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Just an FYI. I have been converting WL scripts to
AFL and have been puzzled by very different backtest results from the two
platforms. This discussion has helped me understand the cause: WL and AB
backtest engines treat signals differently.
For a system I tested, using the same commission
and other settings, results are different: CAR/MaxDD, WL: 121.60%/11.44%, AB:
79.87%/10.89%.
I will probably continue to trade some systems
using WL until I can convert them over with AB's new releases. AB's speed is the
most amazing thing. A backtest taking 1.5 hours on WL only takes 5 minutes on
AB.
Thanks,
- Mark
----- Original Message -----
Sent: Monday, April 24, 2006 2:11
AM
Subject: Re: [amibroker] Why portfolio
backtester does not consider all buy signals?
> There are other reasons such as the fact that practice
shows that delayed signals are very often very poor performer so it is better to skip trade instead of entering it too
late.
> This may be true to many systems. But
certainly not all of them. My most profitable system happens to do better
with later signals. It buys dips and later signals are
> more likely to > bounce back. IMO, a
backtest software should be neutral to trading systems (i.e. not
to prefer a particular kind of practice)
Who says delayed signals are poor performers. Who has
studied this? I am certain that redundant signals can be used
succesfully in portfolio type systems. So my request is again to get a
simple example of how to do this on a portfolio level. There are examples on a
single symbol level but on a portfolio level is what is
interesting.
rgds, Ed
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