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----- Original Message -----
From: "DH" <catapult@xxxxxxxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Saturday, February 28, 2004 10:01 AM
Subject: Re: QuantStudio
> > I
> > can give you five different situations where TS is simply doing buggy
things
> > (as of TS2000i.)
>
> Please do. You have stated that the calculations of TS are inaccurate.
> I'd like to see examples of that, other than the obvious things everyone
> knows about - single precision, bouncing ticks, etc.
1) Take any system that exits at the end of day so that P/L for a given day
is not affected by overnight trades. Go back say, one day. Go to
View->performance Report->daily Tab. Note the P/L. Now, go and bring up the
symbol again. Change number of days to look back to 2. Go back and look at
the daily report. Look at the P/L for the day that you looked at - they are
different.
2) Take any system that gives signals in realtime. Watch it during the day
without ever closing TS down. When the markets close, shutdown TS and come
back in, do not save the workspace. Now, run the system again. Different
values.
3) This is is MUCH harder because it would require me to give you code that
I cannot. But here is the gist of it. Make a system. Apply it to say ES and
YM. Look at the signals it generates. Take note that sometimes, where a
signal UNQUETIONABLY should have been generated, one was not. You sit there
and stare at the code, and unfortunately, you do not have a debugger. Printf
debugging does not help here.
4) I have about 12 charts open, each with 1 of two systems applied to the
symbol. Try to look at the performance report during trading hours. Evertime
I scroll to the bottom of the trades tab, it keeps going off, doing
something, and taking me back to the top of the page.
5) A variant of the above is, often a symbol, for whatever reason, keeps
needing to "get data." I have no idea why this happens, and it does not
happen all the time. The effect is that the entire history for the symbol
has to be reloaded every minute or so. This makes following a system under
these conditions intolerable.
I have about 20 others that I have accumulated over the years. I do not
remeber them all, but I will start to write them down as I see them again.
> BTW, TS7 fixed the single precision problem for those who insist on
> working with the difference between two large numbers, e.g. bad code.
>
> > That is why
> > we spent close to a million dollars getting building a tool that tests
> > hundreds of systems in realtime over hundreds of millions of ticks over
a
> > cluster.
>
> Like I said, if you need more power than TS, it's time to shop
> elsewhere. Certainly it was never intended for that application.
Yes, well, I am saying less than that. I am saying that EVEN in the case of
"simple" systems, TS is at best a huge time drain because you can never be
sure that what you are getting back is repeatable. That is the tennet of
scientific research, repeatability, and TS fails badly when thousands of
ticks are involved and what I consider relatively simple systems.
But look, this is not a debate between you and me. I know where TS sits on
my usabilty scale, and you seem to know as well. this "warngin" is for
those that blindly come into this business, buy TS, and think that they are
performing real world tests. Nothing can be further from the truth. Buyer
beware.
Ivan
> --
> Dennis
>
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