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Generally speaking, and by recalling all the previous post from Neal
Weintraub, it seems to me that the core of the problem in an unadequate tuning
between Omega software and himself rather than with backtesting problem.
This is a classical psychological mixup that has nothing to do with the
mandatory scientific behaviour when writing , testing and using trading
systems.
If trading systems for sale fail or do not behave as expected, the fault is
not from the software, but from the published results that do not follow the
classical scientific path (any experience can be reproduced by anyone under
the same condition, knowing these conditions, ALL the conditions).
Backtesting can be done and must be done by following these rules.
The only unknown variable is the size of the slippage, and must be determined
by experience (it's only here where you need to be a professional or get an
advice from a-).
Anything outside of this topic is pure steril discurse, and outside of the
target.
And do not speak again of bouncing ticks and the like.
This is only a proof of misuderstanding the software, therefore a failure
regarding the scientific behaviour that is related to any serious backtesting
method.
I do not know how you can do to have system that do not perform the same on
historical data and on the market, but I have nothing like this here, despite
my intensive use of TradeStation .
Sincerely,
Pierre Orphelin
www.sirtrade.com
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