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Greetings,
The importance of intraday data cannot be stressed enough. I personally
could have saved thousands of dollars and been better prepared before
entering this business full time if I had taken the trouble to look at
intraday data. The mechanical system I had made so much money with when
testing it on paper made some unfortunate assumptions based on open, high,
low, close prices. I found out differently when using real money.
Pete
-----Original Message-----
From: Conrad Bowers <cpbow@xxxxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Sunday, July 19, 1998 3:44 PM
Subject: Re: FUTR. SYSTEM TESTING.john Cappello/ RTS
>Jonathan Stewart Dempster wrote:
>>
>>
>> BRITISH POUND-Daily 07/01/88 - 07/17/98
>>
>> Performance Summary: All Trades
>>
>> Total net profit $ 149712.50 Open position P/L $
0.00
>> Gross profit $ 189600.00 Gross loss
$ -39887.50
>>
>> Total # of trades 251 Percent profitable 83%
>> Number winning trades 208 Number losing trades 43
>>
>> Largest winning trade $ 6987.50 Largest losing trade
$ -1662.50
>> Average winning trade $ 911.54 Average losing trade
$ -927.62
>> Ratio avg win/avg loss 0.98 Avg trade(win & loss)$ 596.46
>>
>> Max consec. winners 23 Max consec. losers 3
>> Avg # bars in winners 1 Avg # bars in losers 1
>>
>> Max intraday drawdown $ -5787.50
>> Profit factor 4.75 Max # contracts held 2
>> Account size required $ 9787.50 Return on account 1530%
>>
>
>
>I'm certainly no TS expert but, I am concerned by the avg # bars in
>winners/losers = 1. This means most times if not always the trade is
>exited on the entry day. What are the type of entry/exit rules - and do
>they need intraday data to function or TEST? With end of day data TS
>obviously cannot know the sequence of prices between open and close.
>
> If your rule said buy at open and sell at close then your tests are
>accurate. (However, do note that Bridge endofday data includes the
>previous night sesssion as the open, as far as i know, as a Bridge
>subscriber - at least the daily downloaded data includes Globex.)
>
> If you have a limit order to enter with an exit at the close that would
>be ok too, to test with endofday data. But where you can get into
>trouble is: if you start combining entries, stops, and profit targets
>which really require knowing how the prices got from open to close, to
>know how the trade would have gone.
>
> When TS is not supplied with sufficient info, it attempts to make some
>assumptions about the intrabar movement. Obviously this is just a
>guess. If your trade lasts a number of bars, this probably actually
>improves the approximation that is your testing. However, if you test a
>situation which really requires intraday data, but only give TS endofday
>data, the results can be unreliable; in the extreme case, they may be
>meaningless.
>
> In reality TS should probably warn when its approximations are more
>than a certain % of the trades entire move. But currrently it doesnt'.
>It makes its best guess with the data supplied but if you test a day
>trading system with endofday data, the test probably does not mean
>much.
>
> You will have to think about your trading rules to determine whether
>you need intraday data or not. Anytime you find your system exiting on
>the same bar as entry more than once in a while, you need to consider
>whether you need data of the next lower time span.
>
> Conrad Bowers
>
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