System testing questions.

[jim c]

I have attached (I think) some results from a simple backtest I did this morning. I am VERY new at backtesting and I have some basic questions. I would also appreciate any bashing or construtive critisism. These are just stocks I chose at random with decent volume.

1) Some stocks test ok and some just suck. Could you trade only the stocks that test well? Is this curvefitting?

2) Would you trade this system?

3) This test uses no stops. Do you think stops will help or hurt this system?

 

[jim c]

Quote from jim c:

I have attached (I think) some results from a simple backtest I did this morning. I am VERY new at backtesting and I have some basic questions. I would also appreciate any bashing or construtive critisism. These are just stocks I chose at random with decent volume.

1) Some stocks test ok and some just suck. Could you trade only the stocks that test well? Is this curvefitting?

2) Would you trade this system?

3) This test uses no stops. Do you think stops will help or hurt this system?

Didnt mean to post this yet. Oh well. I would appreciate some general comments or critisism. thx. JIm

 

[nitro]

Quote from jim c:

I have attached (I think) some results from a simple backtest I did this morning. I am VERY new at backtesting and I have some basic questions. I would also appreciate any bashing or construtive critisism. These are just stocks I chose at random with decent volume.

1) Some stocks test ok and some just suck. Could you trade only the stocks that test well? Is this curvefitting?

2) Would you trade this system?

3) This test uses no stops. Do you think stops will help or hurt this system?

Add the following filter:

1) If VIX < 20, then do as you say. If VIX > 20, then only do what you say if market opens higher than FV.

 

[jim c]

Quote from nitro:

Add the following filter:

1) If VIX < 20, then do as you say. If VIX > 20, then only do what you say if market opens higher than FV.

Ok. The fair value thing might take me a while. So you are thinking the lower the vix the better the system might perform? Or it wil perform better with an open above fair value? Just trying to understand your logic. I appreciate the comment. I will try the vix filter first. thx Nitro! jim

 

[nitro]

Quote from jim c:

Ok. The fair value thing might take me a while. So you are thinking the lower the vix the better the system might perform? Or it wil perform better with an open above fair value? Just trying to understand your logic. I appreciate the comment. I will try the vix filter first. thx Nitro! jim

I am not going to tell you. You tell me why these filters are correct on long only systems.

 

[jim c]

Quote from nitro:

I am not going to tell you. You tell me why these filters are correct on long only systems.

I will get to work. Btw this system is short only. thx again! jim

 

[nitro]

Quote from jim c:

I will get to work. Btw this system is short only. thx again! jim

LMAO.

Whoooops. Reverse filter

So, if VIX is > 20, do as you say, otherwise if VIX < 20, only sell on open < FV.

BTW, if you don't understand why this should work, I will give you my theory, but first rack your brains. It's good for you

You should try the reverse just to see how it does. Then break it down be quarters, etc.

 

[jim c]

Quote from nitro:

LMAO.

Whoooops. Reverse filter

So, if VIX is > 20, do as you say, otherwise if VIX < 20, only sell on open < FV.

BTW, if you don't understand why this should work, I will give you my theory, but first rack your brains. It's good for you

You should try the reverse just to see how it does. Then break it down be quarters, etc.

Im working on it now. jim

 

[jim c]

Quote from nitro:

LMAO.

Whoooops. Reverse filter

So, if VIX is > 20, do as you say, otherwise if VIX < 20, only sell on open < FV.

BTW, if you don't understand why this should work, I will give you my theory, but first rack your brains. It's good for you

You should try the reverse just to see how it does. Then break it down be quarters, etc.

Wow. I tested the first few applying only the vix filter. You can see it improved the first few alot. Pushed up the win % cut down on # of trades and increased the PF . (of course its only like a 3 yr backtest vs. a 5 yr backtest due to the vix filter) Can it be this simple? Thanks for the tip! I am going to finish testing the balance of the stocks. You have me thinking I have made a mistake somewhere? Ill let ya know. Jim PS where can I find FV historical data?

 

[jim c]

Quote from jim c:

Wow. I tested the first few applying only the vix filter. You can see it improved the first few alot. Pushed up the win % cut down on # of trades and increased the PF . (of course its only like a 3 yr backtest vs. a 5 yr backtest due to the vix filter) Can it be this simple? Thanks for the tip! I am going to finish testing the balance of the stocks. You have me thinking I have made a mistake somewhere? Ill let ya know. Jim PS where can I find FV historical data?

forgot the excel