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Title: Message
Thanks
for the detailed run down of how you go about things Super. It was
interesting to read. I don't actually use MS, but do my testing in TS and
WL. Unlike you I try to make my systems as realistic as possible so that
when the real results come thorough I can compare it to the simulation. If
you exit based on the condition of the market then I will simply make that part
of the system. Why test something that your not going to trade apart from
initially trying to get a generally feel as to whether the idea has merit.
Once you prove it has, then you refine it to the point where the simulation IS
the way you will trade it...assuming you want to trade totally mechanically.
Perhaps this is easier to do for me as I have had many years of trading
experience and know what assumptions are realistic and what are not.
Adrian
Adrian,
I use the systems
tester to make gross approximations. All systems
tests are only good on a
relative basis. You can compare one MS
systems test to another MS systems
test and you can rank them. You
shouldn't compare an MS systems test to
trade station systems test.
Say you test five different systems and
then you rank them in the
order of their performance.
That ranking
is based on what you see on the statistical side and not
whether a system
is any good in live trading. It's hard to determine
how close someone will
get to the systems tests statistics until they
analyze data from live
trading.
To avoid surprises, I run systems through the systems tester,
and if
they look like something that fits within the parameters of how
I
trade, I write an exploration from the same equations.
I have
predefined historical time periods where I know what kind of
market
behavior was occurring. I do several (10 to 100 bar by bar)
expplorations
during a particular market condition. I open the charts,
apply my trading
rules to the charts and create a list of the trades I
would have taken. I
then look at the chart to see how the trades I
would have taken performed.
This way I can see how the system works in up trends, down
trends,
sideways markets, etc.
If there is something that I don't
like that I'm seeing, like too many
charts passing the exploration, too
few, or a variety of other things
I've learned to avoid, I check the
equations to see if I can fix the
problem with filters or with other
adjustments to it.
Once I'm satisfied that a system has a good chance
of working for me
in live trading, I paper trade it for a couple of months
sometimes
longer.
I have a program that tracks those results.
The actual results are never the same, or really even close to
the
same, as those in the tester. However, if I have ranked 5 systems
with
the tester, the rankings after these explorer/trading tests
have
tended to be similar, even though the numerical values are
not.
There are many many variables that can not be put into a
systems
tester. I want the chart to show certain characteristics before I
take
a trade, but my chart "look" is not precise and is difficult
to
duplicate with equations.
Another issue that impacts systems
tests is the choice of exits and
stops. The system tester is consistent in
applying those. I'm not. I
change my exits and stops according to market
conditions. This is
another reason the systems tester is only an
approximation and a crude
one at that.
Over the years, I've run
many thousands of systems tests and put
probably 100 different systems
through the explorer side of the tests.
Out of that I have found a few
systems that fit my trading profile.
Those systems are the ones I rely on.
In response to Andrew's comments about keeping track of
slippage.
That's the only way to do it. I don't bother putting slippage
into my
systems tests or commissions. My actual slippage depends on
many
factors. If a symbol is a high volume stock like C, then slippage
is
not a factor. If it's a master limited partnership, or REIT,
slippage
is larger, but the holding period tends to be longer.
My
trade clearing is now so much faster than it used to be, I don't
consider
slippage to be a major pain like it once was. The commissons
have dropped
down to the decimal places.
---
In Metastockusers@xxxxxxxxxxxxxxx, "Adrian Pitt" <apitt@xxxx>
wrote:
> If you believe in a few core trading methods, presumably
from
> simulations you have done applying them to the type of market
conditions
> they are suited to, but at the same time you say you don't
rely on
> system tests....so I'm fascinated...what do you rely on if you
don't
> have extensive real time results? How do the above two
views possibly
> sit side by side?
>
>
Regards,
> Adrian
>
> -----Original Message-----
>
From: Metastockusers@xxxxxxxxxxxxxxx
>
[mailto:Metastockusers@xxxxxxxxxxxxxxx] On Behalf Of superfragalist
>
Sent: Friday, 15 April 2005 12:49 PM
> To:
Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] Re: System
Tester Results (Redu) Idea for
> Scott
>
>
>
> Slippage is often a function of the vendor you are using.
>
> I use Fidelity. I'm a big block trader and I have very little
slippage
> and very fast execution. It wasn't that way when I first
started with
> them. I had several conversations with their order desk,
and over time
> they've made huge improvements. There trading software
is now also
> excellent. At first it was pretty but not real good. Now
it is as good
> as any trade execution software I've used, and I've
tried a lot of them.
>
>
> Your idea about narrowing your
list of stocks is a good idea but when
> I talk about narrowing the
list, I'm talking about a universe of maybe
> 100 to 200 stocks. A lot
of my trading buddies keep their lists to
> less than 20.
>
> I don't rely much on systems tests results because I've never seen
a
> system that produced nearly the same stats in live trading. Perhaps
it
> depends on whose is driving the boat.
>
> In
addition, there are a lot of settings I can make with the systems
>
tester that gives me results that can't be duplicated in living
trading.
>
>
> Anyway, have fun!
>
> Don't
forget us little people when you get wealthy.
>
>
>
>
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter"
<mariani@xxxx> wrote:
> > Super,
> > I am only
cautiously optimistic I can make any money with this system.
> I
>
> have been paper trading it this month with decent results but I
>
don't think
> > I am capturing slippage properly. I need some
education on placing
> large
> > (for me) orders.
> >
> > I will go back and search the forum for documented
differences
> between 8.0
> > and 8.01.
> >
>
> Thanks again for taking the time to try and help me and others, I
>
know how
> > valuable time is.
> > Scott
>
> -----Original Message-----
> > From:
Metastockusers@xxxxxxxxxxxxxxx
> >
[mailto:Metastockusers@xxxxxxxxxxxxxxx]On Behalf Of superfragalist
>
> Sent: Thursday, April 14, 2005 9:21 PM
>
> To: Metastockusers@xxxxxxxxxxxxxxx
> >
Subject: [Metastockusers] Re: System Tester Results (Redu) Idea
> for
Scott
> >
> >
> >
> > Okay,
good luck with the system. In three years, you can tell us how
>
> much you've made. Get the results audited, and you can sell
the
> system
> > to the less fortunate.
>
>
> > Next time you run tests year by year use the
calendar year. I've run
> > into some problems with test
results that used starting dates in the
> > middle of the
year. Intuitively, it doesn't seem like it would
> matter,
>
> but I've seen a few systems tests where it did make a
difference.
> >
> > --- In
Metastockusers@xxxxxxxxxxxxxxx, "Scooter" <mariani@xxxx>
>
wrote:
> > > Roy,
> > > I was
afraid of that.
> > >
> > >
Super,
> > > Thanks for the detailed explanation.
Guess I am SOL.
> > >
> > >
Here are the overall portfolio profits each year for 10 years.
> Based
on
> > > $20,000 initial with 100% available equity
invested.
> > >
> >
> Test # Description OPT1=2
OPT1=3
> > >
Simulation 26
> >
> Simulation 33 Tickers from 4/13/95 to
4/13/96 $56,191.43
> > $50,938.91
>
> > Simulation 34
Tickers from 4/13/96 to 4/13/97 $57,085.49
> >
$16,903.62
> > >
Simulation 35 Tickers from 4/13/97 to 4/13/98 $77,511.63
>
> $114,957.57
> >
> Simulation 36 Tickers from 4/13/98 to
4/13/99 $71,420.85
> > $98,303.31
>
> > Simulation 37
Tickers from 4/13/99 to 4/13/00 $209,405.87
> >
$290,114.33
> > >
Simulation 38 Tickers from 4/13/00 to 4/13/01 $1,615.60
>
> ($29,693.35)
> >
> Simulation 39 Tickers from 4/13/01 to
4/13/02 $152,639.93
> > $158,116.91
>
> > Simulation 40
Tickers from 4/13/02 to 4/13/03 ($11,963.12)
> >
$106,714.19
> > >
Simulation 41 Tickers from 4/13/03 to 4/13/04 $160,324.40
>
> $234,187.23
> >
> Simulation 42 Tickers from 4/13/04 to
4/13/05 $85,159.69
> > $139,048.32
>
> > $859,391.77
$1,179,591.04
> > >
> >
>
> > > I don't have the time to manually move the
individual data to
> excel
> > at this
>
> > time.
> > >
>
> > Thanks again, Scott
> >
> -----Original Message-----
> >
> From: Metastockusers@xxxxxxxxxxxxxxx
> >
> [mailto:Metastockusers@xxxxxxxxxxxxxxx]On Behalf Of Roy Larsen
>
> > Sent: Thursday, April 14, 2005 8:50
PM
> > > To:
Metastockusers@xxxxxxxxxxxxxxx
> > >
Subject: Re: [Metastockusers] Re: System Tester Results (Redu)
>
> Idea for
> > > Scott
>
> >
> > >
> >
> Scott
> > >
> >
>
> > > Somewhere I got the impression
you were using MS 8.0. I may be
> > wrong but I
>
> > don't think it's possible
> >
> to copy System Tester results from 8.0. I think that was one
of
> > the bugs
> > > fixed with
8.01. The "copy
> > > to clipboard" option
certainly works for 9.0, though Ctrl+C
> > doesn't
seem
> > > to work. Once pasted to the
>
> > clipboard Crtl+V works OK for pasting into
Excel.
> > >
> > >
>
> > Kind regards
> >
>
> > > Roy Larsen
>
> > www.metastocktips.co.nz
>
> > Free formulas and MS links
>
> >
> > >
> >
>
> > >
> > >
>
> > ----- Original Message -----
>
> > From: "Scooter" <mariani@xxxx>
>
> > To:
<Metastockusers@xxxxxxxxxxxxxxx>
> >
> Sent: Friday, April 15, 2005 11:15 AM
>
> > Subject: RE: [Metastockusers] Re: System
Tester Results (Redu)
> > Idea for
>
> > Scott
> > >
>
> >
> > > > If only
it was that easy. I can not get the data out of MS,
> short of
>
> > > manually transferring every symbol. I
select the results but
> the
> > only
>
> > right
> > > >
mouse click option is "discard". I have tried all the Windows
>
> tricks I
> > > know,
>
> > > no luck.
> >
> > Scott
> > >
> -----Original Message-----
> >
> > From: Metastockusers@xxxxxxxxxxxxxxx
>
> > >
[mailto:Metastockusers@xxxxxxxxxxxxxxx]On Behalf Of John
>
> > > Sent: Thursday, April 14, 2005
6:19 PM
> > > > To:
Metastockusers@xxxxxxxxxxxxxxx
> > >
> Subject: [Metastockusers] Re: System Tester Results (Redu)
>
Idea for
> > > Scott
> >
> >
> > > >
>
> > >
> >
> > I'm sorry Scott, I meant to say copy results from
the system
> > tester,
> >
> > not the explorer. You open your test results page
and follow
> > the steps
> >
> > I've explained. Highlight the results you want to
transfer to
> > excel,
> >
> > copy to the clipboard, etc.
>
> > >
> >
> >
> > > >
>
> > >
> >
> >
> > > > ---
In Metastockusers@xxxxxxxxxxxxxxx, "Scooter"
>
<mariani@xxxx>
> > wrote:
> >
> > > Super,
> >
> > > Thanks for taking some time to help
me!
> > > > >
>
> > > > I know how to get the
results from the Explorer, I do not
> > know how
>
> > > to get
> >
> > > the results from the System Tester.
>
> > > > I am excited to try what you
suggest but need a little more
> > help to
>
> > > start.
> >
> > >
> > >
> > Scott
> > > >
> -----Original Message-----
> >
> > > From: superfragalist
[mailto:jackolso@xxxx]
> > > >
> Sent: Thursday, April 14, 2005 11:05 AM
>
> > > > To:
Metastockusers@xxxxxxxxxxxxxxx
> > >
> > Subject: [Metastockusers] System Tester Results
(Redu)
> Idea for
> > > Scott
>
> > > >
> >
> > >
> > >
> >
> > > >
> Scott,
> > > >
>
> > > > >
Here's an idea that you can use to test your theory. I
>
> explained
> > > how
>
> > > > to copy results
from an exploration into excel and then
> > from
excel
> > > > >
back into various MS lists.
> > >
> >
> > > >
> Run your systems test year by year on your expert.
>
> > > >
> >
> > > Sort the test alphabetically, and
then copy the entire
> test for
> > >
each
> > > > >
year into a new excel worksheet for that year.
> >
> > >
> > >
> > From each worksheet copy the symbol and it's
annual
> percentage
> > > return
>
> > > > into a new
worksheet. Once you have delete symbols that
> > don't
match
> > > > >
across all ten columns, you can delete all of the symbols
>
> except
> > > the
>
> > > > first year's.
You'll be left with a year by year
> comparison
> >
of the
> > > > >
return on each symbol with your expert.
> >
> > >
> > >
> > You can then see which symbols were
consistently
> profitable and
> > >
which
> > > > >
one weren't. This will answer your question.
> >
> > >
> > >
> >
> > > >
>
> > > > >
>
> > > >
> >
> > > --- In
Metastockusers@xxxxxxxxxxxxxxx, "Scooter"
> <mariani@xxxx>
>
> > wrote:
> > >
> > > Super,
> >
> > > > I did read Mr. Wright's
series of articles as you
> suggested
> >
> > > previously. I
>
> > > > > found it
very informative. I found that I was already
> > doing
many
> > > > of the
>
> > > > > things he
suggested in developing a system. I have
> > applied
many
> > > of
> >
> > > the ideas
>
> > > > > he talked
about since reading the articles, more like
> a book!
>
> > > > >
>
> > > > > He does not
address the validity of throwing out
> losers,
> >
based on
> > > a
> >
> > > system
> >
> > > > test, from an available list
of potential stocks to
> trade.
> >
> > > >
> >
> > > > I know there are a cagillion
system developing books to
> > read. I
>
> > will
> > >
> > pick up
> > >
> > > a few to read when I have the time.
>
> > > > >
>
> > > > > Can you
C&P system test results from MS8.0?
> >
> > > >
> >
> > > > Scott
>
> > > > >
>
> > > > >
>
> > > > >
-----Original Message-----
> > >
> > > From: superfragalist
[mailto:jackolso@xxxx]
> > > >
> > Sent: Wednesday, April 13, 2005 8:34 PM
>
> > > > > To:
Metastockusers@xxxxxxxxxxxxxxx
> > >
> > > Subject: [Metastockusers] Re: System Tester
Results
> (Redu)
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> > Looks like you're using the systems tester
without
> much
> > > >
knowledge of
> > > >
> > systems development.
>
> > > > >
>
> > > > >
Read a few books on system design and then you'll see
> >
you're
> > > > wasting
>
> > > > >
your time.
> > > >
> >
> > > >
> > There's a very good article on this coming
up in the
> > May issue
> > >
of
> > > > >
> Roy's newsletter.
> > >
> > >
> > >
> > > Don't ask for book
recommendations because one book
> > won't do
>
> > it.
> > > >
> > You'll need to read around a dozen or so
systems
> > development
> >
> > books to
> > >
> > > get a really good take on how
things work. Once
> you've done
> > >
that,
> > > > >
> you'll soon figure out that using TA by itself is not
>
> the best
> > > >
method
> > > > >
> for picking stocks to trade, the performance of any
>
system
> > > > based on
TA
> > > > >
> is going to dramatically change each year with a lot
>
of
> > losing
> > >
> years,
> > > >
> > there are no indicators that work even
reasonably
> well
> > across a
>
> > > > >
variety of stocks or in changing market conditions,
> and
>
> > searching
> > >
> > > thousands of stocks every night
for something to
> trade
> > is in
>
> > > the long
> >
> > > > run a losing
idea.
> > > > >
>
> > > > >
> Does that mean you can't make money using TA. You
>
can,
> > but you
> >
> > have to
> > >
> > > have a well thought out strategy
and apply the
> strategy
> > >
> appropriately
> > > >
> > for the market conditions.
>
> > > > >
>
> > > > >
I'm amazed at how many people that refuse to spend a
> >
dime on
> > > > >
> education, information, good data or anything else
>
that
> > might
> > > help
>
> > > > >
them, but they'll pay a guru thousands for useless
> trading
>
> > > methods or
>
> > > > >
lose thousands more making bad trades. It's
> baffaling.
>
> > > > >
>
> > > > >
You can read Charlie Wright's series of articles
> called
>
> > > Trading as a
>
> > > > >
Business. That will give you some basics about how to
> >
approach
> > > > this.
>
> > > > >
Read all the articles in the series. They all have
> >
something
> > > >
important
> > > >
> > to say.
> >
> > > >
> >
> > > > http://www.elitetrader.com/tr/index.cfm?s=17
>
> > > > >
>
> > > > >
Give Roy's newsletter a try. It's all about MS with
> the
>
> code
> > > for
>
> > > > >
everything discussed in it. You'll learn more from
> that
>
> in a
> > > > few
hours
> > > > >
> of reading the back issues than you will from playing
>
> with the
> > > >
systems
> > > > >
> tester for next few years.
> >
> > > >
> >
> > > >
www.metastocktips.co.nz
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> > --- In Metastockusers@xxxxxxxxxxxxxxx,
"Scooter"
> > > >
<mariani@xxxx> wrote:
> > >
> > > > O.k.,
>
> > > > >
> I have finally cooked the indicators enough
> (nothing
>
> new) to
> > > >
come up
> > > > >
> with a
> > > >
> > > system that is profitable over several
different
> > period back
> >
> > tests,
> > >
> > > at least
> >
> > > > > in MS. My
question is, do I remove the loosing or
> > zero
trade
> > > > tickers
>
> > > > >
from my
> > > > >
> > potential list of tradable tickers I will run my
>
> Exploration
> > >
> on when
> > > >
> > looking
> >
> > > > > for a new
trading opportunity? MS seems to be keen
> on
> >
> "cleaning
> > > >
> up" by
> > > >
> > > removing the losers. Doesn't make sense
to me to
> say
> > because
> >
> the
> > > > >
> tickers did
> > >
> > > > not hit or make a profit
over x amount of periods
> > they will
>
> > not
> > > >
> make a
> > > >
> > > profit in the future. Or does it
increase my
> potential
> > >
> > profitability by
> >
> > > > > removing
them? Can I somehow export the remaining
> ticker
>
> > > symbols to
>
> > > > >
excel or
> > > > >
> > csv so I can adjust my HSQuote list accordingly?
>
> > > > >
> Thanks, Scott
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
> >
> > > >
>
> > >
> > > >
>
>
>
------------------------------------------------------------------------
>
-
> > > -
> > >
> > --
> > > >
> > --
> > > >
> > Yahoo! Groups Links
> >
> > > >
> >
> > > > a..
To visit your group on the web, go to:
> >
> > > > http://groups.yahoo.com/group/Metastockusers/
>
> > > > >
>
> > > >
> b.. To unsubscribe from this group, send an
email
> to:
> > > >
> >
Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
> >
> > > >
> >
> > > > c..
Your use of Yahoo! Groups is subject to the
> > Yahoo!
Terms
> > > of
> >
> > > Service.
> >
> > >
> > >
> >
> > > >
>
> > > > >
>
> > > >
> >
> > >
> > >
>
> > >
> >
>
------------------------------------------------------------------------
>
-
> > > -
> > >
> --
> > > > > --
>
> > > > Yahoo! Groups
Links
> > > > >
>
> > > > a..
To visit your group on the web, go to:
> >
> > > http://groups.yahoo.com/group/Metastockusers/
>
> > > >
> >
> > > b.. To unsubscribe
from this group, send an email to:
> > >
> >
Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
> >
> > >
> > >
> > c.. Your use of Yahoo! Groups is
subject to the Yahoo!
> > Terms of
>
> > > Service.
> >
> >
> > > >
>
> > >
> >
> >
> > > >
>
> >
> > >
> >
> >
> >
>
------------------------------------------------------------------------
>
--
> > > --
> > >
> --
> > > > Yahoo! Groups
Links
> > > >
> >
> > a.. To visit your group on the web, go
to:
> > > > http://groups.yahoo.com/group/Metastockusers/
>
> > >
> >
> > b.. To unsubscribe from this group,
send an email to:
> > >
> Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
>
> > >
> >
> > c.. Your use of Yahoo! Groups is
subject to the Yahoo!
> Terms of
> > >
Service.
> > > >
>
> > >
> > >
>
> >
> > >
> >
>
> > >
> >
>
------------------------------------------------------------------------
>
--
> > --
> > > --
> >
> Yahoo! Groups Links
> > >
>
> > a.. To visit your group on the
web, go to:
> > > http://groups.yahoo.com/group/Metastockusers/
>
> >
> > >
b.. To unsubscribe from this group, send an email to:
> >
>
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> >
>
> > > c.. Your use of
Yahoo! Groups is subject to the Yahoo! Terms
> of
>
> Service.
> >
> >
> >
>
>
> >
> >
>
------------------------------------------------------------------------
>
----
> > --
> > Yahoo! Groups Links
> >
> > a.. To visit your group on the web, go
to:
> > http://groups.yahoo.com/group/Metastockusers/
>
>
> > b.. To unsubscribe from this group,
send an email to:
> >
Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
> >
>
> c.. Your use of Yahoo! Groups is subject to the
Yahoo! Terms of
> Service.
>
>
>
>
>
> _____
>
> Yahoo! Groups Links
>
>
> * To visit your group on the
web, go to:
> http://groups.yahoo.com/group/Metastockusers/
>
>
> * To unsubscribe from this
group, send an email to:
>
Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
>
<mailto:Metastockusers-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your
use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service <http://docs.yahoo.com/info/terms/>
.
Yahoo! Groups Links
|