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Dave, you can't test different time periods in the Explorer unless they all
end in the last (most current) date, can you?
By the way, being limited to 6 columns in the Explorer sure is a pain for
system testing! Sure limits you to what you can report.
Tom
----- Original Message -----
From: "Dave Nadeau" <dave_nadeau@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Monday, June 25, 2001 12:00 PM
Subject: Re: Evaluating MS Trading Systems
> Herman,
>
> I don't use the MSBT, but do the same sort of thing using the Explorer. I
will code many of the
> metrics that you are discussing and compare them across multiple
securities in a portfolio. You
> have some very good ideas and I would like to experiment with some of them
in my future tests.
>
> Another idea that may be worth trying is this: split your data into three
date ranges (assuming
> sufficient number of data points for a statistically valid result). My
theory is that when I
> create a system that is successful, it exploits a market behavior that is
consistent and
> persistent. An example is a trend following system. Some markets trend
better than others,
> especially certain commodities. PREMISE: Generally speaking, i.e.
across a group of these,
> that market which trends will be more likely to trend in the future than a
market which is choppy.
>
> So taking the best performing issues in the first date range, should be
the better performing set
> in the next data range, and then, the third. There will be variation
among some of the issues, of
> course, but in general, I'm looking for this to be true. If so, then I
get a good feeling for the
> robustness of my system as well as the expectation of its performance in
the future. When I find
> systems that do not do this, my sense is that they are not much better
than random, and are more
> of a curve fit rather than one I'd trust trading real dollars.
>
> This approach tends to be more of a securities fit, rather than a curve
fit. It's just another
> way to slice and evaluate a system.
>
> Dave Nadeau
> Fort Collins, CO
>
> --- Herman van den Bergen <psytek@xxxxxxxx> wrote:
> > At 08:00 PM 6/24/01 -0500, you wrote:
> > >What is MSBT?
> > >Lionel Issen
> >
> > MSBT (Multiple Security Back Testing) is an add-in for Metastock. I use
it
> > to test my trading systems on various stock selections (50 - 8000
stocks).
> > It takes about ten minutes to process 8000 stocks and produces a Excel
> > compatible (.csv) report with about 50 stats (like in the MS system
tester)
> > for each stock tested.
> >
> > I like this add-in because it gives me an immediate idea of how robust
my
> > system is. Testing my system on a large universe of stocks and knowing
for
> > how many stocks the ROI actually improved, gives me a good (well,
sometimes
> > not so good...) indicator of the "robustness" of my system.
> >
> > The ratio (number of stocks with improved ROI)/(Total number of stocks)
> > makes a nice Robustness Index. It is also interesting to run tests on
> > different sectors or other categories of stocks. It would be interesting
to
> > learn what kind of RB-Index other developers manage to obtain - anybody
> > care to share? I typically get 35% however I have have a sorting problem
> > related to negative B/H indices - so I think my ratio is actually much
> > better. Anybody calculated this ratio?
> >
> > My systems tend to be too specific and finding stocks that trade well
with
> > my system was difficult. Using the MSBT you run your system on all 8000
> > stocks (or less) and see immediately which stocks performed well with
your
> > system. I had some interesting surprises :-)
> >
> > For more info visit http://www.holygrailsoftware.com/msbt.shtml , the
> > add-in costs $45.
> >
> > Happy trading!
> > Herman.
>
>
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