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Hi Stewart,
in AA/BacktesterSettings you can include more data to put
on the report;
for example formula, settings, "trade list with prices and
pos size", and even more.
For verification purposes the same settings are
necessary...
UM
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=stewart@xxxxxxxxxxxxxxxx
href="">Stewart
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, April 20, 2003 1:03
AM
Subject: Re: [amibroker] Re: Help -
Unrealistic Results (for Stewart)
Chuck,
The attached report is with no 1 day delay, .5%
commision, still seems unreal.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003 11:49
PM
Subject: RE: [amibroker] Re: Help -
Unrealistic Results (for Stewart)
I
didn't comment before, but in my opinion, using a one cent commission rate
is not very realistic. Many in this group tend to use
0.5%. I use 1.0% to make sure that I include adequate slippage on
trades that enter at the next open.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Another thing... I don't know about anyone else, but I ALWAYS have my
interest rate set to zero. Otherwise, a system that isn't in the
market very often or uses a small percentage of available capital can make
enough money on interest to cover up deficiencies in the trading
system. After deciding that the system has merit and
selecting parameters, etc., I may set the interest to some value to see how
a fund using the system might fare.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Stewart
[mailto:stewart@xxxxxxxxxxxxxxxx]Sent: Saturday, April 19, 2003
6:37 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: Help - Unrealistic Results (for
Stewart)
The defaults as shown, give the results:<FONT color=#0000ff
size=1>
ApplyStop(<FONT color=#0000ff
size=1>Optimize( <FONT color=#ff00ff
size=1>"Type", <FONT color=#ff00ff
size=1>1, <FONT face="Courier New"
color=#ff00ff size=1>1, <FONT
face="Courier New" color=#ff00ff size=1>1,
1 ),<FONT
color=#0000ff size=1>Optimize( <FONT
color=#ff00ff size=1>"Mode", <FONT
color=#ff00ff size=1>1,<FONT face="Courier New"
color=#ff00ff size=1>1, <FONT
face="Courier New" color=#ff00ff size=1>1,
1 )
,Optimize(
"Amount",
0, <FONT
color=#ff00ff size=1>0, <FONT
face="Courier New" color=#ff00ff size=1>0,
1 ),<FONT
color=#ff00ff size=1>1,<FONT color=#ff00ff
size=1>1);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003
11:35 PM
Subject: RE: [amibroker] Re: Help -
Unrealistic Results (for Stewart)
<FONT face=Arial color=#0000ff
size=2>No worries... we are all just trying to help and we don't expect
you to divulge your system... especially one that looks that
good!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The problem is that it is hard to debug a problem when the system
supplied isn't the same system that produced the results
supplied.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>As you can see from the other posts, several of us ran your
system, either on our own basket(s) of stocks or your specific stocks
and (I think) we all got negative returns. There must be
some sort of "future leak" involved in one or more of your
settings. As you can see in your results, every trade lasted
exactly one day... highly suspicious and possibly suggesting future leak
somewhere.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>I'll have a closer look later today and I think others are
looking as well.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The system you supplied was set up for optimisation. Your
performance figures were based on only one set of parameters derived
from your optimisation. It would be a HUGE benefit to anyone
trying to help you to know exactly which stop parameters were used to
derive the spectacular results.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Cheers
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Stewart
[mailto:stewart@xxxxxxxxxxxxxxxx]Sent: Saturday, April 19,
2003 6:19 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re: Help
- Unrealistic Results
Chuck (and Anyone Else that
missunderstood),
I sincerely apologize if my post was
misleading. My original message did say "similiar", and I assumed the
people helping had seen that. I've been following this group for
awhile (although silently until fairly recently), and it seems fairly
common not to divulge the system specifics when trying to debug
something. Having said that, my actual system was almost exactly as my
example, however, the prices were actual composite prices that I built
(e.g. Close of MSFT + Close of Cisco)/2. I am fairly certain that the
issue isn't with the system conditions, but with the stop or
other system settings, which is what I was trying to
highlight.
Regards,
Stewart
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003
9:45 PM
Subject: RE: [amibroker] Re:
Help - Unrealistic Results
<FONT face=Arial color=#0000ff
size=2>Like a lot of people on this board, I spent some time looking
at this particular post in an effort to help someone with a
problem.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Also, like a lot of others, I found that the system (as
presented) lost money no matter which stocks I tested it
on.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Then... we get a message that the system (as presented) was
only "similar" to the one with the problem.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>It's one thing to not divulge a good system to
the group and another to let us waste our time debugging a
non-existent system.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The original post did say it was "similar", so I'll confess
to reading too much into it.Send BUG
REPORTS to
bugs@xxxxxxxxxxxxx
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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