 Backtesting pitfalls, Thoughts.... |
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 Sep 1 2004, 11:07 PM
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#11
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Member Group: Traders-Talk User Posts: 4349 Joined: 9-December 03 Member No.: 681  |
calculation doesn't seem to be right
SELL SIGNAL : 20000516 1466.04 1387.77 1387.68 (984.90 : 2.05 : +205%) -------------------- vitaminm
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Sep 2 2004, 02:41 AM
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#12
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Member Group: Traders-Talk User Posts: 120 Joined: 12-March 04 From: Turks and Caicos Islands Member No.: 1628 |
QUOTE (vitaminm @ Sep 1 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%)  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? This post has been edited by Lurk: Sep 2 2004, 02:43 AM |
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Sep 2 2004, 09:38 AM
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#13
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Member Group: Traders-Talk User Posts: 4349 Joined: 9-December 03 Member No.: 681 |
you are right.
show trades for this year. -------------------- vitaminm
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Sep 4 2004, 07:02 PM
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#14
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 Member  Group: TT Member* Posts: 1836 Joined: 9-September 03 Member No.: 32 |
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 |
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Sep 4 2004, 08:06 PM
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#15
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Member Group: Traders-Talk User Posts: 120 Joined: 12-March 04 From: Turks and Caicos Islands Member No.: 1628 |
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. CODE 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 |
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Lo-Fi Version | Time is now: 3rd September 2010 - 12:08 AM |