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Hi all
BTW... by the way
personally ...i backtest the same time frame [4 years] and the same amount
[1 futures contract or 100 000 usd on currencies] which equates to the same
time frame and same percentage risked. then after 6 months i reevaluate
with the latest 4 years data and backtest all my best systems again. This at
least gives me something similar to compare things with.
just my 2c
Cheers
Cameron
-----Original Message-----
From: Philippe [mailto:Synergy@xxxxxxxxxxxxxxxx]
Sent: Wednesday, August 25, 2004 4:19 AM
To: 'Omega-List'
Subject: Add on Performance summary with Percent values and lot more.
In a precedent post i was asking :
By the way have your heard about add on or new coding for the
Tradestation performance summary (for TS200i) to make it updated based on
Percent values, not only on $ or points values (updated max DD, trade by
trade , net profits and so on).
Back testing systems with long historical data's is a must to test
robustness and the Performance summary from TS give information either
wrong or at least not useful at all, because in $ and not updated in
% .
MaxDD are erroneous as, MAE, MFE, Average trade, net profit and all
intermediate results.
What a confusion !!!
Good news for system backtesters with TS2000i ( ? for TS7 & 8) :
An add on exists here and seems to be very complete , monitoring portfolio
in real time and ...
RealTime PortfolioAnalyzer
http://www.tsresearchgroup.com/en/articles/prod_20020328110411.php
Does somebody use it ?
Regards
Philippe
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