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Joe, we seem to have very different views on trading and backtesting
in general.
"As a trader are you really going to sit through 3, 6 or 12 months of
a losing system?"
That's the whole point of real-life backtesting. To weed out poor
trading systems, to develop a trust and understanding for it.
"No, you'll be combing the internet or the trader magazines and books
for the next wonderful indicator."
Not this little bunny.
"So, why run tests that exceed this timeframe?"
For the simple reason that it's preferable to stress-test a system
over different market conditions.
"Do you really think you are going to develop a strategy that you'll
trade on a compounding basis completely unchanged for the next 10
years? To me running a test like that is useless."
You've missed my point. Compound backtesting is next to useless for
any length of time.
"Also, the MS system tester can account for commissions and slippage
and various entry and exit points (i.e., today's close, tomorrow's
open, tomorrow if today's high is exceeded via a limit order, etc.)."
Real slippage is about not getting the price you or your system wants.
You cannot pass slippage-adjusted entry/exit price variables to the
System Tester.
Example of slippage:
---8<--------------------
Slippage:=1; {Slippage %}
EntryPrice:=Ref(C,-1)*(1+Slippage/100);
EntryPrice:=If(EntryPrice>H,H,EntryPrice);
EntryPrice:=If(EntryPrice<L,L,EntryPrice);
---8<--------------------
"but I think it is a fairly decent and certainly workable product."
I'm glad to hear a dissenting view, and you are certainly entitled to
it. As for me, I'll just stick with TradeSim for the time being.
(I have no financial connection to Compuvision)
Regards,
jose
--- In Metastockusers@xxxxxxxxxxxxxxx, "Joe J." <jojab@xxxx> wrote:
> With all due respect to Jose, I find the MS system tester in 8.0/8.
01 to be fairly decent. You don't have to compound your trades. Just
select points only and use some common sense when going about your
testing. Do you really think you are going to develop a strategy that
you'll trade on a compounding basis completely unchanged for the next
10 years? To me running a test like that is useless. Try running
your tests over one year periods or three month periods (if you are an
EOD trader). This can be done in the MS system tester. You should be
separating your data into blocks anyway. Why would you do this? As a
trader are you really going to sit through 3, 6 or 12 months of a
losing system? No, you'll be combing the internet or the trader
magazines and books for the next wonderful indicator. So, why run
tests that exceed this timeframe?
>
> Also, the MS system tester can account for commissions and slippage
and various entry and exit points (i.e., today's close, tomorrow's
open, tomorrow if today's high is exceeded via a limit order, etc.).
>
> I'm not saying the MS system tester is perfect by any means as there
are some things that I'd like to see it do better but I think it is a
fairly decent and certainly workable product.
>
> Good Trading,
>
> Joe J.
>
> -----Original Message-----
> From: Jose [mailto:josesilva22@x...]
> Sent: Wednesday, March 24, 2004 8:48 PM
> To: Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] MS System Tester vs TradeSim
>
>
> The difference between MetaStock's System Tester (MSST) and TradeSim
> is like comparing night & day.
>
> MSST is based on compound trades, and is buggy and difficult to use.
>
> MSST doesn't take into account the trader's limited trading account.
> You cannot go on trading after your capital is depleted. MSST keeps
> on backtesting after the most massive drawdowns.
>
> TradeSim considers entry & exit price slippage, testing on
restricted
> capital (i.e. real-life trading), drawdowns, and thorough Monte
Carlo
> testing and scatter plotting, just to mention the more important
> points.
> The number of variables available in TradeSim alone, would be
> difficult to replicate in a charting package.
>
> Take a look at this TradeSim backtest example:
> http://users.bigpond.com/prominex/Pegasus/Peg-Eqty.htm
>
> More here:
> http://www.compuvision.com.au/index.htm
>
>
> jose '-)
>
>
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "ktlau" <ktlau@xxxx> wrote:
> > I was led to believe, thru reading of various posting, that
> > TradeSim's capability for backtesting is very much advanced as
> > compared with MS's enhance system tester.
> > Can anyone elaborate the difference in capability between the two?
> >
> >
> > Tony
>
>
>
>
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