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WAS: Re : Overstating System Results in TradeStation.
Introduction
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This is sad to see that such an intelligent and capable contributor like
Michael Paauwe could to be caught in such beginner trap:
Obviously the current (usual) Omega List state of mind, Mark Brown
(sorry...) bitching web site that calls for lawsuits for the same stupid
problem, and others like Earl Adamy, preaching from their high mountain of 30
years of professional programming or the usual new verbose contributors that
break my nerves...
Guys, you do not know how to read an user manual, help online and use your
brain when the answer is not so obvious to you.
The brain is a tool located just below your hair.
I does not come as a standard with the TradeStation software and is Y2k
compliant without any patch (I hope for you).
The first attitude is to think to call your lawyer when you are in doubt.
You should not...
I have always been amazed that the biggest country in the world was performing
so poor with logic and education, and so much with legal suits:
People that succeed to get millions from a microwave maker that has not
stated in the user manual that you must not use it dry a living creature it
,THIS really frightens me.
Example are endless,and I do not want a WWW III starting from my post, but
frankly your lawyermania is ridiculous when seen outside of USA.. And I hope
inside too...
Reading the manual
==============
Please see how the TS bouncing ticks feature works, what it attempts to do,
what are the limitation, why they (Omega) did this, and do not forget that TS
do not know how OHLC sequence is performed during a bar.
See also the Help Online section
"Understanding How TradeStation Simulates Market Activity with Historical
Data"
Quoting the Omega introduction:
"When you apply a trading system to a chart of time-based bars based on
historical data, TradeStation uses a set of rules to simulate "market
activity. It is important to understand how TradeStation handles the
simulation of market activity on time-based bars when you are "testing a
trading system on historical data, for example 60-minute bars or daily bars,
based on historical data (non-real-time/delayed data, "either intra-day or
daily).
I"t is equally important to understand this simulation if you use historical
data on time-based bars when you make the trades signaled by a "trading system
because if you trade a system on time-based bars based on historical data,
TradeStation uses the same simulation "described in this section.
And so on...
Then please take note of the explanation page 31 in the TS4 user manual and
read that "Risk trailing stops are calculated from the entry point using the
highst high when long, lowest low when short".
Try after to figure out why the results are so good if you do not change the
bouncing tick setting.
I'm sure that the bouncing tick feature is the most misunderstood TradeStation
feature.
Reading other sources:
================
TS Express explains this in details in the 01/02 1995 issue, and proposes an
alternate trailing stop method.
The complete collection is available now as a book from Ruggiero Press and
Bill Brower (1000mileman@xxxxxxxxxxxxx).
Avoiding new ridiculous situations:
=========================
1) Same kind of *appearing false* backtesting exists with P&Fig bars with stop
or limit orders.
Unless you have not understood that a P&Fig chart is build AFTER a reversal,
you are able to buy bottoms and sell tops.
This is not a bug, and it can be fixed using the boxsize and reversal values
to set the correct stop orders.
2) TskitDLL functions allow to read database bars in advance:
You may build with this an all time winning system that will perfectly work
with any kind of historical data.
I remember that I have posted such crooked system 2 years ago on this list, as
an example on how to fool naive people, and was more efficient that the
example provided weeks ago by the sheriff and attibuted to Alon Shadmi (was
true, in fact ?)
Know what you do, do what you know, and things will go better, with the
exception of your lawyer bank account.
<<
March 30, 1998
Experienced users of TradeStation know it has a serious flaw that has been
known by some traders for a long time, in the way the built-in stop features
are applied when trailing stops are run too tightly, or when the built in
"%trailing stop" is set too tight in a historic backtest. Backtest results
end up being dramatically overstated relative to real time results. If those
backtest results are relied upon, people will lose money, and that's the
bottom line.
Michael Paauwe
mpaauwe@xxxxxxxxxx
>>
Thats really the *bottom line*, so I stop here.
Useless to say that I do not change my mind about you , Michael...
Sincerely,
Pierre Orphelin
www.sirtrade.com
Sirtrade97 neurofuzzy logic for TS
PS:
Sorry for the Market Profile trial version on my web that is not working
anymore (was time protected until 010198).
I'll upoad a new version soon.
I have been too busy these times to update the web and participate to the
list.
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