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Phil/Pierre/anyone:
You mentioned that prominent vendors (RINA and
Traderclub.com) provide backtest results the wrong
way. Is it possible to elaborate on those pitfalls,
preferrably by giving examples for the aforementioned
cases?
Pierre, how exactly do you "adjust the historical
drawdown to the current price level" ?
Thank you in advance, Alex.
At 08:10 AM 6/24/01 -0700, you wrote:
>That's encouraging!
>Unfortunately there are some popular system vendors
out there (tradersclub
>etc.) who never thought of this. And so almost by
definition then their
>systems are incorrectly designed and optimized.
>
>Actually the particular vendor I'm thinking of uses
the built-in TS stops
>(in addition to the failure to normailze), so the
trades during they day
>will change when the daily update comes in, i.e. you
get stopped out
>intraday for a loss, but then the daily data shows
you still in the trade
>with a gain!
>
>Professionals at this level should be well aware of
these pitfalls. Thus we
>can assume it's probably an intentional fraud on the
nescient trading
>public.
>
>Regards, Phil
>----- Original Message -----
>From: pierre.orphelin
<pierre.orphelin@xxxxxxxxxxxxxx>
>Sent: Saturday, June 23, 2001 6:43 PM
>Subject: RE: Cruz Brothers and 2000i
>
>
>> I always adjust the historical drawdown to the
current price level.
>>
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