must be able to correctly reproduce previously validated
> > > results. This test was obviously not applied to v8.0 or v8.01.
>Yet
> > > it is the only way to validate the changes made to the program.
> > >
> > > Is there anyone out there that encountered this situation and
> > > understands its significance?
> > >
> > > David
> > >
> > >
> > >
> > >
> > > To unsubscribe from this group, send an email to:
> > > equismetastock-unsubscribe@xxxxxxxxxxxxxxx
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
>http://docs.yahoo.com/info/terms/
> > >
> > >
>
>
>
>
>________________________________________________________________________
>________________________________________________________________________
>
>Message: 4
> Date: Wed, 3 Dec 2003 18:14:15 -0600
> From: "Tom Sprunger" <tlsprunger@xxxxxxxxxxx>
>Subject: Re: Re: Bugs in v8.01
>
>
>David, please post what you find in the differences on points only test.
>
>
>----- Original Message -----
>From: "equisdvc" <david_cardner@xxxxxxxxxxx>
>To: <equismetastock@xxxxxxxxxxxxxxx>
>Sent: Wednesday, December 03, 2003 4:02 PM
>Subject: [EquisMetaStock Group] Re: Bugs in v8.01
>
>
> > Tom,
> > Thanks for taking the time to respond. I agree with everything you
> > had to say with one exception. I have just run a points only
> > comparison test and it did not match. Sent the results to Equis. I
> > had all of the settings you recommended. It took about three months
> > to find them after I bought v8.01.
> > David
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "Tom Sprunger"
> > <tlsprunger@xxxx> wrote:
> > > equisdvc, here is a summary of system test issues in 8.01 and how
> > to get
> > > around them I have posted a few times. Hope it helps you.
> > >
> > > -------------------
> > > 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.
> > >
> > >
> > >
> > > ----- Original Message -----
> > > From: "equisdvc" <david_cardner@xxxx>
> > > To: <equismetastock@xxxxxxxxxxxxxxx>
> > > Sent: Sunday, November 23, 2003 7:53 PM
> > > Subject: [EquisMetaStock Group] Bugs in v8.01
> > >
> > >
> > > > I have been working with the Equis Technical Support personnel
> > since
> > > > I purchased v7.0 in June of 2000. The support has been
> > excellent, so
> > > > when v8.0 was released, I bought it. I had developed my own
> > trading
> > > > algorithm and was particularly interested in being able to
> > calibrate
> > > > it against a portfolio of equities with the System Tester.
> > However,
> > > > I found the number of bugs in v8.0 was overwhelming and I had to
> > > > revert back to using the v7.22 System Tester. My personal
> > observation
> > > > was that version 8.0 was not even qualified for alpha testing at
> > the
> > > > time of its release.
> > > >
> > > > I was delighted when v8.01 was released six months later. I
> > thought
> > > > the bugs had been corrected. I was wrong. I discovered that
> > v8.01,
> > > > although a big improvement, would barely qualify as a beta test
> > > > version. I was both upset and embarrassed because I had talked
> > two
> > > > friends into buying v8.01.
> > > >
> > > > With both v7.22 and v8.01 on the same computer it is easy to
> > compare
> > > > System Tester results. The results between the two versions
> > running
> > > > the identical algorithm are drastically different, regardless of
> > > > whether they are being run in normal or points-only mode. This
> > occurs
> > > > when v8.01 has been carefully configured to reproduce v7.22
> > results.
> > > > Bottom line is that v7.22 results make sense, v8.01 results do
> > not.
> > > > Technical support has not been able to explain the differences,
> > nor
> > > > provide a workable solution. I still do not use v8.01. I use only
> > > > v7.22 because it is the only version that I trust.
> > > >
> > > > What I find unusual is that I can't find any other reference on
> > the
> > > > internet to the mismatch between v7.22 and v8.01 System Tester
> > > > results. In my 43 years of using computers for problem solving,
> > and
> > > > having written, debugged, and documented roughly 100,000 lines of
> > > > code, one of the primary requirements when modifying programs is
> > that
> > > > they must be able to correctly reproduce previously validated
> > > > results. This test was obviously not applied to v8.0 or v8.01.
> > Yet
> > > > it is the only way to validate the changes made to the program.
> > > >
> > > > Is there anyone out there that encountered this situation and
> > > > understands its significance?
> > > >
> > > > David
> > > >
> > > >
> > > >
> > > >
> > > > To unsubscribe from this group, send an email to:
> > > > equismetastock-unsubscribe@xxxxxxxxxxxxxxx
> > > >
> > > >
> > > >
> > > > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> > > >
> > > >
> >
> >
> >
> >
> > To unsubscribe from this group, send an email to:
> > equismetastock-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
> >
> >
>
>
>
>________________________________________________________________________
>________________________________________________________________________
>
>Message: 5
> Date: Thu, 04 Dec 2003 01:54:02 -0000
> From: pumrysh
>Subject: System Test in 8.0 set like prior versions
>
>All,
>
>This from JO who sends his best.
>
>Preston,
>
>Here's something I've found that might be useful to the members.
>Please post it if you would like.
>
>
>
>How do I run a simulation that will duplicate a System Test run in
>versions of MetaStock prior to 8.0?
>On the `General' tab of the System Editor, set `Order Bias' to Long
>Orders. Set the `Portfolio Bias' to Single, and limit the number of
>positions to 1.
>
>On each of the order tabs (Buy Order, Sell Order, etc.), set the
>order type to Market.
>
>When setting up the Simulation, on the `Broker' tab of the System
>Testing Options, set the `Short Initial' Margin Requirement to 200%,
>the Short Maintenance to 101%, and the Commissions to `Points Per
>Transaction'.
>
>On the Trade Execution tab of the System Testing options, uncheck the
>option titled `Realistic Market Prices' and designate the price and
>delay for each order type.
>
> Please note that there may be a small discrepancy between the
>results generated by the new Enhanced System Tester and those from
>prior versions of MetaStock due to the new Enhanced System Tester not
>trading fractional shares.
>
>I've seen a lot of complaining about the 8.0 Systems Tester. Some
>people think 7.20 is better. They should get approximately the same
>results with this setting except for the fractional shares issue.
>
>The boards have been very quite lately.
>
>Happy Holidays
>
>JO
>
>
>
>
>
>________________________________________________________________________
>________________________________________________________________________
>
>Message: 6
> Date: Thu, 04 Dec 2003 11:11:15 -0000
> From: "metastockuser" <metastockuser@xxxxxxxxx>
>Subject: Question about unbounded indicators for any ICE user
>
>I'm starting to play with ICE. AT this time I've been unable to get
>the password that came with the manual to install the unbounded
>indicator tool but I've written for help and sure they will resolve
>the problem for me.
>
>But I'm wondering if any of you ICE users can answer a related
>question. I see that I can apply the tool to a chart which is fine.
>But what about optimizing a formerly unbounded chart? Is there anyway
>to apply this indicator to the simulation using an unbounded indicator
>so that when you optimize you have the added advantage of working with
>a bounded chart?
>
>
>Poking around in the manual it appears to me that the tool is nice but
>I've got no clear idea how to work it into an optimization run.
>
>
>
>________________________________________________________________________
>________________________________________________________________________
>
>
>
>Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
The strange things you find on eBay!
http://cgi.ebay.ca/ws/eBayISAPI.dll?ViewItem&category=11432&item=3570667481
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/BefplB/TM
---------------------------------------------------------------------~->
To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|