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I do the same thing. Put a large number in for equity. It seems to me that
from the way the System Tester works, your equity needs to be large relative
to the "unit" price of the security. That way you get a minimal impact from
the stupid broker module. What is large? I'd say 100X or so probably is
good. with a 1000X even greater. So if you are trading the DOW, which has a
price in the 10,000 range you need a starting equity of 10,000,000 or
greater.
Now none of us has that kind of money but that is irrelevant.
To me the actual value of the equity curve is of no interest. Only the
shape is. As for the equity curve that is all I look at. How smooth is it,
how regular, etc.
I don't put any emphasis on the % return either. What is important to me
is the number of trades, % winners, and Ave Win/Ave Loss, and the Ave Gain
per trade.
I use those to compare systems.
I need 30+ trades ( and 100+ is better) or the results are not statistically
valid.
And I agree with you that Equis thinking on this was totally flawed. I guess
they thought that in the real world you get a signal tonight and call your
broker to buy X shares in the morning using your entire account. They think
that the broker will not actually buy the next day if the price is higher
and you don't have enough money in your account. But, your broker will
execute the order, he'll just buy fewer shares because it is his job and in
his interest to execute the trades and get his commision.
I was told that the idea for this came from the President of Equis. That's
probably why it has not been changed despite the complaints.
Tom
----- Original Message -----
From: "Andrew Tomlinson" <andrew_tomlinson@xxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Thursday, May 13, 2004 7:30 PM
Subject: RE: [EquisMetaStock Group] Event "Cancelled - Open Cost" in
Enhanced System Test
Tom
Thanks - I have read and studied your guide and it's the main reason that
I've started to get anywhere at all with system tester. Your comments below
on interpreting the report statement also help a lot. But every time I run a
test I find something else that requires a couple hours thought on why it
doesn't work like I expect.
For example, I was running system tests yesterday on the DJIA, 100% equity.
It took me a while to realize that unlike earlier versions of MS, MS 8/9 was
only investing whole numbers of Dow "units". So to get the same result as a
test that really invested 100% of equity, I had to use an invested amount of
$100 million (i.e. so that the remaining uninvested amount was
insignificant). As the reports don't put commas between 000's, this gets
unwieldy quickly. And the idea that the results can vary with the amount
invested is counterintuitive for most of us. What were they thinking??
Thanks again for your help.
Andrew
-----Original Message-----
From: Tom Sprunger [mailto:tlsprunger@xxxxxxxxxxx]
Sent: Thursday, May 13, 2004 4:30 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Event "Cancelled - Open Cost" in
Enhanced System Test
Andrew, J Locatelli,
Some of your questions and problems should be covered in the doc below
posted in the Files section on this group.
Sprunger Guide to MS ver8.doc
Go read it carefully.
The v8/9 testers have a broker module. Equis attempted to make it
"realistic". Yeah, right. Like anyone actually trades like this.
When the tester gets a signal it calculates the number of shares to buy and
passes it to the broker. The broker places the trade if there are
sufficient funds etc. Otherwise it cancels it.
Considered : means a signal has been generated.
Placed: means an order was sent to the broker for a specific number of
shares based on the price on the bar the signal was generated and the equity
being used
Open: means the broker put the order in. If on a buy, you will get filled
if the price is lower than on the bar the signal was generated, otherwise
you will not.
Executed: means the order was filled
Cancelled - open cost: means the order was not filled because the price on
the next bar is more (for a buy) than the price calculated on the signal bar
Cancelled- Position Limit: means the order was not filled because you had
the max number of position already open Cancelled - Zero Size: means you did
not have enough equity to buy 1 share
There may be some others.
Jose, on your specific question,
(Considered) at 15:50 you got a signal to buy 3494 shares
(Placed) at 15:50 the order for 3494 shares was sent to the broker to
execute on the next bar (Cancelled - Open Cost) at 15:55, the order for 3492
shares was opened and then cancelled because the price was higher than the
price where the 3494 shares were calculated.
You are probably using 100% of your equity, right? So at 15:50 when the
signal was generated it divided your equity by the price on the signal and
came up with 3494 shares. On the next bar at 15:55, the price went up
enough that to buy 3494 shares would have taken more funds than you had
equity. So instead of just buying a share or two less, which is what any
real trader would do, it cancelled the entire order and you missed the
signal. No trade.
Tom
----- Original Message -----
From: "Andrew Tomlinson" <andrew_tomlinson@xxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Wednesday, May 12, 2004 7:33 AM
Subject: RE: [EquisMetaStock Group] Event "Cancelled - Open Cost" in
Enhanced System Test
Even better, if someone has a list of the comments that appear in the orders
report with explanations. None of them are documented in the manual. I am on
the verge of giving up on Metastock 8/9 as a platform for system testing.
Too many undocumented bizarre little tricks to get it to do simple tests. I
haven't done a single system test on this platform that I really have
confidence in. Not a basis for successful trading.
(forgive my bitching. Just spent another 4 hours yesterday trying to match a
simple system with Colby, with mixed results)
Andrew
-----Original Message-----
From: jose_locatelli [mailto:jmlocatelli@xxxxxxxxxxxx]
Sent: Wednesday, May 12, 2004 7:30 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Event "Cancelled - Open Cost" in Enhanced
System Test
Hi,
I wrote a system test and during the its simulation some enter signals are
cancelled, with a "Cancelled - Open Cost" event reported on the Orders
report, shown below. I didnīt find any reference to this type of event in
the help and in the MS8 manual.
Can any of you explain what this event means? And how to avoid it?
174 23/4/2004 14:50 5 Considered Sell 3494 Market 2
Signal
174 23/4/2004 14:50 5 Placed Sell 3494 Market 2
Signal
175 23/4/2004 14:55 5 Opened Sell 3494 Market 2
Signal
175 23/4/2004 14:55 5 Executed Sell 3494 Market $2.8500
Open 2 Signal
184 23/4/2004 15:50 6 Considered Buy 3492 Market Signal
184 23/4/2004 15:50 6 Placed Buy 3492 Market Signal
185 23/4/2004 15:55 6 Cancelled - Open cost Buy 3492 Market Signal
Regards,
Locatelli
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