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Backtesting pitfalls


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#11 vitaminm

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Posted 01 September 2004 - 11:07 PM

calculation doesn't seem to be right SELL SIGNAL : 20000516 1466.04 1387.77 1387.68 (984.90 : 2.05 : +205%)
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#12 Lurk

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Posted 02 September 2004 - 02:41 AM

calculation doesn't seem to be right

SELL SIGNAL :  20000516  1466.04  1387.77  1387.68  (984.90 : 2.05 : +205%)

<{POST_SNAPBACK}>


Enter long position: 481.14
Exit long position: 1466.04

(1466.04 - 481.14) / 481.14 = 2.047 = 205% increase.

Seems correct to me? Do you get another result for this trade vitamin?

Edited by Lurk, 02 September 2004 - 02:43 AM.


#13 vitaminm

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Posted 02 September 2004 - 09:38 AM

you are right. show trades for this year.
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#14 SideShowBob

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Posted 04 September 2004 - 07:02 PM

Lurk, I wonder if you do the same curve fit from the same start date but end it in 1996. I doubt you would get the same values for the moving averages. Do the values you get still give a decent profit in the range from 1996 to present? If not it's just a curve fit.....if they do work then it's a viable system, at least it should be.... SSB

#15 Lurk

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Posted 04 September 2004 - 08:06 PM

Yes right conclusion, I dont think it's a viable or usefull system or anything like that, I belive it's just randomness that this particular MA pair comes out as the one yielding the best result. More of a experiment to see which SMA/ EMA pairs that gives the best profit yield for SP.

A good viable system should perform well on whatever you throw at it, be it a index, stock, commodity, currency, etc.

Here's top ranking for each category.
First colum is points profit and last one is number of trades.
SMA(x) SMA(x)

1949.26 SMA(6) SMA(8) 842
1973.98 SMA(223) SMA(216) 47
1980.33 SMA(225) SMA(211) 31
1990.13 SMA(5) SMA(11) 586
1990.48 SMA(7) SMA(8) 1046
2009.42 SMA(227) SMA(203) 25
2009.59 SMA(225) SMA(209) 31
2027.73 SMA(224) SMA(209) 31
2045.69 SMA(224) SMA(210) 31
2060.73 SMA(225) SMA(210) 31

SMA(x) EMA(x)

1717.66 SMA(253) EMA(194) 14
1718.29 SMA(254) EMA(197) 14
1720.48 SMA(256) EMA(200) 12
1720.55 SMA(257) EMA(202) 12
1721.27 SMA(256) EMA(201) 12
1724.88 SMA(257) EMA(203) 12
1730.63 SMA(254) EMA(196) 12
1731.26 SMA(255) EMA(198) 12
1732.39 SMA(255) EMA(199) 12
2491.55 SMA(3) EMA(4) 1476

EMA(x) EMA(x)

1473.16 EMA(204) EMA(66) 15
1473.74 EMA(222) EMA(14) 31
1474.52 EMA(198) EMA(20) 24
1475.68 EMA(271) EMA(1) 99
1475.68 EMA(272) EMA(1) 99
1478.81 EMA(202) EMA(15) 29
1480.76 EMA(228) EMA(55) 15
1483.69 EMA(199) EMA(16) 27
1488.93 EMA(209) EMA(18) 25
1488.93 EMA(210) EMA(18) 25

EMA(x) SMA(x)

1738.45 EMA(84) SMA(50) 58
1752.52 EMA(10) SMA(12) 618
1771.39 EMA(9) SMA(12) 582
1782.40 EMA(9) SMA(10) 744
1788.18 EMA(8) SMA(10) 688
1789.53 EMA(12) SMA(13) 580
1804.10 EMA(63) SMA(49) 115
1816.78 EMA(52) SMA(45) 149
1881.40 EMA(10) SMA(11) 688
1938.22 EMA(9) SMA(11) 652