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Thanks, Joe. I understand what both you and Martin have said. I have
also done the same thing myself, but this one is a little more
difficult for some reason. I sometimes use $TRIN and $VOLD as
triggers for buy and sells on other securities as well as the SPY,
and I backtest those all the time. I haven't had any problems with
those systems, even when I've embedded them in complex formula's.
While this one looks the same on the surface, Roy and I have been
exchanging data and it has yet to work properly. Roy has found at
least part of the problem with false signals and overlapping signals
leading to wrong interpretations of trades. Hopefully in a couple of
more days, we'll have it ironed out. The backtesting seems to work
better for Roy using MS 7.02. MS 8.01 still has a few issues. As I
said these problems didn't come up on TradeStation. MS is a little
more ridgid.
JO
--- In equismetastock@xxxxxxxxxxxxxxx, "Joe J." <jojab@xxxx> wrote:
> JO,
>
> I think what Martin was saying is that you could call up the system
tester for 8.01 on the SPY but reference VLE within the system tester
(or within a plotted formula for that matter) and run your test that
way. In fact, I have run backtests in MS 8.0 and 8.01 Pro
referencing another security to produce the signal (or condition part
of the signal). You don't need Tradestation to do this - MS will
handle it just fine.
>
> Good Trading,
>
> Joe J.
>
>
>
>
> -----Original Message-----
> From: manohohman [mailto:no_reply@xxxxxxxxxxxxxxx]
> Sent: Wednesday, November 19, 2003 2:47 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Re: simple SPY trading system using
Bolinger Bands
>
>
> Thanks for the comment, Martin. I am aware of the security function
> and use it frequently in my programs, but to do this backtest in MS
> is a complex problem that goes beyond a straight forward
application
> of the security function. You have to use the VLE index with the
> indicators and rules, then when the VLE generates a signal from the
> index you execute the trade on the SPY.
>
> Roy and I are working on the problem and maybe they'll be a
solution
> in the next few days, at least for one version or another of MS
> explorer. This is one of the limitations of formula language as
> opposed to a general purpose programming language. That's why the
> original tester of the system used TradeStation for the backtests.
MS
> likes it's systems tests simple.
>
> I also need to correct something else. Zweig got the 4% indicator
> from Ned Davis. Davis actually developed it in the 60's, so there's
> 40 plus years of data on how it works as opposed to the the 30
years
> I mentioned.
>
> Thanks again, Martin.
>
> JO
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