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Re: [EquisMetaStock Group] Systemtest version problem



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Hi Utku
 
 
You need to understand that the 7.X and 9.1 system testers are very different animals and there are many traps for the unwary EST user. Simply migrating code and parameters is rarely going to give the same result as the old System Tester. Often the results will not even be close.
 
For example, If you're buying with a 1-bar delay (on next open say), the EST will probably abort a significant number of trades. Why? Because when you set the EST system to use 100% of capital the number of shares to be purchased is calculated based on the signal bar prices. However, when the EST discovers on processing the execution bar that it cannot afford to buy the pre-calculated number of shares it will abandon the trade rather than recalculate the number of shares that can be purchased. This happens when the "actual" buy price is higher than the signal bar buy price.
 
The EST attempts to buy a pre-calculated number of shares whereas the old ST used 100% of money available.
 
There are a number of ways to get around this problem. One that I use is to double the amount of capital available and then specify that only 50% of that capital be used per trade. This will give a starting equity line that is double that of the old ST, but net profit/loss should much more closely resemble the active part of the old ST equity curve.
 
There should be a document by Tom Sprunger in the Files section that covers a number of EST issues - I suggest you read it. It won't tell you all of the answers but it does explain a few things that you should be aware of. Also, a number of past MSTT newsletters have articles covering various aspects of the EST. Unlike Tom's document, however, these are not freely available.
 
Ensuring that the same data is used by various test tools is an important factor in achieving consistent results, as Preston and MC have already mentioned, but it's far from being the only factor to consider. Loading more data than is needed and then using a "date filter" to restrict each test to the required date range is something that works for me. Typically the default values of a date filter would be set as required and then "AND Fml(Date Filter)" appended to your Buy code.
 
As the author of the Trade Equity series of indicators and explorations I've spent a lot of time finding out why the old ST, the EST and Trade Equity results can be and often are very different. By understanding the causes and making appropriate code and/or parameter adjustments I've been able to test systems across hundreds of securities and consistently achieve totals that are within a few cents of each other. Obviously this cannot be the case when trying to match "100% of capital" against "number of shares" (Trade Equity can use either method), but even then you should be able to get results that are well within the same ballpark.
 
 
Regards
 
Roy
 
 
 
----- Original Message -----
From: Utku Eke
Sent: Wednesday, August 27, 2008 10:27 PM
Subject: [EquisMetaStock Group] Systemtest version problem

Hi to all,
 
I was using MSpro 7.0  (i know it's old ..) And wrote down various EXPERSTS, SYSTEMTESTS, EXPLORATIONs.
Now I am using MSpro 9.1 and imported the old formulasto nw version. And the results of same SYSTEMTESTs' differ from each other. 
I think it is not only because of price field because the equity curves of the systems are unrelated.
 
Does anyone have an idea ?   

 
                                                                               
 “That which hath been is what will be,
    that which is done is what will be done,
    and there is nothing new, under the sun.”



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