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Herman,
Outstanding approach! This is an extremely helpful technique that you've
posted. I look forward to working with this and experimenting on my
systems.
My initial sense is that the Excel chart that you attached should be the
equivalent of the annual segmented area under the Equity Curve for the
system. It would be interesting to lay the curve over the bar chart. It
does give a different, and perhaps more dramatic representation of the
annual returns from a given system; it's a view that isn't very easy to see
or necessarily intuitive from just watching the slope of the equity line.
Thanks for this very useful contribution!
Dave Nadeau
Fort Collins, CO
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Herman van den Bergen
> Sent: Tuesday, July 03, 2001 5:16 AM
> To: metastock@xxxxxxxxxxxxx
> Subject: Sobering System Tests
>
>
> Forward and out-of-sample testing doesn't have to be tedious.
> Just load the
> maximum amount of data you have, and add an extra opt in your
> system tester
> to step you through the years. Copy and paste the results from the System
> Tester's Summery Window into Excel and make a chart. See the
> example attached.
>
> You can perform this test on weekly and monthly periods as well.
> I modified
> my Trading Rules by ANDing the year to it like this:
>
> (Trading Rule) AND year()=opt9
>
> and assigned the values 1998 to 2001 (match the years to the
> amount of data
> you have), with step 1 to opt9.
>
> You can now study how the effectiveness of your system changes over time
> with a single system test. I encourage you to do this routinely, it can be
> a very sobering experience!
>
> Have a great day!
> Herman.
>
>
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