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Hi Cameron,
Thank You for sharing your 2c :-)
4 years is already long sometimes with very different values of prices.
Example on the Cac future index : 09/08/2000 at 6950 and 03/14/2003 : 2400
!!
This is a -65% difference from the high side and a 189% difference from the
low side !! in less than 3 years. In a single year the difference was
enormous: from 6950 to 3460 : -50% from the high or 100% from the low. !!
That is why I need the percent calculations
Have you ever tried the walk forward optimisation tool from Dennis Meyers :
"Power Walk Forward optimiser" ?
http://www.meyersanalytics.com/pwfo.php
It may be a good tool for your work.
Regards
Philippe
> -----Message d'origine-----
> De : c [mailto:camacazi@xxxxxxxxxxx]
> Envoyé : mercredi 25 août 2004 06:01
> À : Philippe; 'Omega-List'
> Objet : RE: Add on Performance summary with Percent values and lot more.
>
> 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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