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<FONT face=Arial color=#0000ff
size=2>Comments to follow:
<SPAN
class=703290219-25032004><FONT face=Arial color=#0000ff
size=2>
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.<FONT face=Arial
color=#0000ff size=2>
I
wasn't suggesting that you shouldn't backtest over long periods of time but I
find it more useful to break the data up into smaller samples when
backtesting. This way you are not looking at 10 years worth of
testing all at once. Rather you are looking at 40 periods of 3
month blocks. To that extent, I think we are saying the same
thing."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.<FONT
face=Arial color=#0000ff size=2>
<FONT face=Arial color=#0000ff
size=2>Actually we are in agreement here. "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<--------------------<SPAN
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size=2>
<FONT face=Arial color=#0000ff
size=2>Okay, so put that formula in the system
tester. "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. <FONT
face=Arial color=#0000ff size=2>
Doesn't
that go without saying? ;-)
As for me, I'll just stick
with TradeSim for the time being.(I have no financial connection to
Compuvision)<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>And I've never tried it. My point wasn't to criticize TradeSim
but rather it was to say that I personally find the MS system tester a workable
and useful product (the 8.1 version).
<FONT face=Arial color=#0000ff
size=2>Good Trading,
<FONT face=Arial color=#0000ff
size=2>Joe J.
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