|
PureBytes Links
Trading Reference Links
|
Andrew
Sorry, I misunderstood you.
The situation you describe is why I use a "date filter". That allows me to line up any system to a
given date (entries are only accepted after the start date). I just have to make sure I set my
exploration (for TE or possibly TradeSim) or system test to enough bars to cover any N/A period. Of
course there are always going to be some securities with less history than the desired test period,
but that's life.
Roy
----- Original Message -----
From: "Andrew Tomlinson" <andrew_tomlinson@xxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Tuesday, June 29, 2004 7:40 AM
Subject: RE: [EquisMetaStock Group] Equalizing System Starts
>
> Ooops - I don't think I was clear. I'm comparing results of two or more
> different systems on the same set of data - i.e. two or more separate tests.
> So the test using the 10 bar variable has no reference as such to the test
> using the 200 bar variable.
>
> For example, test 1 might be based on c> mov(c,10,s) and therefore starts
> generating results on bar 11 of the test period. Test 2, based on
> c>mov(c,200,s) only starts generating results on bar 201 of the tested data.
> If there is a big rally in the first, say 150 bars of test data the gain
> will be captured by Test 1 and not by Test 2, rendering the comparison
> invalid, even though I think I'm using the same set of bars.
>
> I am therefore looking to set up tests where the code starts to look for
> entries at the same bar in both tests, although one may require more
> historical data to provide a signal. Hence my solution of delaying any
> signals until a period has elapsed greater than the amount of historical
> bars required for the longest indicator combination. It means that I have to
> load more data, but it makes the results comparable to a real testing
> situation - i.e. if I start today to trade a system using a 200 day MA I'm
> not going to wait 200 days - I'm going to look back.
>
> Did I explain it better that time?
>
> Andrew
>
>
>
> -----Original Message-----
> From: Roy Larsen [mailto:rlarsen@xxxxxxxxxxxxxx]
> Sent: Monday, June 28, 2004 3:04 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: Re: [EquisMetaStock Group] Equalizing System Starts
>
>
> Andrew
>
> > I've been concerned about backtesting systems where the indicators
> > used have a significantly different timescale. For example, if I
> > compare a 200 bar moving average crossover system with a similar, 10
> > bar system, then the 10 bar system is going to start generating
> > signals 190 bars earlier than the 200 bar one, which will make
> > nonsense out of the comparison. I have started including a 250-bar
> > delay in my entry signals, viz
> >
> > EL:= Fml(long entry) AND cum(1)>250;
> > Etc.
> >
> > This seems to be working (although I haven't tested it exhaustively),
> > but I am curious what solutions others have used.
> >
> > Also, I am wondering if this might cause problems with Roy's
> > Initiation variable in latch formulas.
>
> The thing with an "Init" variable is that it signals when both (or all)
> variables are defined. No need for any other delay. The IsDefined() and
> IsUndefined() functions can also be used in this way although there'll
> rarely be a situation where they are preferable and do the job better.
>
> There's always the prospect of some code being at cross purposes with other
> code. But on a positive note there are nearly always several solutions to
> any MS problem, and which one you use is just a matter of personal choice.
>
> Roy
>
> > Thanks for your thoughts
> >
> > Andrew
> >
> > -----Original Message-----
> > From: praktikus_ms [mailto:praktikus@xxxxxxxxxx]
> > Sent: Monday, June 28, 2004 8:36 AM
> > To: equismetastock@xxxxxxxxxxxxxxx
> > Subject: [EquisMetaStock Group] Re: unnecessary repetitive signals
> >
> >
> > Hormuz,
> >
> > Go to the files section of this group and search for a word document
> > called 'Using Latches in MS.doc' by Roy Larsen. This should give you
> > an idea about how solve this problem.
> >
> > A quick shot would be:
> >
> > {Trade Latch; Idea by }
> > {2004 Roy Larsen, rlarsen@xxxxxxxxxxxxxx}
> > Set:=Fml(your long therm buy signal);
> > Reset:=Fml(your long term sell signal); Init:=Cum(Set+Reset>-1)=1;
> > Trade:=If(BarsSince(Init+Set)<BarsSince(Init+Reset),1,-1);
> > Trade; {swings between +1 and -1}
> >
> > This gives you an output of +1 for the buy signal and -1 for the sell
> > signal. Just assign those to your expert signals and you should doing
> > fine.
> >
> > Martin
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, hormuz maloo <hormuzmaloo@xxxx>
> > wrote:
> > > Hi everybody,
> > > I am trying to program my own expert advisor, which
> > > gives long-term buy and sell signals.
> > > Have just got started, but I find that the buy or sell signal is
> > > repeated everytime the pattern is found on the chart.
> > > What I would like to do is see that a buy signal does
> > > not follow a buy signal, ie a buy signal should occur
> > > only if the previous signal was a sell signal and vice
> > > versa.
> > > Can somebody please show me a simple way to do this.
> > > Thanks in advance,
> > > Hormuz Maloo
> >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
>
>
>
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Yahoo! Domains - Claim yours for only $14.70
http://us.click.yahoo.com/Z1wmxD/DREIAA/yQLSAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> 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/
|