Barry, About the only comment I can make is that I have produced systems the generate in real life what they backtest to. If you understand all the issues, you can make it match. Another point is that when I trade against my system --deciding the best second to send the order after it says to send it, I generally get a better result. This is trading one minute bars. It all just depends on the details of the system and the trader --and the delays from the data feed.
Other than that, I generally agree with your assessment. BR, Dennis On Jul 2, 2008, at 11:40 AM, Barry Scarborough wrote: > I guess I will start a debate that I don't intend to participate in > but state it for consideration. It seems many are trying to tweak > their back tester to find the absolute best performance but include > intangibles like slippage. Back testing, in my opinion, should only > be used to compare systems to find which out performs another. That > is all you need to do because the market will change and the system > will not work as you expect. So it is a waste of time to try to eek > our more gain or try to factor in slippage or all such nonsense. > > Why do I say this? I have a system that consistently will back test > 200% to 1000% A DAY using 1 Russell emini contract ER2 and a 1 minute > chart. In longer periods the gain is less and I use various time > periods and data samples. In the real world it does not make a profit > on a 1 minute chart. But that system works much better than one that > back tests with less gain and the system does not even start to make > a consistent gain with a period under 15 minutes. Using hour charts > it is much better but no where near 200% a day the back tester shows. > > The problem is when you enter the real world, especially with auto > trading, whipsaw during sideways periods and during trend changes > will eat your lunch. Auto trading will come close to getting the > value of the close at the time the signal was generated by your > system. But there is slippage and that can be significant depending > on the buy/ask spread and the volatility of the market. You can't > predict what it will be. Don't even try! Even if you use a simple > button pushing auto trading system, where you hit the buy or sell > button when you see your signal, you can't hit the button fast enough > to simulate the price you get on the static chart. So your results > will not come close to your back test results. I REPEAT NOT EVEN > CLOSE!!! So it is a waste of time to do more than use back testing to > compare systems. Trying to predict what it will do in the real world > is deceitful, sheer folly, don't do it. > > Well that's my two cents worth. I am going back to sleep now. > > Cheers, > Barry > > --- In [email protected], "Howard B" <[EMAIL PROTECTED]> wrote: >> >> Hi Louis -- >> >> Perhaps write a simple loop? >> >> for (i=0; i<BarCount; i++) >> { >> // test to see if there was a Buy on this bar >> // and if there was, adjust BuyPrice >> if (Buy[i] == 1) >> { >> BuyPrice[i] = 1.01*BuyPrice[i]; >> } >> } >> >> Or am I missing something? >> >> Thanks, >> Howard >> >> >> >> >> On Tue, Jul 1, 2008 at 9:27 PM, tayamaan <[EMAIL PROTECTED]> wrote: >> >>> Louis, you now assume your slippage to be 1%, which is a guess >>> anyways. It differs per situation what your system considers to be >>> the Buy/Sell Price and what you actually pay or get at the market. >>> These are still two different things. I wouln't know how to > calculate >>> the real slippage, all you can do is comparing the difference > over a >>> period of time and take some kind of average. >>> >>> Adrian >>> >>> --- In [email protected] <amibroker%40yahoogroups.com>, > Graham >>> <kavemanperth@> wrote: >>>> >>>> turn off the option of PriceBoundChecking in the Analyser > settings >>> of in the AFL >>>> >>>> SetOption( "PriceBoundChecking", 0 ); >>>> >>>> -- >>>> Cheers >>>> Graham Kav >>>> AFL Writing Service >>>> http://www.aflwriting.com >>>> >>>> >>>> 2008/7/2 Louis Préfontaine <rockprog80@>: >>>>> Hi, >>>>> >>>>> But is it possible to set the backtester to consider that the >>> buyprice was >>>>> let's say 1% higher than the Close on the bar the trade was > made? >>>>> >>>>> That's what I tried to do. If it's complicated, I can live > with >>> this (well, >>>>> I can at least try, since I believe I am still a beginner in >>> understanding >>>>> AFL), but I'd need to know if it is possible, and if yes, what >>> can be a good >>>>> start... >>>>> >>>>> Was I on the right track with >>>>> >>>>> SetTradeDelays( 1, 1, 1, 1 ); >>>>> BuyPrice = c*1.01; >>>>> SellPrice = c*0.99; >>>>> >>>>> Cause it does not work at all... >>>>> >>>>> Thanks again, >>>>> >>>>> Louis >>>>> >>>>> 2008/7/1 Graham <kavemanperth@>: >>>>>> >>>>>> Then you need to set out exactly what you need to do and > write >>> the afl to >>>>>> match >>>>>> It is all logical steps >>>>>> I do it by writing down all the restrictions and > possibilities >>> and >>>>>> what I need at the end and how I think is best way to achieve >>> this >>>>>> ......... in detail. There are no short cuts and can be very >>> tedious. >>>>>> I also more often than not write out a flow chart to map all >>>>>> decisions, inputs, outputs, calculations etc. >>>>>> >>>>>> -- >>>>>> >>>>>> Cheers >>>>>> Graham Kav >>>>>> AFL Writing Service >>>>>> http://www.aflwriting.com >>>>>> >>>>>> 2008/7/2 Louis Préfontaine <rockprog80@>: >>>>>>> Hi Adrian, >>>>>>> >>>>>>> Thanks for your suggestion. But still... How can I do > this? I >>> mean: I >>>>>>> want to be precise. With the kind of markets I am in and > what >>> I am >>>>>>> trying >>>>>>> to do, precision is very important... I need to be able to > set >>> a >>>>>>> particular % adjustment for particular situations... >>>>>>> >>>>>>> Louis >>>>>>> >>>>>>> 2008/7/1 tayamaan <tayamaan@>: >>> >>>>>>>> >>>>>>>> Hi, if you would really like to try to compensate for >>> slippage, >>>>>>>> adding this to your commissions as part of your > transaction >>> costs is >>>>>>>> perhaps an idea. >>>>>>>> >>>>>>>> Adrian >>>>>>>> >>>>>>>>> Hi Graham, >>>>>>>>> >>>>>>>>> How can I put more information so that my buy price is > 1% >>> higher >>>>>>>> than C and >>>>>>>>> sell price 1% lower than C? >>>>>>>>> >>>>>>>>> Thanks, >>>>>>>>> >>>>>>>>> Louis >>>>>>>>> >>>>>>>>> 2008/7/1 Graham <kavemanperth@>: >>>>>>>>> >>>>>>>>>> Without more information on what you are trying to > achieve >>>>>>>>>> The price will be for the bar of actual entry C*1.01 > or >>> C*0.99 >>>>>>>>>> >>>>>>>>>> Also the prices may be outside than the bar range in >>> which case >>>>>>>> the >>>>>>>>>> closer of high or low is used if you have the >>> PriceBoundChecking >>>>>>>> on >>>>>>>>>> >>>>>>>>>> -- >>>>>>>>>> Cheers >>>>>>>>>> Graham Kav >>>>>>>>>> AFL Writing Service >>>>>>>>>> http://www.aflwriting.com >>>>>>>>>> >>>>>>>>>> 2008/7/1 Louis Préfontaine <rockprog80@ <rockprog80% >>>>>>>> 40gmail.com> >>>>>>>>>>> : >>>>>>>>>> >>>>>>>>>>> Hi, >>>>>>>>>>> >>>>>>>>>>> I have been trying to set a formula for slippage: >>>>>>>>>>> >>>>>>>>>>> SetTradeDelays( 1, 1, 1, 1 ); >>>>>>>>>>> >>>>>>>>>>> BuyPrice = C*1.01; >>>>>>>>>>> SellPrice = C*0.99; >>>>>>>>>>> >>>>>>>>>>> It doesn't work at all. I tried to write C*50 just > for >>> fun, but >>>>>>>> it didn't >>>>>>>>>>> change the buyprice at all. What can possibly be > wrong? >>>>>>>>>>> >>>>>>>>>>> Thanks, >>>>>>>>>>> >>>>>>>>>>> Louis >>>> >>> >>> >>> >> > > > > ------------------------------------ > > 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 > > >
