Hi,
i use Prorealtime (it is free you can control) in daily datas.
i use Prorealtime (it is free you can control) in daily datas.
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Emintrader trading system
- Thread starter Emintrader
- Start date
Quote from Emintrader:
Hi,
i use Prorealtime (it is free you can control) in daily datas.
EminTrader,
A couple of obvious problems here:
1) Open Prices for ProRealTime obviously include some
pre-market data here. You need to use a more reliable
data source for OHLC;
2) As another poster pointed out, you need to ideally backtest
with TIC data, but I'm sure you will get 95 % + reliability with
1-min bars. Backtesting this algorithm using OHLC data
will certainly be very distorted, especially during volatile
trading days;
3) Your stipulated L5 values are not posted correctly in many
instances. I have spreadsheeted all of HCBL and some of
MRVL, and there are obvious posting problems (I state
these just for the benefit of anyone who is trading this
system):
a) MRVL - starting on 2/24/09, you have a % gain of
2.7273 %, and you've hit buy and target prices. Yet you
state that L5 is 2.8037;
b) HCBK - starting on 3/12/09, you have % gain as 2.0561 %,
and you've hit buy and target prices. Yet you have L5
stated as 2.0992;
c) The list goes on and on.....many transcribed errors. Doesn't
your spreadsheet for these mock trades calculate L5 for
you ????????
If you need some 1-min data for backtesting, please PM me.
Results :
HCBK : - 1.499%
MRVL :
RIMM :
JNPR :
SCHW : - 1.21%
2009-04-29 :
HCBK : L5 = 2,0992%
MRVL: L5 = 2,6144%
RIMM : L5 = 2,493%
JNPR : L5 = 2,2844%
SCHW : L5 = 2,2117%
Have good trades...
Overall %result : + 126,861%
FSLR: L5 = 2,8512%
SKF : L5 = 4,4556%
HCBK : - 1.499%
MRVL :
RIMM :
JNPR :
SCHW : - 1.21%
2009-04-29 :
HCBK : L5 = 2,0992%
MRVL: L5 = 2,6144%
RIMM : L5 = 2,493%
JNPR : L5 = 2,2844%
SCHW : L5 = 2,2117%
Have good trades...
Overall %result : + 126,861%
FSLR: L5 = 2,8512%
SKF : L5 = 4,4556%
Sometimes, my L5% values can change between time T and T+1 only because of prorealtime datas...I don't understand why (i asked them but no response). So i do with that in my trading ; differences are weak
Quote from Emintrader:
Results :
HCBK : - 1.499%
MRVL :
RIMM :
JNPR :
SCHW : - 1.21%
Overall %result : + 126,861%
How do you calculate the overall % result? I notice Monday 04-27-09 05:40 PM you report an overall % result of + 129,85%.
I calculate 129.85 - 1.499 -1.21 = 127.141
You calculate 126.861.
I calculate two buy signals today, HCBK at $ 12.58 / share and SCHW at $ 17.84 / share.
I attach both stock charts.
I do not calculate any sell signals during the day so I sell both positions at the close.
I calculate a buy signal for HCBK appears about 10:30 AM USA Eastern Daylight Savings Time (EDST) and the buy signal for SCHW appears about 12:30 EDST.
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.
I suspect your overall % result values are not showing the actual experience of a trader using this method.
Not all the trades can actually be executed. 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.
I attach both stock charts.
I do not calculate any sell signals during the day so I sell both positions at the close.
I calculate a buy signal for HCBK appears about 10:30 AM USA Eastern Daylight Savings Time (EDST) and the buy signal for SCHW appears about 12:30 EDST.
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.
I suspect your overall % result values are not showing the actual experience of a trader using this method.
Not all the trades can actually be executed. 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.
Attachments
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.
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.
Forward testing is always an option.