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I think it's good practice to spot check individual trades after
every backtest to make sure the system is doing what you intended.
This is especially important when trying out new code. That's what I
try to do.
Dan's reference to checking trade delays is good advice. If you're
not careful when using profit targets you can end up buying at the
close and selling at a profit earlier the same day (it'd be nice).
I also sort my trades by highest and lowest returns and look at
those. That's how I discovered a serious problem with my Yahoo
data. It was infected with what I call the "one day price
adjustment". Prices would trade in the forty dollar range one day,
the twenty range the next, then back up to the forty range the third
day. Other data sources confirmed there was no such spectacular drop
and leap. It was making a one day split adjustment, then removing it
the next. Since I was testing a system that buys oversold stocks, I
was getting numerous trades showing bogus 100% returns for one day
holds.
Wayne
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