Breakout systems

[theasxgorilla]

Thought Id run that for interest.
Not a lot of difference.

We must be testing differently. I'm simulating system start-up on 010107, using the ASX300 minus listed managed investments as of 100408, and testing up until 100408.

 

[tech/a]

We must be testing differently. I'm simulating system start-up on 010107, using the ASX300 minus listed managed investments as of 100408, and testing up until 100408.

Did you include open equity?
If you just included closed trades then thats what you'll get.
At the close of the period there are trades which have been going for months.

 

[nizar]

Did you include open equity?
If you just included closed trades then thats what you'll get.
At the close of the period there are trades which have been going for months.

Yeh common mistake.
I was thinking the same thing when I saw his results.

 

[theasxgorilla]

Did you include open equity?
If you just included closed trades then thats what you'll get.
At the close of the period there are trades which have been going for months.

No, but the trades that were open were not in profit anyhow. Adding a sell signal to the last bar to force them to be closed only exacerbates the poor results. Like I said though...maybe we're testing differently:

 

[tech/a]

No, but the trades that were open were not in profit anyhow. Adding a sell signal to the last bar to force them to be closed only exacerbates the poor results. Like I said though...maybe we're testing differently:

Maybe.

 

[It's Snake Pliskin]

Different testing and results. Wow, it must be an art form. Don't artists trust ther own instincts?

Just to add, can testing be considered an art?

 

[tech/a]

Snake.

Lets say on 1/1/07 until the whole portfolio is filled there are 25 stocks triggered to fill the 10 stocks in the portfolio.
Even 1 stock difference in ASX and my portfolio will mean that our portfolios diverge as stocks will open/close and prospects will be found at different times.

So a singular test on a set of data can and will often give very different results.
Again why Montecarlo is used.

 

[It's Snake Pliskin]

Snake.

Lets say on 1/1/07 until the whole portfolio is filled there are 25 stocks triggered to fill the 10 stocks in the portfolio.
Even 1 stock difference in ASX and my portfolio will mean that our portfolios diverge as stocks will open/close and prospects will be found at different times.

So a singular test on a set of data can and will often give very different results.
Again why Montecarlo is used.

Thanks for the insight T/A.