system tester con meta 8.01

[dan24]

io non capisco qualcosa...e sarò pure duro...con l'8.0 c'erano problemi lo so...con l'8.01 i risultati sono attendibili?

Summary
dan2ST MICROELECTR (STMI)
Simulation Date 30/03/2004 18.13.561469 Daily Bars 10/06/1998
Through 29/03/2004 (2119 Days)
Optimized System

Performance
Profit$50005.76
Performance500.06 %
Annualized Performance86.14 %
Buy & Hold Profit$8014.96
Buy & Hold Performance80.15 %
Buy & Hold Annualized Performance13.81 %

Trade Summary
Total Trades21
Trade Efficiency-9.46 %
Average Profit/Average Loss3.24

Profitable Trades
Total10
Long4
Short6

Average Profit$7570.04
Highest Profit$64101.32
Lowest Profit$29.40
Most Consecutive3

Unprofitable Trades
Total11
Long6
Short5

Average Loss$-2335.87
Highest Loss$-5217.30
Lowest Loss$-26.13
Most Consecutive4

Maximum Position Excursions
Long Favorable$74940.12
Short Favorable$3326.36
Long Adverse$-15323.00
Short Adverse$-407.10

Trade Efficiency
Average Entry52.43 %
Average Exit38.11 %
Average Total-9.46 %

Average Long Entry47.59 %
Average Long Exit39.36 %
Average Long Total-13.04 %

Average Short Entry56.83 %
Average Short Exit36.96 %
Average Short Total-6.20 %
Performance Indices
Buy & Hold Index523.91 %
Profit/Loss Index66.06 %
Reward/Risk Index99.53 %

Accounting
Initial Equity$10000.00
Trade Profit$75700.36
Trade Loss$-25694.59
Commissions$0.00
Interest Credited$0.00
Interest Charged$0.00
Final Equity$60005.76
Open Positions$0.00




questo è il riassunto ma quello che non mi torna è che utilizzando % available equity = 100% mi dovrebbe reinvestire gli utili ma non mi torna analizzando il position di cui allego solo una parte

Position 1 - Long X 1106 Units
PriceBarDateEfficiencyCommissionValue
Opening$8.908910806/11/199899.18 %$0.00$9853.22
Closing$66.866746810/04/200085.54 %$0.00$73954.54
Total84.72 %$64101.32
PriceBarProfit
Most Favorable$76.6667425$74940.12
Most Adverse$8.3494111$-618.80

Position 2 - Short X 4 Units
PriceBarDateEfficiencyCommissionValue
Opening$66.866746810/04/200066.54 %$0.00$267.47
Closing$73.400048609/05/20003.94 %$0.00$293.60
Total-29.52 %$-26.13
PriceBarProfit
Most Favorable$52.0167472$24.53
Most Adverse$74.3333485$-22.27

Position 3 - Long X 995 Units
PriceBarDateEfficiencyCommissionValue
Opening$73.400048609/05/20004.64 %$0.00$73033.00
Closing$68.600050402/06/200062.31 %$0.00$68257.00
Total-33.05 %$-4776.00
PriceBarProfit
Most Favorable$74.1500493$746.25
Most Adverse$58.0000497$-15323.00

Position 4 - Short X 32 Units
PriceBarDateEfficiencyCommissionValue
Opening$68.600050402/06/200045.57 %$0.00$2195.20
Closing$66.350051315/06/2000100.00 %$0.00$2123.20
Total45.57 %$72.00
PriceBarProfit
Most Favorable$65.0000513$52.80
Most Adverse$72.9000509$-52.80

Position 5 - Long X 996 Units
PriceBarDateEfficiencyCommissionValue
Opening$66.350051315/06/200064.58 %$0.00$66084.60
Closing$67.500053313/07/200047.93 %$0.00$67230.00
Total12.51 %$1145.40
PriceBarProfit
Most Favorable$74.1000517$7719.00
Most Adverse$62.1000528$-4233.00

Position 6 - Short X 98 Units
PriceBarDateEfficiencyCommissionValue
Opening$67.500053313/07/200029.41 %$0.00$6615.00
Closing$67.200054226/07/200080.29 %$0.00$6585.60
Total9.70 %$29.40
PriceBarProfit
Most Favorable$65.2500540$19.60
Most Adverse$72.9000535$-245.00

Position 7 - Long X 1023 Units
PriceBarDateEfficiencyCommissionValue
Opening$67.200054226/07/20007.65 %$0.00$68745.60
Closing$62.100054601/08/200021.54 %$0.00$63528.30
Total-70.81 %$-5217.30
PriceBarProfit
Most Favorable$67.9000542$716.10
Most Adverse$58.7500544$-8644.35

Position 8 - Short X 59 Units
PriceBarDateEfficiencyCommissionValue
Opening$62.100054601/08/200042.03 %$0.00$3663.90
Closing$69.300056801/09/20000.00 %$0.00$4088.70
Total-57.97 %$-424.80
PriceBarProfit
Most Favorable$56.3000551$153.40
Most Adverse$70.1000568$-407.10


come vedete una volta mi longa 1100 pezzi un'altra 4 ....booooo non ci sto capendo una mazza

grazie se volete aiutarmi

 

[super_pippo69]

Scritto da dan24
io non capisco qualcosa...e sarò pure duro...con l'8.0 c'erano problemi lo so...con l'8.01 i risultati sono attendibili?

questo è il riassunto ma quello che non mi torna è che utilizzando % available equity = 100% mi dovrebbe reinvestire gli utili ma non mi torna analizzando il position di cui allego solo una parte


come vedete una volta mi longa 1100 pezzi un'altra 4 ....booooo non ci sto capendo una mazza

grazie se volete aiutarmi

L'8.0 faceva casino, l'8.01 un po' meno.

Ora sono arrivati alla 9.0 aggiungendo solo indicatori.

Non reinveste mai gli utili, è questa la principale differenza con le versioni precedenti.

Anche con % available equity = 100% controlla il prezzo e compra un numero intero di azioni, cosa che prima non faceva.

Ho notato che sbaglia il calcolo sia con % available equity sia con transaction cost (raddoppia l'investimento).

Io uso:
number of units = 1
margin long e mantenance = 0
margin long e mantenance = 101

Ciao

 

[marco292]

cosa hai messo in short initial e schort maintenance?

 

[super_pippo69]

Scritto da marco292
cosa hai messo in short initial e schort maintenance?

Scusa ho sbagliato

margin long initial ed maintenance = 0
margin short initial ed maintenance = 101

Ecco cosa scrivono in un forum americano


Sprunger Guide to MS ver8.x Sys Tester

I spent a week or three figuring out how the MS v8 System Tester works. I
had problems getting the results from 8.01 to match 7.2. I had strange
signals, missing trades, multiple trades off one signal, etc. Had several
emails, phone conversations, etc with Equis. Bottom line is that they went
overboard in trying to make it realistic, to the point it is unrealistic
(my opinion). Especially if you are trying to develop and test systems.
However, there are two workarounds you can use to get valid results.

So I won't forget what I learned I, wrote it up. Below tells how the tester
currently works and explains why the results give missing trades, multiple
trades, doesn't use your full equity, etc. and therefore provides invalid
results.

Read below how 8.01 works, then look at the two methods to get valid results
if you are trying to develop and test systems.

Equis has told me they are looking into changing it, but no commit, and no
timeframe for making the decision.
If you agree with me, send or call them and tell them to change it. At the
bottom, I list what I have recommended they do.

----------------------------------------------------------------------------

The Metastock v8.x system tester works very differently than previous
versions. On the up side it can test multiple securities simultaneously.
However, its operation has differences that are very significant to a system
developer, and in reality are not anywhere near what would happen in the
real world.

It is important to understand these differences because the v8 tester can
give very different results from the v7 tester when using the same system on
the same security with the same time periods. In addition, because of the
v8 "features" you can get different results comparing the several systems on
the same security from the v7 tester. This also implies Optimization
results could be invalid.

Later we will see how to get around these issues and limitations.

Here's the major differences.

The v8 tester has several new options that are key. The key differences
result from a "Broker" module which places orders.

a. "Position Limit" This is accessible from the "General" screen on each
individual system test description. You will need to be very careful what
you put in here as you will see later. In addition, if you are comparing
different systems, you need to be sure that they all have the same number of
positions allowed or you may get unfair comparison results.

b. Trading size. In the v7 tester the system traded 100% of your equity on
each trade. There was no option to do otherwise (except for "points only"
test). The v8 tester allows you to trade a constant number of shares, total
transaction cost, or a percentage of equity available. We will concentrate
on the "% of equity available, as it is most relevant for system development
and comparison.

c. Trade Price -- the v7 tester allowed you to select the price field
(O,H,L,C) for entry and exit and the delay for each. In other words you
could have different delays for entry and exit.
The v8 tester does not allow different delays for entry and exit. It uses
the same delay for all entries and exits. The v8 tester also allows
different price fields for the long and short entries and exits, which the
v7 did not. But there is more you should know.... read on.

The biggest difference in v8 is the addition of a button for "Realistic
Market Prices". It is important to understand what happens when you check
this button.

To explain, let's assume you have "Position Limit" =1, "% of equity
available"=100 and the "Realistic Market Prices" button checked.

When you get an enter Long signal, the program calculates the number of
shares that can be purchased using the open price on the signal bar (day0).
It tries to purchase that number of shares at the open price on the next bar
(day1). However, if the open price on the next bar (day1) is higher than
the price from the signal bar (day0), the tester does not place the order
because you do not have enough money. Now let's say you did not have enough
money. If your system is gives one day signals like you would get from a
cross(x,y) signal, then this trade will never be entered.

If your system stays on a buy like you might have with a latch or with a
c>mov(c,20,e) structure, then the tester will still be on a buy signal on
day1. It will then recalculate the number of shares that can be purchase at
the open on day 1 and attempt to buy them on day2. If it can't buy because
the price is up at the open on day2 then it will not enter. The process
will continue until either the price drops at the open and you get filled or
the buy signal goes away. Thus it is again possible that you never enter on
this trade signal. The other possibility is that you will not get filled at
100% of your equity.

Now for a moment assume that you had your "Position Limit" set at 10, and
your buy signal remains in effect. The tester will continue each bar to try
to
fill your orders as above, and will add positions until either your buy
signal goes away, or your equity is used up, or your positions are equal to
10. So if you have a buy signal that lasts for 20 bars, you may get 10
positions filled where the last one may be filled on the last bar before
the buy signal goes away.

Note: the reverse happens on enter short signals.

When the system gets an exit signal (either long or short) it exits on the
open of the next bar if you have "Realistic Market Prices" checked. Note
that there does not seem to be any issues on the exits. Since it is an
exit, it just exits regardless of the prices.

If your system is an always in the market system, and you flip from a long
to a short, it will exit longs on the next bar, and attempt to sell short
the number of shares it calculates based upon the open price of the signal
day. If the price on day1 is higher, it does not enter the short sale.

So, it is key to realize that if you use "Realistic Market Prices",
Your tests are not at all realistic because you may not get filled on the
day of the signal, or you may get filled at all, or you may get filled
multiple times. Implications are:
1. Can't compare systems on same security.
2. buy sell arrows represent entry/exit dates and not signal dates.
3. This problem applies to all securities including mutual funds.
4. Very difficult to develop systems and see valid signals.
5. Can't compare performance on one security to another with same or
different systems

Next let's review how the "Trade Price" from the "Trade Execution" screen
works if you do not have the "Realistic Prices" option set.

The system calculates the number of shares to buy based on the price field
you choose and then tries to buy them on the price field you choose.

If you have "Buy Price" = Open and Delay =1, the system calculates the
number of shares to buy based upon the Open price on the signal bar and
attempts to buy at the open of the next bar. If you have "Buy Price" =
Close and Delay = 1 the system calculates the number of shares based upon
the close of the signal bar and attempts to buy on the close of the next
bar. Same for Sell Price, Sell Short Price, etc. So if all you do is
uncheck the "Realistic Market Prices" button and use "Buy on open with
delay=1", nothing really changes.

This is not logical at all! If you decided to buy on the open tomorrow
based on a signal today, only an idiot would calculate the number of shares
to buy based on today's open! There has been a whole day's worth of price
action transpired already and the open from yesterday
is no longer relevant. You would logically use today's close to "Estimate"
the number of shares that you "Might purchase" the next day.

Because of all this it is difficult to develop and compare systems using the
v8 tester that produce valid results.

Now, it gets even worse. All this tells me the optimization results are not
valid in v8. Since
all this buy, can't buy because price is up, etc etc stuff occurs, I assume
it occurs on each optimization run. So your optimization results are not
based on reality. In some trades, you don't get filled because of this. In
others you get filled late. A $.01 increase on the open would potentially
cause you not to be filled. So it makes the optimization results
inconsistent and unreliable. When you optimize you want to find the best
signals that optimize your performance. The potential non or late fills
because of a small price change on a given parameter run totally distort
this.

So what can you do to get around this to develop and compare systems,
compare multiple systems, etc. ?

Note that the above issues do not seem to effect you if you use a "Points
Only" test. In this mode apparently the v8 works just like the v7 tester.
So you can get valid results that way.

But if you wish to see an equity curve, or get a return in % then you have
the above problems.

There are two ways to get around this and get valid results and signals.

First, don't use "Realistic Market Prices".
Make sure your "Position Limit" is set to 1.
Set Equity Default size to 100%.
Under Margin Requirements to
Long Initial = 100%
Long Maintenance = 0%
Short Initial = 200% (amazingly, 200% means no margin, but that is
another story)
Short Maintenance = 101% (this means essentially no maintenance. for
some dumb reason they won't let you put in 100%, so you will never be able
to trade your full equity on a short trade, only 99%.)

Now you have two options.
1. Set all your enter and exit positions to "Close" with a Delay =0.
This will enter and exit all of your equity (except for the stupid 1% limit
on short sales) at the close. All your signals will show up on the charts
correctly, your % gains will be correct and it will produce results very
close to the v7 tester. Of course the drawback is that in the real world,
you probably won't enter and exit on the same bar as the signal. However, if
you are mainly looking to compare systems or see signal dates, then this
works.

2. Set all of your enter and exit conditions to use format of
Ref(enter,-1).
Use "Price Field = Open with Delay =0". (or Close with delay of 0, or
whatever).
What happens is that the condition that is true on day0 gets evaluated as
true on day1 (the day after the signal and the right day to enter). The
number of shares are calculated and purchased at the same price. The arrows
show up on the chart on the entry/exit day.

This is as realistic as the v7 tester and actually pretty good.
The downside is you have to rewrite all your systems to use the Ref()
function in all the enter and exit conditions. Lots of work and pain.

Using either of these methods should make the system tests valid, match 7.2
results, and make the optimization results valid.

What should be done is that Equis changes the tester. Here is what I have
recommended they do:

If the "Realistic Market Prices" button is checked the system should adjust
the number of shares to buy everything allowed by the equity in the account
at the open the next day.

When the user selected options for Buy,Sell, etc are checked, the system
should adjust the number of shares to buy the total $ allowed by the equity
at the price field selected, on the bar selected by the delay field.

Of course the other option is to just put it back to the v7 method.

One other caveat, I have done any testing attempting to use the limit
orders so I have no idea what happens when you try to do that.

 

[marco292]

io ho rinunciato .. faccio solo il points test e' l'unico modo per vedere i reali movimenti ... sara' che non capisco ma non mi ci voglio piu' perdere tempo ... mi cancella le entrate , saro' io ottuso o e' scemo chi l'ha fatto .. con amibroker non mi cancella niente sara'

 

[super_pippo69]

Scritto da marco292
io ho rinunciato .. faccio solo il points test e' l'unico modo per vedere i reali movimenti ... sara' che non capisco ma non mi ci voglio piu' perdere tempo ... mi cancella le entrate , saro' io ottuso o e' scemo chi l'ha fatto .. con amibroker non mi cancella niente sara'

Io invece sto facendo un pensierino a wealth-lab


Per i test ha tutto e di più, d'altra parte la programmazione è un vero casino.

 

[dan24]

Re: Re: system tester con meta 8.01

Scritto da super_pippo69
L'8.0 faceva casino, l'8.01 un po' meno.

Ora sono arrivati alla 9.0 aggiungendo solo indicatori.

Non reinveste mai gli utili, è questa la principale differenza con le versioni precedenti.

Anche con % available equity = 100% controlla il prezzo e compra un numero intero di azioni, cosa che prima non faceva.

Ho notato che sbaglia il calcolo sia con % available equity sia con transaction cost (raddoppia l'investimento).

Io uso:
number of units = 1
margin long e mantenance = 0
margin long e mantenance = 101

Ciao

grazie delel risposte...pazzesco comunque che invece di migliorare abbiano peggiorate le cose...nun si capisce che conti faccia...provo come hai detto te...

 

[spider76]

A ME METASTOCK VA BENE,IO L'HO SETTATO COSI:LONG INITIAL100%,LONG MAINTENANCE 0%,SHORT INITIAL 200%,SHORT MAINTENANCE 200%.

 

[dan24]

Scritto da spider76
A ME METASTOCK VA BENE,IO L'HO SETTATO COSI:LONG INITIAL100%,LONG MAINTENANCE 0%,SHORT INITIAL 200%,SHORT MAINTENANCE 200%.

ma hai provato a fare i test sulle azioni? cosa ci metti come initial equity ed il resto? se metto come percentuale dell'equity 100% non mi reinveste gli utili come dovrebbe...almeno come faceva nelel vecchie versioni...

 

[spider76]

Scritto da dan24
ma hai provato a fare i test sulle azioni? cosa ci metti come initial equity ed il resto? se metto come percentuale dell'equity 100% non mi reinveste gli utili come dovrebbe...almeno come faceva nelel vecchie versioni...

IO HO LA VERSIONE 8.0 TU?COME INITIAL EQUITY PENSO SIA RELATIVO.POI SULLA FINESTRA DEFAULT SIZE HO % OF AVAILABLE EQUITY E SULL'ATRA FINESTRA AFFIANCO HO SCRITTO 100.CON QUESTO SETTAGGIO NON HO AVUTO MAI PROBLEMI. POI SU TRADE EXECUTION HO IMPOSTATO SU TUTTE E 4 LE VOCI CLOSE,E COME DELAY 0.SU INTEREST RATES HO MESSO 0% SULLE 2 VOCI.COMMISSIONS=POINTS PER TRANSACTION ENTRY 8,EXIT 8 MA DIPENDE DAL CAPITALE,CON 1000 EURO METTO 1,9.

 

[super_pippo69]

Scritto da spider76
IO HO LA VERSIONE 8.0 TU?COME INITIAL EQUITY PENSO SIA RELATIVO.POI SULLA FINESTRA DEFAULT SIZE HO % OF AVAILABLE EQUITY E SULL'ATRA FINESTRA AFFIANCO HO SCRITTO 100.CON QUESTO SETTAGGIO NON HO AVUTO MAI PROBLEMI. POI SU TRADE EXECUTION HO IMPOSTATO SU TUTTE E 4 LE VOCI CLOSE,E COME DELAY 0.SU INTEREST RATES HO MESSO 0% SULLE 2 VOCI.COMMISSIONS=POINTS PER TRANSACTION ENTRY 8,EXIT 8 MA DIPENDE DAL CAPITALE,CON 1000 EURO METTO 1,9.

La versione 8.0 ha problemi seri.

Questa è solo una parte dei bug riportati da equis:

* Older MSJET files causing crashes in Enhanced System Tester.
* Enhanced System Tester not reversing trades when delay is set.
* Enhanced System Tester not saving deletion of an optimization.
* Enhanced System Tester optimization min and max settings cannot be the same.
* Profit/Loss Index calculating incorrectly.
* Optimized system tests with a step value of 0 (imported from earlier versions of MetaStock) crashing the Enhanced System Tester.
* Optimized system tests displaying Minimum and Maximum values < 1 improperly.
* Optimized system tests not warning you when the optimization values are not set.
* Percent sign appears when slippage values are displayed in points.
* Inaccurate account variations in simulation report.
* Stop values containing decimal amounts are rounded to the nearest whole number.
* "Good Until Cancelled" stop orders are executed multiple times.
* Enhanced System Tester not testing on most recent date for securities saved in the Favorites list.
* Users with FAT32 systems unable to run system tests that generate more than 20,000 reports. Can now run more than 1,000,000.
* Trailing Profit stop calculates on total equity instead of trade profit.
* Linear Regression indicator calculating incorrectly.

Ciao

 

[dan24]

Scritto da spider76
IO HO LA VERSIONE 8.0 TU?COME INITIAL EQUITY PENSO SIA RELATIVO.POI SULLA FINESTRA DEFAULT SIZE HO % OF AVAILABLE EQUITY E SULL'ATRA FINESTRA AFFIANCO HO SCRITTO 100.CON QUESTO SETTAGGIO NON HO AVUTO MAI PROBLEMI. POI SU TRADE EXECUTION HO IMPOSTATO SU TUTTE E 4 LE VOCI CLOSE,E COME DELAY 0.SU INTEREST RATES HO MESSO 0% SULLE 2 VOCI.COMMISSIONS=POINTS PER TRANSACTION ENTRY 8,EXIT 8 MA DIPENDE DAL CAPITALE,CON 1000 EURO METTO 1,9.

se vai a vedere poi su position dopo il test ti accorgi che il size (numero di azioni comprate) varia in maniera strana....

se puoi riportarmi un test a titolo di esempio con la descrizione della position ti faccio vedere quale sono i problemi

 

[spider76]

Scritto da dan24
se vai a vedere poi su position dopo il test ti accorgi che il size (numero di azioni comprate) varia in maniera strana....

se puoi riportarmi un test a titolo di esempio con la descrizione della position ti faccio vedere quale sono i problemi

ho fatto un test su generali Position 1 - Long X 532 Units
Price Bar Date Efficiency Commission Value
Opening $18.7500 10 14/04/2003 100.00 % $8.00 $9983.00
Closing $20.2400 15 23/04/2003 100.00 % $8.00 $10759.68
Total 100.00 % $776.68
Price Bar Profit
Most Favorable $20.2400 15 $776.68
Most Adverse $18.7500 10 $-16.00

Position 2 - Short X 532 Units
Price Bar Date Efficiency Commission Value
Opening $20.2400 15 23/04/2003 100.00 % $8.00 $10759.68
Closing $20.2900 16 24/04/2003 100.01 % $8.00 $10802.28
Total 100.01 % $-42.60
Price Bar Profit
Most Favorable $20.0300 16 $95.72
Most Adverse $20.2400 15 $-16.00

Position 3 - Long X 554 Units
Price Bar Date Efficiency Commission Value
Opening $19.3500 34 21/05/2003 100.00 % $8.00 $10727.90
Closing $20.2400 41 30/05/2003 100.00 % $8.00 $11204.96
Total 100.00 % $477.06
Price Bar Profit
Most Favorable $20.2400 41 $477.06
Most Adverse $19.3500 34 $-16.00

Position 4 - Short X 553 Units
Price Bar Date Efficiency Commission Value
Opening $20.2400 41 30/05/2003 0.00 % $8.00 $11184.72
Closing $20.4900 42 02/06/2003 -0.00 % $8.00 $11338.97
Total -100.00 % $-154.25
Price Bar Profit
Most Favorable $20.2400 41 $-16.00
Most Adverse $20.8200 42 $-336.74

Position 5 - Short X 513 Units
Price Bar Date Efficiency Commission Value
Opening $21.5200 56 20/06/2003 100.00 % $8.00 $11031.76
Closing $21.3900 57 23/06/2003 100.00 % $8.00 $10981.07
Total 100.00 % $50.69
Price Bar Profit
Most Favorable $21.1800 57 $158.42
Most Adverse $21.5200 56 $-16.00

Position 6 - Long X 566 Units
Price Bar Date Efficiency Commission Value
Opening $19.5900 63 01/07/2003 97.35 % $8.00 $11095.94
Closing $20.3400 95 14/08/2003 69.03 % $8.00 $11504.44
Total 66.37 % $408.50
Price Bar Profit
Most Favorable $20.6900 74 $606.60
Most Adverse $19.5600 66 $-32.98

Position 7 - Short X 565 Units
Price Bar Date Efficiency Commission Value
Opening $20.3400 95 14/08/2003 -0.00 % $8.00 $11484.10
Closing $20.4800 96 18/08/2003 -0.00 % $8.00 $11579.20
Total -100.00 % $-95.10
Price Bar Profit
Most Favorable $20.3400 95 $-16.00
Most Adverse $20.4200 96 $-61.20

Position 8 - Long X 570 Units
Price Bar Date Efficiency Commission Value
Opening $20.0200 101 25/08/2003 57.94 % $8.00 $11419.40
Closing $20.6400 109 04/09/2003 100.00 % $8.00 $11756.80
Total 57.94 % $337.40
Price Bar Profit
Most Favorable $20.6400 109 $337.40
Most Adverse $19.5700 105 $-272.50

Position 9 - Short X 569 Units
Price Bar Date Efficiency Commission Value
Opening $20.6400 109 04/09/2003 100.00 % $8.00 $11736.16
Closing $20.5800 110 05/09/2003 -0.00 % $8.00 $11718.02
Total 0.00 % $18.14
Price Bar Profit
Most Favorable $20.3400 110 $154.70
Most Adverse $20.6400 109 $-16.00

Position 10 - Long X 577 Units
Price Bar Date Efficiency Commission Value
Opening $20.3700 117 16/09/2003 21.12 % $8.00 $11761.49
Closing $20.0000 138 15/10/2003 55.90 % $8.00 $11532.00
Total -22.98 % $-229.49
Price Bar Profit
Most Favorable $20.7100 120 $180.18
Most Adverse $19.1000 129 $-748.79

Position 11 - Short X 576 Units
Price Bar Date Efficiency Commission Value
Opening $20.0000 138 15/10/2003 100.00 % $8.00 $11512.00
Closing $19.3100 144 23/10/2003 100.00 % $8.00 $11130.56
Total 100.00 % $381.44
Price Bar Profit
Most Favorable $19.3100 144 $381.44
Most Adverse $20.0000 138 $-16.00

Position 12 - Long X 617 Units
Price Bar Date Efficiency Commission Value
Opening $19.3100 144 23/10/2003 100.00 % $8.00 $11922.27
Closing $19.6100 149 30/10/2003 100.00 % $8.00 $12091.37
Total 100.00 % $169.10
Price Bar Profit
Most Favorable $19.6100 149 $169.10
Most Adverse $19.3100 144 $-16.00

Position 13 - Short X 616 Units
Price Bar Date Efficiency Commission Value
Opening $19.6100 149 30/10/2003 -0.00 % $8.00 $12071.76
Closing $19.5500 150 31/10/2003 -0.00 % $8.00 $12050.80
Total -100.00 % $20.96
Price Bar Profit
Most Favorable $19.6100 149 $-16.00
Most Adverse $19.8000 150 $-133.04

Position 14 - Short X 581 Units
Price Bar Date Efficiency Commission Value
Opening $20.8200 159 13/11/2003 0.00 % $8.00 $12088.42
Closing $20.7300 160 14/11/2003 100.00 % $8.00 $12052.13
Total -0.00 % $36.29
Price Bar Profit
Most Favorable $20.8200 159 $-16.00
Most Adverse $20.8800 160 $-50.86

Position 15 - Short X 554 Units
Price Bar Date Efficiency Commission Value
Opening $21.9000 173 03/12/2003 100.00 % $8.00 $12124.60
Closing $21.6000 174 04/12/2003 0.00 % $8.00 $11974.40
Total 0.00 % $150.20
Price Bar Profit
Most Favorable $21.5500 174 $177.90
Most Adverse $21.9000 173 $-16.00

Position 16 - Long X 587 Units
Price Bar Date Efficiency Commission Value
Opening $20.9400 186 22/12/2003 98.21 % $8.00 $12299.78
Closing $21.4900 192 06/01/2004 100.00 % $8.00 $12606.63
Total 98.21 % $306.85
Price Bar Profit
Most Favorable $21.4900 192 $306.85
Most Adverse $20.9300 187 $-21.87

Position 17 - Short X 586 Units
Price Bar Date Efficiency Commission Value
Opening $21.4900 192 06/01/2004 100.00 % $8.00 $12585.14
Closing $21.4500 193 07/01/2004 100.00 % $8.00 $12577.70
Total 100.00 % $7.44
Price Bar Profit
Most Favorable $21.4700 193 $-4.28
Most Adverse $21.4900 192 $-16.00

Position 18 - Short X 565 Units
Price Bar Date Efficiency Commission Value
Opening $22.3200 200 16/01/2004 100.00 % $8.00 $12602.80
Closing $22.3100 201 19/01/2004 -0.00 % $8.00 $12613.15
Total 0.00 % $-10.35
Price Bar Profit
Most Favorable $22.3000 201 $-4.70
Most Adverse $22.3200 200 $-16.00

Position 19 - Long X 577 Units
Price Bar Date Efficiency Commission Value
Opening $21.8200 210 30/01/2004 27.50 % $8.00 $12598.14
Closing $21.9300 218 11/02/2004 100.00 % $8.00 $12645.61
Total 27.50 % $47.47
Price Bar Profit
Most Favorable $21.9300 218 $47.47
Most Adverse $21.5300 214 $-183.33

Position 20 - Short X 576 Units
Price Bar Date Efficiency Commission Value
Opening $21.9300 218 11/02/2004 78.79 % $8.00 $12623.68
Closing $21.9000 225 20/02/2004 20.00 % $8.00 $12622.40
Total -1.21 % $1.28
Price Bar Profit
Most Favorable $21.6700 220 $133.76
Most Adverse $22.0000 225 $-56.32

Position 21 - Short X 570 Units
Price Bar Date Efficiency Commission Value
Opening $22.1600 226 23/02/2004 93.75 % $8.00 $12623.20
Closing $22.2200 236 08/03/2004 -0.00 % $8.00 $12673.40
Total -6.25 % $-50.20
Price Bar Profit
Most Favorable $21.7100 228 $240.50
Most Adverse $22.1900 235 $-33.10

Position 22 - Long X 592 Units
Price Bar Date Efficiency Commission Value
Opening $21.2500 239 11/03/2004 6.25 % $8.00 $12588.00
Closing N/A N/A Not Closed N/A % N/A N/A
Total 6.25 % $-264.64
Price Bar Profit
Most Favorable $21.2900 243 $7.68
Most Adverse $20.6500 248 $-371.20


Summary

Profit Efficiency
Average $106.49 28.45 %
Total $2342.87

sembra che vada bene

 

[dan24]

Scritto da spider76
ho fatto un test su generali Position 1 - Long X 532 Units
Price Bar Date Efficiency Commission Value
Opening $18.7500 10 14/04/2003 100.00 % $8.00 $9983.00
Closing $20.2400 15 23/04/2003 100.00 % $8.00 $10759.68
Total 100.00 % $776.68
Price Bar Profit
Most Favorable $20.2400 15 $776.68
Most Adverse $18.7500 10 $-16.00

Position 2 - Short X 532 Units
Price Bar Date Efficiency Commission Value
Opening $20.2400 15 23/04/2003 100.00 % $8.00 $10759.68
Closing $20.2900 16 24/04/2003 100.01 % $8.00 $10802.28
Total 100.01 % $-42.60
Price Bar Profit
Most Favorable $20.0300 16 $95.72
Most Adverse $20.2400 15 $-16.00

Position 3 - Long X 554 Units
Price Bar Date Efficiency Commission Value
Opening $19.3500 34 21/05/2003 100.00 % $8.00 $10727.90
Closing $20.2400 41 30/05/2003 100.00 % $8.00 $11204.96
Total 100.00 % $477.06
Price Bar Profit
Most Favorable $20.2400 41 $477.06
Most Adverse $19.3500 34 $-16.00

Position 4 - Short X 553 Units
Price Bar Date Efficiency Commission Value
Opening $20.2400 41 30/05/2003 0.00 % $8.00 $11184.72
Closing $20.4900 42 02/06/2003 -0.00 % $8.00 $11338.97
Total -100.00 % $-154.25
Price Bar Profit
Most Favorable $20.2400 41 $-16.00
Most Adverse $20.8200 42 $-336.74

Position 5 - Short X 513 Units
Price Bar Date Efficiency Commission Value
Opening $21.5200 56 20/06/2003 100.00 % $8.00 $11031.76
Closing $21.3900 57 23/06/2003 100.00 % $8.00 $10981.07
Total 100.00 % $50.69
Price Bar Profit
Most Favorable $21.1800 57 $158.42
Most Adverse $21.5200 56 $-16.00

Position 6 - Long X 566 Units
Price Bar Date Efficiency Commission Value
Opening $19.5900 63 01/07/2003 97.35 % $8.00 $11095.94
Closing $20.3400 95 14/08/2003 69.03 % $8.00 $11504.44
Total 66.37 % $408.50
Price Bar Profit
Most Favorable $20.6900 74 $606.60
Most Adverse $19.5600 66 $-32.98

Position 7 - Short X 565 Units
Price Bar Date Efficiency Commission Value
Opening $20.3400 95 14/08/2003 -0.00 % $8.00 $11484.10
Closing $20.4800 96 18/08/2003 -0.00 % $8.00 $11579.20
Total -100.00 % $-95.10
Price Bar Profit
Most Favorable $20.3400 95 $-16.00
Most Adverse $20.4200 96 $-61.20

Position 8 - Long X 570 Units
Price Bar Date Efficiency Commission Value
Opening $20.0200 101 25/08/2003 57.94 % $8.00 $11419.40
Closing $20.6400 109 04/09/2003 100.00 % $8.00 $11756.80
Total 57.94 % $337.40
Price Bar Profit
Most Favorable $20.6400 109 $337.40
Most Adverse $19.5700 105 $-272.50

Position 9 - Short X 569 Units
Price Bar Date Efficiency Commission Value
Opening $20.6400 109 04/09/2003 100.00 % $8.00 $11736.16
Closing $20.5800 110 05/09/2003 -0.00 % $8.00 $11718.02
Total 0.00 % $18.14
Price Bar Profit
Most Favorable $20.3400 110 $154.70
Most Adverse $20.6400 109 $-16.00

Position 10 - Long X 577 Units
Price Bar Date Efficiency Commission Value
Opening $20.3700 117 16/09/2003 21.12 % $8.00 $11761.49
Closing $20.0000 138 15/10/2003 55.90 % $8.00 $11532.00
Total -22.98 % $-229.49
Price Bar Profit
Most Favorable $20.7100 120 $180.18
Most Adverse $19.1000 129 $-748.79

Position 11 - Short X 576 Units
Price Bar Date Efficiency Commission Value
Opening $20.0000 138 15/10/2003 100.00 % $8.00 $11512.00
Closing $19.3100 144 23/10/2003 100.00 % $8.00 $11130.56
Total 100.00 % $381.44
Price Bar Profit
Most Favorable $19.3100 144 $381.44
Most Adverse $20.0000 138 $-16.00

Position 12 - Long X 617 Units
Price Bar Date Efficiency Commission Value
Opening $19.3100 144 23/10/2003 100.00 % $8.00 $11922.27
Closing $19.6100 149 30/10/2003 100.00 % $8.00 $12091.37
Total 100.00 % $169.10
Price Bar Profit
Most Favorable $19.6100 149 $169.10
Most Adverse $19.3100 144 $-16.00

Position 13 - Short X 616 Units
Price Bar Date Efficiency Commission Value
Opening $19.6100 149 30/10/2003 -0.00 % $8.00 $12071.76
Closing $19.5500 150 31/10/2003 -0.00 % $8.00 $12050.80
Total -100.00 % $20.96
Price Bar Profit
Most Favorable $19.6100 149 $-16.00
Most Adverse $19.8000 150 $-133.04

Position 14 - Short X 581 Units
Price Bar Date Efficiency Commission Value
Opening $20.8200 159 13/11/2003 0.00 % $8.00 $12088.42
Closing $20.7300 160 14/11/2003 100.00 % $8.00 $12052.13
Total -0.00 % $36.29
Price Bar Profit
Most Favorable $20.8200 159 $-16.00
Most Adverse $20.8800 160 $-50.86

Position 15 - Short X 554 Units
Price Bar Date Efficiency Commission Value
Opening $21.9000 173 03/12/2003 100.00 % $8.00 $12124.60
Closing $21.6000 174 04/12/2003 0.00 % $8.00 $11974.40
Total 0.00 % $150.20
Price Bar Profit
Most Favorable $21.5500 174 $177.90
Most Adverse $21.9000 173 $-16.00

Position 16 - Long X 587 Units
Price Bar Date Efficiency Commission Value
Opening $20.9400 186 22/12/2003 98.21 % $8.00 $12299.78
Closing $21.4900 192 06/01/2004 100.00 % $8.00 $12606.63
Total 98.21 % $306.85
Price Bar Profit
Most Favorable $21.4900 192 $306.85
Most Adverse $20.9300 187 $-21.87

Position 17 - Short X 586 Units
Price Bar Date Efficiency Commission Value
Opening $21.4900 192 06/01/2004 100.00 % $8.00 $12585.14
Closing $21.4500 193 07/01/2004 100.00 % $8.00 $12577.70
Total 100.00 % $7.44
Price Bar Profit
Most Favorable $21.4700 193 $-4.28
Most Adverse $21.4900 192 $-16.00

Position 18 - Short X 565 Units
Price Bar Date Efficiency Commission Value
Opening $22.3200 200 16/01/2004 100.00 % $8.00 $12602.80
Closing $22.3100 201 19/01/2004 -0.00 % $8.00 $12613.15
Total 0.00 % $-10.35
Price Bar Profit
Most Favorable $22.3000 201 $-4.70
Most Adverse $22.3200 200 $-16.00

Position 19 - Long X 577 Units
Price Bar Date Efficiency Commission Value
Opening $21.8200 210 30/01/2004 27.50 % $8.00 $12598.14
Closing $21.9300 218 11/02/2004 100.00 % $8.00 $12645.61
Total 27.50 % $47.47
Price Bar Profit
Most Favorable $21.9300 218 $47.47
Most Adverse $21.5300 214 $-183.33

Position 20 - Short X 576 Units
Price Bar Date Efficiency Commission Value
Opening $21.9300 218 11/02/2004 78.79 % $8.00 $12623.68
Closing $21.9000 225 20/02/2004 20.00 % $8.00 $12622.40
Total -1.21 % $1.28
Price Bar Profit
Most Favorable $21.6700 220 $133.76
Most Adverse $22.0000 225 $-56.32

Position 21 - Short X 570 Units
Price Bar Date Efficiency Commission Value
Opening $22.1600 226 23/02/2004 93.75 % $8.00 $12623.20
Closing $22.2200 236 08/03/2004 -0.00 % $8.00 $12673.40
Total -6.25 % $-50.20
Price Bar Profit
Most Favorable $21.7100 228 $240.50
Most Adverse $22.1900 235 $-33.10

Position 22 - Long X 592 Units
Price Bar Date Efficiency Commission Value
Opening $21.2500 239 11/03/2004 6.25 % $8.00 $12588.00
Closing N/A N/A Not Closed N/A % N/A N/A
Total 6.25 % $-264.64
Price Bar Profit
Most Favorable $21.2900 243 $7.68
Most Adverse $20.6500 248 $-371.20


Summary

Profit Efficiency
Average $106.49 28.45 %
Total $2342.87

sembra che vada bene

si in effetti sembra andar bene....ma come margin long ecc csa hai messo?

 

[dan24]

sembra funzionare così: % dell'equity=100%

poi ho messo in margin long 100 quello sotto 0 in short 200 e sotto 200 con le entrare sul close 0

ma il problema arriva con l'entrata il giorno dopo in open...ecco l'arcano...

ok per i titoli frega poco visto che c'e' l'after e mettendo un pò di slippage le cose non cambiano molto...però che cesso...di programma

 

[spider76]

Scritto da dan24
si in effetti sembra andar bene....ma come margin long ecc csa hai messo?

ho messo i parametri che menzionato prima

 

[spider76]

Scritto da dan24
sembra funzionare così: % dell'equity=100%

poi ho messo in margin long 100 quello sotto 0 in short 200 e sotto 200 con le entrare sul close 0

ma il problema arriva con l'entrata il giorno dopo in open...ecco l'arcano...

ok per i titoli frega poco visto che c'e' l'after e mettendo un pò di slippage le cose non cambiano molto...però che cesso...di programma

se entri l'open del giorno dopo devi mettere anche delay 1.Anche se io preferisco farle in chiusura perche' sono piu' performanti.

 

[dan24]

Scritto da spider76
se entri l'open del giorno dopo devi mettere anche delay 1.Anche se io preferisco farle in chiusura perche' sono piu' performanti.

è il realistic mode..che fa casino allora ti ringrazio comunque almeno qualcosa riesco a farlo funzionare così..

 

[spider76]

Scritto da dan24
è il realistic mode..che fa casino allora ti ringrazio comunque almeno qualcosa riesco a farlo funzionare così..

sul realistic mode e' meglio che non ci clicchi,anche a me dava problemi,poi prova e riprova ho risolto,ciao