Practices like this have a tendancy to obscure large percentage drawdowns ...
--- In [email protected], Dennis Brown <[EMAIL PROTECTED]> wrote: > > > 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" <robduff@> 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/
