Limitations in backtesting

oddiduro · Dec 8, 2003

Quote from TriPack:

As a backup system here are the simple rules: Buy at the highest high of the previous two bars + some constant on a stop. Do the reverse to go short. The system is always in (SAR). Feel free to add whatever MM rules you wish.

Apply to a 15 minute chart: (or you could pick another timeframe)

Code:

{ feel free to optimize this input or make it a variable and base it on volatility or whatever works } Inputs: StpAmt(1); Buy at Highest(High, 2)[1] + StpAmt Stop; Sell at Lowest(Low,2)[1] - StpAmt Stop;
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This system can be adapted to Jack's "rocket" philosophy. So it can tread water until the rocket bar. Apply a breakeven stop. The stop loss will have to be determined by you. You should find out what the average moves are to the market in question. Divide that by a number that is comfortable with what you are willing to risk in a trade and apply that.

Feedback welcome.

Regards
Oddi

WDGann · Dec 9, 2003

Quote from oddiduro:

okay, now we can have a discussion

Your system is a beautiful example of a limitation in backtesting.

The backtest will show entries and exits at the end of the bar, but at the 1 minute level, we are scalping, from the looks of the system. Price is so sensitive that entries and exits intrabar will affect the viability of the system. If had to trade this, I would put a breakeven stop, and stop loss below the low of the second bar.

Your turn
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Oddi... you paper trade too much. The code above can be filled without any problems. If it's a 1 lot on ES, it will be 100% duplicatable system. Why do you think I put a Stop Order? Another point is, no one ever asked you to critique the nature of the system to be made.

Also, where's the final "profitable" code with "MM" on it.

What about some posted test results on ES or MSFT, also.

Stop acting like you know something, when in reality you have no idea what you're dealing with.

oddiduro · Dec 9, 2003

Quote from WDGann:

Oddi... you paper trade too much. The code above can be filled without any problems. If it's a 1 lot on ES, it will be 100% duplicatable system. Why do you think I put a Stop Order? Another point is, no one ever asked you to critique the nature of the system to be made.

Also, where's the final "profitable" code with "MM" on it.

What about some posted test results on ES or MSFT, also.

Stop acting like you know something, when in reality you have no idea what you're dealing with.
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WD,

Yet again, you assume too much. I trade real time. In fact I am trading right now, as I type this during market hours. My systems are automated, and they are profitable.

Quit being lazy and write your own code. This system will NOT trade the same in real time as with a backtest because of the bar fill issue.

I said that any system can be made profitable with money management, and it can, but I am not GIVING you anything.

Quit being such an a** and read more. As far as I can tell it is YOU who are the paper trader.

Regards
Oddi

WDGann · Dec 9, 2003

Quote from oddiduro:

WD,

Yet again, you assume too much. I trade real time. In fact I am trading right now, as I type this during market hours. My systems are automated, and they are profitable.

Quit being lazy and write your own code. This system will NOT trade the same in real time as with a backtest because of the bar fill issue.

I said that any system can be made profitable with money management, and it can, but I am not GIVING you anything.

Quit being such an a** and read more. As far as I can tell it is YOU who are the paper trader.

Regards
Oddi
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I'm sooooo a paper trader. I've never filled a trade or even had an account.

That's the truth. I'm sorry for being the way I am.

oddiduro · Dec 9, 2003

Quote from WDGann:

I'm sorry for being the way I am.

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You should be. Civility is the first mark of a cultured man. Keep practicing, you'll get it eventually.

Regards
Oddi

jem · Dec 9, 2003

was it not the connie brown book that stated something about how macds look one way real time and another way upon later review. What was her point exactly. I attempted to explain her point twice in the past but had to give up without the proper cite. I knew the author of the book was female but I never saw it in the book store again.

WDGann · Dec 9, 2003

Quote from oddiduro:

You should be. Civility is the first mark of a cultured man. Keep practicing, you'll get it eventually.

Regards
Oddi
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Yes, master.

oddiduro · Dec 10, 2003

Quote from jem:

was it not the connie brown book that stated something about how macds look one way real time and another way upon later review. What was her point exactly. I attempted to explain her point twice in the past but had to give up without the proper cite. I knew the author of the book was female but I never saw it in the book store again.
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Yes, it was.

She stated basically that in post analysis, you will see signals on your charts that you missed in real time, because they were not there. The act of scrolling causes displacement in some indicators, and it is one of the limitations in backtesting.