Emintrader trading system

one way to test L5 without intraday data is to enter at the entry price calculated from L5, but always exits at the daily close price, assuming the cut loss and cut win cancel each other for long term. the backtest in this way should produce positive gains if there is indeed an winning bias on the entry price based on L5.

I doubt if the entry price does not have winning bias, this L5 approach would be a winning strategy.

Quote from hayman:

This system has not been backtested properly. Long-term backtesting cannot be accomplished with daily values, stated fluctations of intraday of L5 cannot be happening, clean data and proper OHLC values from a reliable datasource are required, proper money management rules need to be assumed and applied, and the list goes on.

I've come up with a reasonable, but not exact, facsimile of L5, and testing under 2 years' worth of 1-min bars for the 5 stocks results in an overall loss of close to 10 %.

If EminTrader wants to prove me wrong on this, he can either:

1) Supply me with L5 formula, which I will apply to my
backtesting algorithm....I will supply WL code to verify
that we are on the same page with algorithm;

2) I can furnish EminTrader with 1 min data for the 5 stocks,
for 2 years (sorry, that's all I have), and he can migrate his
algorithm to a real backtesting platform (WL, Tradestation,
etc.), and generate results for himself.

Other than that, way too many holes, assumptions, and mistakes to make this thread of value any more. It has been a fun exercise to test though.
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Please,

those who are here to just critic please go away and continue for researching the holy grail...You are just losing man

How do you calculate the overall % result? I notice Monday 04-27-09 05:40 PM you report an overall % result of + 129,85%.
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An error of me.

You write (04-25-09 08:43 AM) : "no specific money management rules (i use all my capital at each order)".

If I use all my capital to purchase the first stock then there is no capital available to purchase the second stock.
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Oh my god....I decide to put a certain capital per stock and not all my capital only on one stock !!! But you can if you want (you are free).

The daily profit or loss may depend on if the first trade is a big winner or loser, not the total result of all trades shown.
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Cf. previous response


2) I can furnish EminTrader with 1 min data for the 5 stocks,
for 2 years (sorry, that's all I have), and he can migrate his
algorithm to a real backtesting platform (WL, Tradestation,
etc.), and generate results for himself.
More...
Prorealtime is a real backtesting platform. Even Tradestation has sometimes bad ticks no ??? With prorealtime i can have 3 years of 1min data.

I've come up with a reasonable, but not exact, facsimile of L5, and testing under 2 years' worth of 1-min bars for the 5 stocks results in an overall loss of close to 10 %.
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Again....RIDICULOUS

one way to test L5 without intraday data is to enter at the entry price calculated from L5, but always exits at the daily close price
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Make a good stop-loss is one of the key of succes. I can still works on this aspect. But you need to put a sto-loss to be a winner
 
The more simple for avoid unnecessary speculation and for those who believe in this trading system is that i just put my L5% values...I will do that next morning
 
Quote from hayman:

I've come up with a reasonable, but not exact, facsimile of L5, and testing under 2 years' worth of 1-min bars for the 5 stocks results in an overall loss of close to 10 %.
More...

Does your trading model include a slippage assumption? In my work with Emintrader system I assume zero slippage but in real trading slippage can sometimes be significant.
 
No slippage, no commissions, no human errors, no software errors...

Slippage important ? It depends on how many shares you buy per order and average daily volume of your stock. Buy 300 shares for a stock with an average daily volume is more than 2millions, if you have an important slippage than change of broker !
 
Quote from Hook N. Sinker:

Does your trading model include a slippage assumption? In my work with Emintrader system I assume zero slippage but in real trading slippage can sometimes be significant.
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I assumed NO slippage, but did factor in $ 0.005/share commission (my broker is IB). I use real Open Prices, as provided by Yahoo! Finance, and 1-min data provided by TD Ameritrade API. I am currently tweaking my facsimile of L5, to be as close to the author's values, and will then publish my full results again.
 
Quote from Emintrader:
Please, those who are here to just critic please go away and continue for researching the holy grail...You are just losing man
[/B]
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We are not here to bash, but if you are going to post a journal like this, you must be confident enough to accept some critiquing. There are a lot of reasons why you are posting "superior" results, and you seem very critical of anyone trying to point out reasons to help explain it. ProRealTime has a horrible reputation, and your use of OHLC for your backtesting (as you have stated) is poor testing methodology.

Also, one has to question why you are posting here, and on other similar boards. For example,

http://www.3stocksonfire.com/tradin...1340f2ba8a704077e048a1b574b5259&topic=11665.0

It is the nature of many discriminating readers of ET, to always ask "why ?"
 
I am first very critical with me ! I say i made some errors and try to be clear (see my previous posts).
I use this trading strategy every day, in real. I am not so fascinated by backesting because i don't have need it.

Again you don't understand when you said : "I am currently tweaking my facsimile of L5, to be as close to the author's values" -> it is just ridiculous...Think by yourself instead of trying to make a pale copy. Have a look on laurentb's work.
I give here some ideas to develop a different approach of trading

"Also, one has to question why you are posting here, and on other similar boards."
-> and why not ???? What is really the problem ? I am just loyal
 
Quote from Emintrader:
I use this trading strategy every day, in real. I am not so fascinated by backesting because i don't have need it.
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I guess that about says it all. I've tested countless systems that performed well over a short duration, but did not over the long haul. I guess everyone has to learn at their own pace. Best of Luck !
 
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