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Great. So, to be clear, as long as there is sufficient data loaded prior to
the start date specified in the date filter, then the TE or TradeSim
exploration will look for signals immediately at the start date, even if the
test uses a formula which references a lot of prior bars.
I think the reason I was hitting this this way was that I was starting off
tests in Indicator without a date filter, at which point I needed some code
to get tests synchronized (e.g. when comparing test long/short signals in
indicator windows).
Thanks Roy
Andrew
-----Original Message-----
From: Roy Larsen [mailto:rlarsen@xxxxxxxxxxxxxx]
Sent: Monday, June 28, 2004 3:53 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Equalizing System Starts
Andrew
Sorry, I misunderstood you.
The situation you describe is why I use a "date filter". That allows me to
line up any system to a given date (entries are only accepted after the
start date). I just have to make sure I set my exploration (for TE or
possibly TradeSim) or system test to enough bars to cover any N/A period. Of
course there are always going to be some securities with less history than
the desired test period, but that's life.
Roy
----- Original Message -----
From: "Andrew Tomlinson" <andrew_tomlinson@xxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Tuesday, June 29, 2004 7:40 AM
Subject: RE: [EquisMetaStock Group] Equalizing System Starts
>
> Ooops - I don't think I was clear. I'm comparing results of two or
> more different systems on the same set of data - i.e. two or more
> separate tests. So the test using the 10 bar variable has no
> reference as such to the test using the 200 bar variable.
>
> For example, test 1 might be based on c> mov(c,10,s) and therefore
> starts generating results on bar 11 of the test period. Test 2, based
> on
> c>mov(c,200,s) only starts generating results on bar 201 of the tested
> c>data.
> If there is a big rally in the first, say 150 bars of test data the
> gain will be captured by Test 1 and not by Test 2, rendering the
> comparison invalid, even though I think I'm using the same set of
> bars.
>
> I am therefore looking to set up tests where the code starts to look
> for entries at the same bar in both tests, although one may require
> more historical data to provide a signal. Hence my solution of
> delaying any signals until a period has elapsed greater than the
> amount of historical bars required for the longest indicator
> combination. It means that I have to load more data, but it makes the
> results comparable to a real testing situation - i.e. if I start today
> to trade a system using a 200 day MA I'm not going to wait 200 days -
> I'm going to look back.
>
> Did I explain it better that time?
>
> Andrew
>
>
>
> -----Original Message-----
> From: Roy Larsen [mailto:rlarsen@xxxxxxxxxxxxxx]
> Sent: Monday, June 28, 2004 3:04 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: Re: [EquisMetaStock Group] Equalizing System Starts
>
>
> Andrew
>
> > I've been concerned about backtesting systems where the indicators
> > used have a significantly different timescale. For example, if I
> > compare a 200 bar moving average crossover system with a similar, 10
> > bar system, then the 10 bar system is going to start generating
> > signals 190 bars earlier than the 200 bar one, which will make
> > nonsense out of the comparison. I have started including a 250-bar
> > delay in my entry signals, viz
> >
> > EL:= Fml(long entry) AND cum(1)>250;
> > Etc.
> >
> > This seems to be working (although I haven't tested it
> > exhaustively), but I am curious what solutions others have used.
> >
> > Also, I am wondering if this might cause problems with Roy's
> > Initiation variable in latch formulas.
>
> The thing with an "Init" variable is that it signals when both (or
> all) variables are defined. No need for any other delay. The
> IsDefined() and
> IsUndefined() functions can also be used in this way although there'll
> rarely be a situation where they are preferable and do the job better.
>
> There's always the prospect of some code being at cross purposes with
> other code. But on a positive note there are nearly always several
> solutions to any MS problem, and which one you use is just a matter of
> personal choice.
>
> Roy
>
> > Thanks for your thoughts
> >
> > Andrew
> >
> > -----Original Message-----
> > From: praktikus_ms [mailto:praktikus@xxxxxxxxxx]
> > Sent: Monday, June 28, 2004 8:36 AM
> > To: equismetastock@xxxxxxxxxxxxxxx
> > Subject: [EquisMetaStock Group] Re: unnecessary repetitive signals
> >
> >
> > Hormuz,
> >
> > Go to the files section of this group and search for a word document
> > called 'Using Latches in MS.doc' by Roy Larsen. This should give you
> > an idea about how solve this problem.
> >
> > A quick shot would be:
> >
> > {Trade Latch; Idea by }
> > {2004 Roy Larsen, rlarsen@xxxxxxxxxxxxxx}
> > Set:=Fml(your long therm buy signal);
> > Reset:=Fml(your long term sell signal); Init:=Cum(Set+Reset>-1)=1;
> > Trade:=If(BarsSince(Init+Set)<BarsSince(Init+Reset),1,-1);
> > Trade; {swings between +1 and -1}
> >
> > This gives you an output of +1 for the buy signal and -1 for the
> > sell signal. Just assign those to your expert signals and you should
> > doing fine.
> >
> > Martin
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, hormuz maloo
> > <hormuzmaloo@xxxx>
> > wrote:
> > > Hi everybody,
> > > I am trying to program my own expert advisor, which
> > > gives long-term buy and sell signals.
> > > Have just got started, but I find that the buy or sell signal is
> > > repeated everytime the pattern is found on the chart. What I would
> > > like to do is see that a buy signal does not follow a buy signal,
> > > ie a buy signal should occur only if the previous signal was a
> > > sell signal and vice versa.
> > > Can somebody please show me a simple way to do this.
> > > Thanks in advance,
> > > Hormuz Maloo
> >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> >
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> > Yahoo! Groups Links
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