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Why would the percentage "drift" significantly over time ?
Using POINTS for anything in backtesting is worthless IMHO.
If a percentage is not appropriate, then what is the best approach here ?
Using a "% of ATR" approach might be best ?
> -----Original Message-----
> From: jz [mailto:jz@xxxxxxxxxxxxxx]
> Sent: Monday, July 10, 2000 3:33 PM
> To: Carroll Slemaker; Mel; OmegaList
> Subject: Re: Bias in Testing
>
>
> One factor that must be considered when back testing is never to use
> adjusted price data with systems which use percentages as a trigger. In
> real time trading, the % factor will not be the same as the back
> tested one
> rendering the back test worthless.
> Regards, Jack.
> ----- Original Message -----
> From: Carroll Slemaker <cslemaker1@xxxxxxxx>
> To: Mel <melsmail@xxxxxxxxxxx>; OmegaList <Omega-List@xxxxxxxxxx>
> Sent: Monday, July 10, 2000 12:48 PM
> Subject: Re: Bias in Testing
>
>
> > The degree to which absolute price levels affect backtesting results can
> > differ greatly, depending upon the exact nature of the manner in which
> > performance is measured. Obviously, if simple point gains/losses are
> used,
> > absolute price levels will have a huge effect. This effect can be
> > eliminated by using percentage gains/losses as the measure.
> >
> > I'm not sure if this addresses your question or not - it's not entirely
> > clear what kind of "bias" you're referring to.
> >
> > Regards,
> > Carroll Slemaker
> >
> >
> > ----- Original Message -----
> > From: "Mel" <melsmail@xxxxxxxxxxx>
> > To: "OmegaList" <Omega-List@xxxxxxxxxx>
> > Sent: Monday, July 10, 2000 3:34 AM
> > Subject: Bias in Testing
> >
> >
> > > Testing on back adjusted data (going back 18 years) it is
> not too hard
> to
> > > come up with systems that appear to do well particularly in a
> long term
> > > rising scenario. Question is how can I have faith in results where the
> > early
> > > back adjusted prices are significantly higher with relation
> to the real
> > > prices at the time. Obviously any optimization of any system will have
> > > significantly different weighting with relation to the real prices at
> the
> > > time. How can this weighting be equalized - would detrending
> of the back
> > > adjusted data reduce/eliminate any bias or should one incorporate a
> data2
> > > (real contract) price in the system testing? My goal is to reduce the
> > number
> > > optimization inputs to a minimum so that as a robust system I can
> > > trust the results. Any thoughts?.
> > >
> > >
> > > Mel Fox
> > >
> >
> >
> >
>
>
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