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I am trying to write a simple system to evaluate Buy and Hold performance.
In the System Tester I have entered: Buy Order Tab: Cum(1)=1
In the Sell Order Tab: Cum(1)=LastValue(Cum(1))
When I run the system simulation, it returns a value that differs from the Buy and Hold performance on the simulation report.
Does anyone know what I am doing incorrectly?
Thanks, Greg :smt006
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Rank: Advanced Member
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Hi Greg,
That only returns a number of bars ... Try this
C-valuewhen(1,Cum(1)=1,C)
Patrick :mrgreen:
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Rank: Newbie
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Patrick,
Thank you for taking the time to help.
Do I enter that code into the Buy or Sell tab?
I entered it into the sell tab, ran the simulation, and still got different numbers.
Thanks, Greg
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Rank: Advanced Member
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oh sorry I though you wanted an exploration ...
For the system tester use :
{Buy}
Cum(1)=1
{Sell}
Cum(1) = LastValue(cum(1))
Try this
Patrick :mrgreen:
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Rank: Newbie
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Patrick,
Thanks again.
What you listed is the code I started with. It always seems to return a higher value than the MS computation of Buy and Hold.
I can't figure out why. Thanks, Greg
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Rank: Advanced Member
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Quote:What you listed is the code I started with.
:lol: I'm tired I should go to bed ... :D
Hold on let me test something ... Make sure you run a points only test wiht no fancy options ...
Patrick :mrgreen:
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Rank: Newbie
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I made sure Points Only Test was selected and no comm or slippage or anything like that was selected.
I still got different profit numbers.
I don't want to take advantage of your generosity.
But I, like every other person on this board, REALLY appreciate your willingness to help. I feel bad about asking, but I have looked through the Code Primer as well as the User Manual; I can't figure it out.
Thank you for your help,
Greg =D>
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Rank: Advanced Member
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Wow it seems completely wrong ... :D
I will take a look at it but unfortunately I doubt I will have the answer before a while.
Patrick :mrgreen:
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Patrick,
Thanks for your help.
Greg
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Rank: Advanced Member
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Found it :D
Apparenlty the system tester does this calculation for buy and hold profit :
C-ValueWhen(1,cum(1)=1,O)
So it is using the first bar open value to start and not the close value.
Patrick :mrgreen:
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Rank: Newbie
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Does that mean that I should enter that code under the buy tab and leave the sell tab as we have it?
Greg
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Rank: Advanced Member
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No that means you have to change your system tester settings to buy at open with 0 delays and sell at close with 0 delay.
Your original formula was fine .
Patrick :mrgreen:
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Rank: Newbie
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Patrick,
That works...Of Course!
Thank you so much for your effort.
Your a good guy! :smt041 :smt041 :smt041
Greg
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Rank: Advanced Member
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No problem :D
Back to doing laundry now :cry: :lol:
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