A system that performance both ways is more likely to still be in tune
with the market, i.e. the market behavior traded hasn't changed much.
Most of us are selective in our testing methods, we love to see good
results but often shy away from tests that could raise a warning flag.
herman
--- In
Hi Yuki,
I like to jump onto new things and try picking up as I go along. I
know of a paper trader who's been paper-trading for two years now; I'm
the opposite from such a stance.
I think you brought up a valid point in that investors like me should
hide in the crowd and not stand out. I will d
ETF's are somewhat different then stocks ... Blocks are "created"
when needed and retired when not ...
--- In amibroker@yahoogroups.com, Keith McCombs <[EMAIL PROTECTED]> wrote:
>
> Assuming you are not a day trader but instead have a time horizon
of a
> few weeks or so, why not use limit order
Assuming you are not a day trader
but instead have a time horizon of a few weeks or so, why not use limit
orders. You might miss a trade altogether once in a while but that may
be better than getting bit by one of those sharks. Of coarse it is
easier (psychologically speaking) to use limits
Hi intermilan04,
It's not a race. Relax, be patient, and you will see how the game
works. The game is an exquisite balance of disciplined patience,
patience to the point of boredom and beyond, and the need to
instantly recognize when it's time, finally, to not be patient
another minute.
The bor
Hi Yuki,
Thank you for your solid advice on dollar-volume. I will see how my
system will do against stocks with at least 10-million dollar-volume
per day.
Maybe dollar-volume was the key to stabilizing my performance
out-of-sample or "Forwardtest." I will find that out soon, probably
tomorrow.
Hi intermilan04,
Well, you have something promising, at least in the sense that the
volume for the past quarter is up about 50 percent over the volume of
the past year. Assuming price is rising, you might want to
investigate further.
But really, there is just no "volume" to speak of. There is n
Yuki,
I'm not disagreeing with you that I shouldn't be trading in such a
market. I'm already implementing measures so I can avoid them in the
future.
It's live&learn. The race is on...one's money running out before one
can learn, or otherwise :-)
--- In amibroker@yahoogroups.com, Yuki Taga <[E
Hi intermilan04,
Thursday, August 31, 2006, 11:57:29 AM, you wrote:
i> Hi Yuki,
i> There are stocks, low-cap stocks where 900 shares buy order
overnight
i> is actually huge. I'm not saying 100% that my stock of today was
i> indeed the case...I do have a reason to believe it was, but it's
hard
i
Here are the results:
60days: $797,633 Dollar-Volume
120days: $713,400
240days: $553,708
intermilan04
--- In amibroker@yahoogroups.com, "intermilan04" <[EMAIL PROTECTED]> wrote:
>
> Hi Yuki,
>
> Let me do some simulation with Amibroker and get back to you on this.
>
> intermilan04
>
> --- I
Hi Yuki,
Let me do some simulation with Amibroker and get back to you on this.
intermilan04
--- In amibroker@yahoogroups.com, Yuki Taga <[EMAIL PROTECTED]> wrote:
>
> Hi intermilan04,
>
> Thursday, August 31, 2006, 9:56:24 AM, you wrote:
>
> i> I believe my case was the latter. Today I was
[EMAIL PROTECTED] On
> Behalf Of intermilan04
> Sent: Wednesday, August 30, 2006 18:56
> To: amibroker@yahoogroups.com
> Subject: [amibroker] Re: Backtest vs Forwardtest
>
> Fred,
>
> I believe my case was the latter. Today I was trying to buy 900
> shares of a 5-dollar sto
Hi Yuki,
There are stocks, low-cap stocks where 900 shares buy order overnight
is actually huge. I'm not saying 100% that my stock of today was
indeed the case...I do have a reason to believe it was, but it's hard
to convince others without naming the ticker.
Now, I am already working toward avo
eral problem to me.
> > >
> > > Download IO.zip and read thru the docs and see if any of that
> makes
> > sense to
> > > you...
> > >
> > > d
> > >
> > > > -Original Message-
> > > > From: amibr
>
> - Mark H.
>
>
> - Original Message -----
> From: intermilan04
> To: amibroker@yahoogroups.com
> Sent: Wednesday, August 30, 2006 4:27 PM
> Subject: [amibroker] Re: Backtest vs Forwardtest
>
>
> Hi Duke,
>
> I have minimum price and
Hi intermilan04,
Thursday, August 31, 2006, 9:56:24 AM, you wrote:
i> I believe my case was the latter. Today I was trying to buy 900
i> shares of a 5-dollar stock and got caught. I am now making change
to i> my volume limit so I won't make this mistake again.
What is the average dollar volume
Hi intermilan04,
Thursday, August 31, 2006, 9:41:19 AM, you wrote:
i> - When I follow my system, I get bad pricing because sometimes
stocks
i> gap up due to my order being placed overnight
My guess is ... that you imagine you are affecting the market, but
actually you are not. I've known some y
umber of variables to below 5. Make the
portfolio size sufficiently big.
Hope this helps a bit,
- Mark H.
- Original Message -
From:
intermilan04
To: amibroker@yahoogroups.com
Sent: Wednesday, August 30, 2006 4:27
PM
Subject: [amibroker] Re: Backtest vs
Forwar
Really?
> -Original Message-
> From: amibroker@yahoogroups.com
> [mailto:[EMAIL PROTECTED] On Behalf Of Fred
> Sent: Wednesday, August 30, 2006 8:38 PM
> To: amibroker@yahoogroups.com
> Subject: [amibroker] Re: Backtest vs Forwardtest
>
> Robustness is a tou
em to me.
> > >
> > > Download IO.zip and read thru the docs and see if any of that
> makes
> > sense to
> > > you...
> > >
> > > d
> > >
> > > > -Original Message-
> > > > From: amibroker@yahoogroups.com
>
> > d
> >
> > > -Original Message-
> > > From: amibroker@yahoogroups.com
> > > [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04
> > > Sent: Wednesday, August 30, 2006 7:32 PM
> > > To: amibroker@yahoogroups.com
> > >
: Wednesday, August 30, 2006 7:32 PM
> > To: amibroker@yahoogroups.com
> > Subject: [amibroker] Re: Backtest vs Forwardtest
> >
> > I wish I was making 75% up to now :-)
> > The 75% is the result of my system which is optimized between
> > 2001-2006. Sinc
amibroker@yahoogroups.com
> > [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04
> > Sent: Wednesday, August 30, 2006 7:32 PM
> > To: amibroker@yahoogroups.com
> > Subject: [amibroker] Re: Backtest vs Forwardtest
> >
> > I wish I was making 75% up to now :-)
>
Intermilan,
It may be disappointing but it is also to be expected ... ergo the
reason for out of smaple testing without which one has not much of a
clue as to how one's system will perform with real money.
Personally I view backtesting and original optimization as a station
about mid way in th
Dennis,
I suppose you have a good point there. It's very disappointing to
design something and see future not holding so well. I do not remove
stocks to fit my rules though, as I see it pointless, even dangerous
to do.
--- In amibroker@yahoogroups.com, Dennis Brown <[EMAIL PROTECTED]> wrote:
>
It's strictly about the math ...
If you trade your accounts in terms of dollars as opposed to percent
I would still convert dollars to percent so that you can see the
percentage drawdowns unless of course for some reason that statistic
is of no particular value to you.
--- In amibroker@yahoogr
com
> [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04
> Sent: Wednesday, August 30, 2006 7:32 PM
> To: amibroker@yahoogroups.com
> Subject: [amibroker] Re: Backtest vs Forwardtest
>
> I wish I was making 75% up to now :-)
> The 75% is the result of my system which is optimiz
intermilan,
Backtest optimization is like that.
Given any set of stocks and timeframe, and a few indicators, I can
optimize the performance (avoiding the losses due to temporary sharp
changes in price due to news events), getting out at the peaks and
valleys statistically most of the time (o
Fred,
What do you attribute that to, and how would you overcome it?
I actually trade some accounts that way in real life.
Dennis
On Aug 30, 2006, at 6:37 PM, Fred wrote:
> Practices like this have a tendancy to obscure large percentage
> drawdowns ...
>
> --- In amibroker@yahoogroups.com, Denni
I wish I was making 75% up to now :-)
The 75% is the result of my system which is optimized between
2001-2006. Since I'm always trying to improve my system, I don't
necessarily have traded with the system verbatim from 2006/1/1.
Now I am having an issue where as soon as I start using a system its
Nope, I just meant that he measured all the other years from
Jan.1-Jan.1, so he's not comparing apples to apples by looking at YTD
performance. We're coming into a time of year when there are
typically major drops followed by major rallies, so if his system
captures that behavior it could make up
If re-optimizing is the way you want to go, by all means have at it.:)
JMO, but a better approach is to find a repeating, consistent market
behavior, model it, and only then apply optimization to get the most
out of it. I'm sort of a Luddite, though, so don't go by me.:)))
Luck,
Sebastian
"So, two things: First, the obvious one, you can't really know that
your system has "broken down" until you get the final results on
January 1, 2007.:)"
Really ? ... You mean there is no point at which real DD's exceed
previous experience you wouldn't think that system is broken ?
Please
"You may want to try optimizing on the last year and backtest out of
sample on previous years."
Although I'll have to admit that I've done this myself from time to
time, the logic still escapes me ...
Please note that this group is for discussion between users only.
To get support from
Practices like this have a tendancy to obscure large percentage
drawdowns ...
--- In amibroker@yahoogroups.com, Dennis Brown <[EMAIL PROTECTED]> wrote:
>
>
> It might be better to limit trades to a constant $ amount and look
at
> absolute $ gains instead of % gains.
> That way it reflects the
You may want to try optimizing on the last year and backtest out of
sample on previous years.
herman
intermilan04 wrote:
Hi Sebastian,
"you can't really know that your system has "broken down" until you
get the final results on January 1, 2007.:)"
Very true. I do not think my system
riginal Message-------
> > From: dingo <[EMAIL PROTECTED]>
> > Subject: RE: [amibroker] Re: Backtest vs Forwardtest
> > Sent: 30 Aug '06 19:37
> >
> > In most circles 5 years is not enough. Plus profits are not all
you should
> > be looking at
hanges on this term - one
> that your have just tripped over.
>
> d
>
> > -Original Message-
> > From: amibroker@yahoogroups.com
> > [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04
> > Sent: Wednesday, August 30, 2006 2:37 PM
> > To: amibrok
It might be better to limit trades to a constant $ amount and look at
absolute $ gains instead of % gains.
That way it reflects the performance at any random entry point in the
system. Just pretend you take all the profits away and pay the bills
with them every month. LOL
I just started thi
Hi Sebastian,
"you can't really know that your system has "broken down" until you
get the final results on January 1, 2007.:)"
Very true. I do not think my system has "broken down," it's just that
it is underperforming at a dreadful level compared to how it had been.
As for data range, I also s
ps a transitory period where both volatility and
rotation is affecting your current results.
Just something to ponder
Regards,
Duke Jones, CMT
> ---Original Message---
> From: dingo <[EMAIL PROTECTED]>
> Subject: RE: [amibroker] Re: Backtest vs Forwardtest
> Sent
Hi Rob,
You accurately pointed out that limiting trade size follows the market
more precisely.
The problem with it though, was that when I tested against longer data
(say 10 years) my equity grew so fast (even with limited trade size)
that, I was making bad trades near the end of backtest yet my
es on this term - one
that your have just tripped over.
d
> -Original Message-
> From: amibroker@yahoogroups.com
> [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04
> Sent: Wednesday, August 30, 2006 2:37 PM
> To: amibroker@yahoogroups.com
> Subject: [amibroker] Re: Bac
Without knowing any more about your method (and I'm not asking), maybe
there's nothing wrong and your system's performance is simply an
accurate reflection of market action during those times?
>From Jan.-Jan. in all those years there was a substantial movement
(either up or down) in the overall st
I have had similar experience until I set the "Limit trade size as %
of entry bar volume" to some value like 0.25 for 0.25%. My results
were more realistic at that point. I also made sure my available
capital was spread across my max open positions.
You can find the "Limit trade size as % of en
Hi dingo,
Thank you for your prompt reply.
75% is really good, if I can snatch it. Often times I see that number
when I backtest, but it drops once I start following my system...
The past results are indeed too good to be true but my system is not
looking at future quotes. I guess it could be
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