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Unfortunately to do rigorous portfolio backtesting you need to use TradeSim
as an add-on. The full version is pricey, but I couldn't do without it now.
-----Original Message-----
From: Metastockusers@xxxxxxxxxxxxxxx [mailto:Metastockusers@xxxxxxxxxxxxxxx]
On Behalf Of GaryNielson
Sent: Saturday, July 30, 2005 12:38 PM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject: [Metastockusers] New user: How useful is the enhanced system tester
I'm not trying to pick a fight here, as I am extremely impressed
with Metastock EOD v. 9.1. However, I bought it in search of a
strong backtesting program after reading Robert Pardo's
classic, "Design, Testing and Optimization of Trading Systems." I've
read the manual and from what I can tell, Metastock treats each
security independently and does not give you a summary report on how
a trading system would have actually worked with a basket of stocks.
I have tested an add-on to TC2005, TC-Companion, and you can run a
trading system through 7,000 plus stocks and get a summary of how
your system would have worked on the entire stock market and then
run Money Management to see how you would have actually done (within
reason of course) because you obviously can't buy every stock!
Am I missing something here? Am I on the right track or am I
misunderstanding what backtesting is and is it really necessarily to
review the performance of a strategy on hundreds, if not thousands,
of stocks. Right now, I am thinking that Metastock's backtesting
program is guilty of overfitting, where you find a strategy that
fits past performance of a particular stock and trade that stock
that way. Has anyone traded this way and does it give you the
results you want? Maybe I am agonizing over nothing.
Help me out here.
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