Hello, You did not account for slippage. Use 0.5% or higher commissions to simulate slippage and backtest again.
Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "samu_trading" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Saturday, June 16, 2007 6:08 AM Subject: [amibroker] Why does this great system not work in reality? > All, > 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? > > Thanks, Samantha > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > Yahoo! Groups Links > > > > >
