Hi Jchi -- Herman is right.
When profits look too good to be true, the first thing I check for is a future leak -- using data in the trading system code that is available to the backtester that would not be available to the trader. Depending on the code used, checking this might be as easy as using the Code Check and Profile tool available from the Formula Editor's Tools menu. Included files (#include) are checked, but dlls are not checked by this tool. There are several ways you can adjust for commission and slippage. One is using the Backtester Settings tab from the Automatic Analysis dialog box. Another is add a slippage adjustment that you define to the BuyPrice and SellPrice variables. Thanks, Howard On Mon, Mar 8, 2010 at 8:31 AM, jchi18 <[email protected]> wrote: > > > What has been people's experience with Amibroker in terms of accuracy? > Initially, I found it very difficult to design a system that makes a decent > profit. However, I have recently designed a system that would have netted me > (through the backtester years 2000-2010) almost $1 billion dollars had I not > put an positionsize restrictions on it. Now that seems obviously > unrealistic. Now I made my positionsize a little more realistic (a scale of > 10-30% of current equity). And I am still coming up with $29 million over > the past ten years. I am wondering what I may be doing incorrectly. > > Here are some questions: > > 1. How accurate is amibroker with an EOD trend following design where I buy > or short on the open after the trigger? > 2. What sort of things do I have to be aware of to make the system more > realistic? > 3. How do you account for slippage in your EOD trading system? > 4. On a different note, what is the most profit that you were able to > backtest? > > I just want to understand and be realistic with what I have designed. I am > a little naive because I have already started dreaming about my new found > wealth. I would appreciate any thoughts. > > >
