Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/7/2005(UTC) Posts: 1,346
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hey roy..... think on somethin for me abit when ya have time...... if we have a system based on the macd reasoning, but instead of the close , use another variable..... then use 4 common opt values, 3 for the macd and 1 for the new variable.... for a total of 3696 combinations.... on the "spy" for 1000 daily bars..... would you think it possible for all 3696 to be net positive.... the average gain was 4033... the trade p/l were always heavy on the win side.... average number of trades was about 25....
long trades only with no stops of any type.... just the simpliest of tests.... a simple moving average convergence/divergence crossover, like the macd.....
to force a loosing combination, i expanded the opt's up to a total of 14784, still not 1 in 14784 was a net loser... the average gain was 3244 and trade p/l always still way heavy on the win side.....
does that seem odd to you.....thanks.....h
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 7/25/2005(UTC) Posts: 1,042
Was thanked: 57 time(s) in 54 post(s)
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Hi H
Yes it does seem odd. It's not a question of whether there's a mistake in the system formulas or setup, but just what that mistake might be. I'd be happy to to take a look at your code and setup if you like. Other than looking for forward references I'm reluctant to guess what the problem is. The only thing I'm confident of is that it won't be the System Tester itself causing this situation. Not unless you hit the "delete all losing trades" before looking at the results.
What happens if you throw in some brokerage?
Regards
Roy
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/7/2005(UTC) Posts: 1,346
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hey roy... i'm running a just over 1 1/2 million combinations right now, will try the brokerage when its done..... commissions here are little consequence so i never include them....
no, not deleting anything , at least that i'm aware of.... i can see the few loosing trades...... just none of the 14784 combinations were net loosers and i exported all 14784 to excell to break them down.... all were there......
when tested against all of the equis systems it preforms the same....
somewhat simple code, with plenty of room for improvement.... my computer is tryin to over heat, will send it to ya in a bit if she don't melt down......h
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 7/25/2005(UTC) Posts: 1,042
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Hi H
It sounds like it might be a long night for you.
Regards
Roy
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/7/2005(UTC) Posts: 1,346
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hey roy.... just sent the code to your newsletter nz email address.... don't expect much.... it was just something that looked good ploted on a chart but looked too good in the system tester......h
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 7/25/2005(UTC) Posts: 1,042
Was thanked: 57 time(s) in 54 post(s)
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Hi H
I haven't found a problem with the code. It doesn't perform so great on my data but it still gives me some ideas for further test.
The basic formula is Linear Regression Slope so you can make the code a little simpler.
Regards
Roy
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/7/2005(UTC) Posts: 1,346
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hey roy.... did you by any chance correct the code in anyway..... i found my error.... it makes a huge positive difference....
my "aaa:=Mov(a,3,E); " ordinarily that should read "aaa:=Mov(aa,3,E);" ..... 3 was my chosen opt4....
of course that missing 'a' redirects the code back to 'a', linear regression, which more than quadruples the results..... how odd.... lookin into it deeper to see just why now......
i was running my 'missing 'a' code' against 1000 bars of the 'spy'.... also ran it against the dow components , and s&p 500 components, 1000 bars.........
when you test something do you run it on something similiar to the 500.......thanks .....h
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 7/25/2005(UTC) Posts: 1,042
Was thanked: 57 time(s) in 54 post(s)
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Hi H
I didn't spot that one. Looking back at the revised code I ran today, I corrected the error when I created variables A, B and D in place of a, aa and aaa. When I ran your code last night I added an entry and exit delay as well as 1% commissions. I ususally find that systems with lots of trades lose their gloss when realistic slippage and brokerage is factored in on, particulaly on small parcel sizes.
Regards
Roy
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/7/2005(UTC) Posts: 1,346
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hey roy.... sorry, should have mentioned i always use 10,000 starting with 100% invested when testing long side trades only.... my commissions here are only 14 bucks round trip so i just ignore them.... there were only about 30 trades on the thousand bars using the errored code........
speaking of 100%, the way jose keeps devaluing the dollar, that 14 might be 100 by the end of the year..... its true, someone drinking only oil, eating only wheat and buying only items made 100% from gold is living in a world of hurt....... glad i don't live in that world....hehe......h
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 7/25/2005(UTC) Posts: 1,042
Was thanked: 57 time(s) in 54 post(s)
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Hi H
That's something else I never do - compound from one trade to the next. IMO it has the effect of making good trades look better and bad trades look not so bad. While the goal might be to accumualte capital at an ever increasing rate, the reality is different for most of us. I, for one, need all the reality checks there are. When you see my test results using compounding equity you'll know that I've cracked it.
Regards
Roy
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