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PTJim  
#1 Posted : Saturday, March 16, 2019 4:44:14 PM(UTC)
PTJim

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Is there a simple guide to walk me through converting a fairly-complex Exploration (using several functions, including some password-protected toolkit functions, and 7 filter tabs) into the System Tester for rough backtesting?

I don't use System Tests because I'm a discretionary countertrend trader rather than mechanical-system user, but I'm curious about performance of a newly-modified Exploration.  It "feels" like a high-quality filter based on reviewing the history of charts that pass the filters, but System Testing might provide more insight by simulating trade execution of all results over time.

Yes, I'm trying to save time and shortcut the process (cutting/pasting my Exploration code into the right boxes) rather than learning how to code System Tests from the ground up, because I don't expect to be using it much in the future.  Just hoping I can hammer out this one to see what happens.

I'm running MS16 EOD.

Thanks.

Edited by user Saturday, March 16, 2019 4:46:46 PM(UTC)  | Reason: Not specified

MS Support  
#2 Posted : Tuesday, March 19, 2019 5:19:08 PM(UTC)
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Originally Posted by: PTJim Go to Quoted Post

Is there a simple guide to walk me through converting a fairly-complex Exploration (using several functions, including some password-protected toolkit functions, and 7 filter tabs) into the System Tester for rough backtesting?

I don't use System Tests because I'm a discretionary countertrend trader rather than mechanical-system user, but I'm curious about performance of a newly-modified Exploration.  It "feels" like a high-quality filter based on reviewing the history of charts that pass the filters, but System Testing might provide more insight by simulating trade execution of all results over time.

Yes, I'm trying to save time and shortcut the process (cutting/pasting my Exploration code into the right boxes) rather than learning how to code System Tests from the ground up, because I don't expect to be using it much in the future.  Just hoping I can hammer out this one to see what happens.

I'm running MS16 EOD.

Thanks.

Hello,

It depends on how you are using the filters and the relevant timing of each for considering trades.

It sounds like a good starting point would be to group all the criteria that constitute a Long Entry/Exit and Short Entry/Exit as these are your primary tabs in the System Tester.

Buy Order = Long Entry Signal Criteria

Sell Order = Long Exit Signal Criteria

Sell Short Order = Short Entry Signal Criteria

Buy to Cover Order = Short Exit Criteria

For some, the Sell Order/Sell Short Order and/or Buy Order/Buy To Cover criteria are the same, for others they may be different. It may be as simple as combining all the different filter criteria using Boolean operators, or it may get more difficult if the timing of the different filters do not necessarily occur at the same time.

Beyond this, the formula language (outside the Simulation functions) is the same for System Tests, Explorations, Experts, etc. You can also get more complex with Stops and changing the Order Types within each Buy/Sell tab but this might not be necessary for your criteria.

PTJim  
#3 Posted : Tuesday, March 19, 2019 6:22:52 PM(UTC)
PTJim

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Essentially, what I'm trying to model is pretty simple, and the goal is only to tell me "if a symbol passes this Exploration, is it likely to be profitable within 3 days more often than not and if so, by how much?"

So, let's say I take the small handful of symbols that usually result from the Exploration, use a rule to buy at open the following day, then test 3 days after that (at close), is the trade profitable more than half the time?

It's very simplistic but roughly that's my goal for this Exploration; give me high-probability short-term trade candidates. With disciplined money management and decent risk/reward ratios, even 50/50 probability should be profitable over time.

I'll see if I can figure out how to flow my Exploration results into the System Tester.

Edited by user Tuesday, March 19, 2019 6:23:53 PM(UTC)  | Reason: Not specified

MS Support  
#4 Posted : Wednesday, March 20, 2019 3:48:06 PM(UTC)
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Originally Posted by: PTJim Go to Quoted Post

Essentially, what I'm trying to model is pretty simple, and the goal is only to tell me "if a symbol passes this Exploration, is it likely to be profitable within 3 days more often than not and if so, by how much?"

So, let's say I take the small handful of symbols that usually result from the Exploration, use a rule to buy at open the following day, then test 3 days after that (at close), is the trade profitable more than half the time?

It's very simplistic but roughly that's my goal for this Exploration; give me high-probability short-term trade candidates. With disciplined money management and decent risk/reward ratios, even 50/50 probability should be profitable over time.

I'll see if I can figure out how to flow my Exploration results into the System Tester.

It sounds like you would just be wanting to take a particular signal formula, and put this in the Buy Order tab, but it would then just depend on what you want your exit criteria to be.

There are different ways to trigger an exit beyond the Sell Order tab, such as using the "Inactivity Minimum Change" stop (in the Stops tab), which requires the price to move a particular amount over X number of bars, and if that does not occur the trade will exit.

You can configure the tester to only consider Long trades or Short trades, or Both which is the default. We also close all positions on the last bar by default (this is in the Trade Options > Trade Execution tab).

Edited by user Wednesday, March 20, 2019 3:49:22 PM(UTC)  | Reason: Not specified

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