It might be better to limit trades to a constant $ amount and look at absolute $ gains instead of % gains. That way it reflects the performance at any random entry point in the system. Just pretend you take all the profits away and pay the bills with them every month. LOL I just started thinking about this, so I am not sure how to set up AB to test this way.
Dennis On Aug 30, 2006, at 3:59 PM, intermilan04 wrote: > Hi Rob, > > You accurately pointed out that limiting trade size follows the market > more precisely. > > The problem with it though, was that when I tested against longer data > (say 10 years) my equity grew so fast (even with limited trade size) > that, I was making bad trades near the end of backtest yet my CAR was > still high. This was happening because the limit trade size reduced > my trade size against my equity that, making small bad trades after > having grown my equity didn't hurt my overall performance. > > Of course, this would be bad because I could end up having a system > that used to work in the past, but doesn't work lately. Although, as > you pointed out it is more precise approach in following the market in > a realistic manner. > > Regards, > > intermilan04 > > --- In [email protected], "zebdez" <[EMAIL PROTECTED]> wrote: >> >> I have had similar experience until I set the "Limit trade size as % >> of entry bar volume" to some value like 0.25 for 0.25%. My results >> were more realistic at that point. I also made sure my available >> capital was spread across my max open positions. >> >> You can find the "Limit trade size as % of entry bar volume" in the >> Backtester settings on the Portfolio tab. >> >> Rob >> >> >> --- In [email protected], "intermilan04" <intermilan04@> >> wrote: >>> >>> Hi all, >>> >>> I'm having a puzzling situation where my backtest results are >>> fantastic yet my forwardtest result is nowhere near it. >>> >>> My system is optimized between 2001/1/1 and 2006/1/1. Results YTD >> is >>> "forwardtest" since it is beyond the scope of optimized data range. >>> >>> Here are some numbers of backtests: >>> Year-by-year-results (CAR) >>> 2001/1/1-2002/1/1: 393.70% >>> 2002/1/1-2003/1/1: 232.64% >>> 2003/1/1-2004/1/1: 721.79% >>> 2004/1/1-2005/1/1: 400.82% >>> 2005/1/1-2006/1/1: 490.72% >>> >>> and at last--forwardtest >>> 2006/1/1-2006/8/29: 74.64% >>> >>> I am at a loss to explain this. It's very sad that I work hard to >>> come up with a system that has worked, only to see it not working >>> nearly as good as it should be. >>> >>> Any analysis/suggestions to fix the problem above is greatly >> appreciated. >>> >>> Sincerely, >>> >>> intermilan04 >>> >> > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
