Rank: Newbie
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Joined: 6/1/2009(UTC)
Posts: 3
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Hi everyone, I am new here. I am taking my first steps at using the Metastock formula to create my own trading systems. Just for practice, I tried to create a system that would BUY when the 14-day RSI crosses above 30 and SELL when it crosses below 70. This was done in the System Editor and only the Buy and Sell tabs were filled in. All other tabs such as Stops and Optimizations were left blank. The formulas I used were:
BUY ORDER: cross(RSI(14), 30)
SELL ORDER: cross(70, RSI(14))
Now, my problem is that when I come to back-test this system over 10 years of data, it always comes up with fewer trades than expected. After checking the security being tested, and plotting the 14-day RSI for it, it is obvious that there are many crossovers which are not being acted upon. It is interesting to note that the trades being identified are correct, but somehow, it identifies a few and then skips a few and then identifies a few more and so on....
I am not sure why this is happening and would appreciate any help possible. Thanks very much!!
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
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Hi mav67,
Welcome to the Forum.
Have you checked the logs and all the results from the EST? What information did they give about why trades weren't taken? How much equity (% of available equity) were you investing in each trade, or what was your position size algorithm?
Although the EST is the part of MS which I use the least, it is the part of MS which raises the most (?) questions because it has so many different combinations and permutations of settings available. If you want the EST to "trade" as you do, then you are going to have to spend "considerable" time in configuring it.
Hope this helps.
wabbit [:D]
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 6/1/2009(UTC)
Posts: 3
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Wabbit, thanks for your insight. I did as you suggested and looked through the Orders log. What I found is that there were a lot of events called "Cancelled-Position Limit". I tried looking in the manual but couldn't find the definition for this term. I hope someone here will enlighten me.
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
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