Thank you, Randy. I think I should by Howard ebook on system development for AB.
--- In [email protected], "Randy Harmelink" <[EMAIL PROTECTED]> wrote: > > Several possibilities come to mind right away: > > 1. Survivorship bias. You're looking at stocks where the price is > under $5. Your testing over the last 5 years will only include stocks > that survived. How many may have met your condition and then gone > bankrupt or been delisted? You'll not know, because they are not in > your testing universe. > > 2. The volume and price you're testing on are probably adjusted > instead of raw prices, no? So, if a strong stock has been rising for > the past 5 years, they've probably split a few times. So what WAS a > $20 price in 2003 and would not have met your condition in real time > BECAME a $4 price because of several splits and did meet your > condition in the test. > > 3. Did you optimize with one set of data, then test it again with > another? If not, your results could simply be the results of curve > fitting. > > On 6/15/07, samu_trading <[EMAIL PROTECTED]> wrote: > > > > I'm frustrated. I backtested and optimized a very simple system in > > AB as following. > > (buy highest ROC gainer of the last 3 days and some additional > > fringe conditions; exit is 2% trailing stop, applied immediately) > > PositionSize=-20; > > > > SetTradeDelays(1,1,1,1); > > > > Buy= ROC(Close,3)>Percentile(ROC(Close,55),100,99) AND Close>MA > > (Close,150)AND Volume > Percentile( Volume, 100, 90 ) AND Volume > > > 100000 AND Close<5 ; > > > > Sell=0; > > > > ApplyStop(2,1,2,1,False,0); > > > > > > It looked just great from the numbers when backtesting over the last > > 5 years: > > CAR~170% MaxSystemDD=4.3%, number of trades >1000 > > > > However, when I bought stocks at the next day's opening, I only had > > losers and got stopped out. Where does the difference between the as- > > is and to-be come from? >
