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Re: [EquisMetaStock Group] Event "Cancelled - Open Cost" in Enhanced System Test



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I have been using 80% of equity for a while and it works fine. It 
shows a lower return because only 80 % of your equity is invested and 
the final return is a percentage of your account. That keeps me more 
realistic on my expectations of what I would make..
Another interesting thing..On flipping a coin with a 50% probability 
of success, what do you think are the odds of getting 5 tails (bad 
trades in a row out of 50 trades) in a row?  Very high - like over 
70% with a Monte Carlo simulation; per Schaeffer. That shows the 
importance of money management and sticking to a system for the long 
haul and not giving up after a few consecutive bad trades in a row.. 
I flipped a coin 25 times and got 7 tails in a row, and eventually 10 
Heads out of the 25 flips.
--- In equismetastock@xxxxxxxxxxxxxxx, "jose_locatelli" 
<jmlocatelli@xxxx> wrote:
> Tom
> 
> I followed the recommendations in your document, and it seems that 
my 
> system is now testing well.
> 
> Thanks again,
> J Locatelli
> 
> --- In equismetastock@xxxxxxxxxxxxxxx, "Tom Sprunger" 
> <tlsprunger@xxxx> wrote:
> > 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@xxxx>
> > 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@x...]
> > 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
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > Yahoo! Groups Links
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > Yahoo! Groups Links




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