StockFetcher Forums · Backtesting Support · Please include commissions in backrest results<< >>Post Follow-up
4,599 posts
msg #101124
Ignore Kevin_in_GA
6/7/2011 9:18:42 PM

In order to be realistic, the backtest data needs to at least include the commissions one would have to have paid to make the trades. These will change the win%, and more importantly the overall profit or loss one would have seen. Under the "Advanced" tab, just have a place where you can enter the commission per trade.

To add to this, the ROI calculations are notoriously bad at correlating to actual trading - why not just take the equity summary at close and divide it by the numbers of days of the backtest period?

Final thought - please make the equity summary part of the backtest results, either as a column on the backtest page or as part of the backtest summary results. This is what traders really care about, not annualized ROI.



4,599 posts
msg #101401
Ignore Kevin_in_GA
6/29/2011 10:06:24 PM

Come on, no comment at all on this from you guys? How hard would this be to implement?

Obviously I am growing frustrated with the lack of responsiveness from SF - so many requests for improvements go ignored that it really reflects poorly on the programming team.

977 posts
msg #101402
6/29/2011 10:43:31 PM

We are sorry to hear your frustration. Unfortunately, we have found that there are *many* methods of computing the different performance statistics, as well as handling external factors such as brokerage commissions. Typically, we recommend using a 3rd party application to help further analyze your trade results, based on your specific needs.

We realize this does involve additional work on your part; unfortunately, we are simply unable to provide and predict all of the potential analysis methods and factors each tester requires while providing a straightforward back-testing tool.

Furthermore, we are fully aware that due to end-of-day data only on StockFetcher, the StockFetcher backtesting product has severe limitations when it comes to simulating "real-world" trades. It is due to this that we view the StockFetcher backtesting feature as more of a historical filter results tool, as opposed to a simulation that merits the tuning parameters seen in products with data more suited to producing the analysis you mention.

StockFetcher Support

4,599 posts
msg #101505
Ignore Kevin_in_GA
7/8/2011 3:16:03 PM

Just following up on this post.

I understand what you are saying, but maybe I am being obtuse here.

1. Can't you add a place for users to enter a commission cost in as part of the backtest, and simply subtract the commission cost out when calculating the return for any trade?

2. The equity backtest is a great but poorly understood feature. Most people mistakenly look at the annualized ROI and assume that they will make a lot of money if it is high. In actuality, the better way to see if a system has beaten the S&P is to simply take the equity summary (minus commission costs) and divide it by the backtest period. This should be part of the system summary report, rather than on a separate web page.

3. No annualization of ROI, por favor. This makes the assumption that the returns will continue to be constant going forward, even if the backtest period was 3 days. Just compare the actual profit derived from the system trades to the profit one would have made going long ^SPX during the same time. Simple.

I make this suggestion because I think many here will see the real value of the backtesting feature, once these refinements are implemented.


683 posts
msg #101517
Ignore duke56468
7/8/2011 7:35:45 PM

I agree, the importance of adding the commissions is especially seen when a filter produces 1000 trades and another produces 100 but they both produce the same $ profit after 3 months of trades on the backtest. If you don't pay particular attention to this the results are misleading.

107 posts
msg #101526
Ignore wantonellis
7/9/2011 10:24:15 AM

4,599 posts
msg #101532
Ignore Kevin_in_GA
7/9/2011 1:19:26 PM

I know that I can go and spend more money to get added software to do backtesting. That's not the point here - SF has the ability to easily add the features I listed and have an improved piece of their own software. To redirect us to third party vendors is another way of saying "we are not interested in doing this."

977 posts
msg #101534
7/9/2011 1:38:09 PM

@Kevin_in_GA: Thank you for the feedback; however, we do not agree with your last statement.

We have designed StockFetcher as a technical stock screening and charting service, primarily based on "end-of-day" data. Obviously, a large portion of designing filters is understanding how they perform in the past, and "backtesting" is an important component to that.

However, as indicated above, we recognize that when it comes to backtesting because StockFetcher is primarily "end-of-day" based, there are many aspects of simulating historical "trades" that are impacted by this limitation.

Again, we see StockFetcher and StockFetcher's ability to generate historical results as a "service" that can and should be fed to other applications (third party included) that are tailored to trade simulations.

We are in no way opposed to adding and improving the backtesting features; however, including equity summaries as part of the actual test and including more tuning parameters for the equity summary is something we are hesitant to modify as part of the primary backtesting feature.

By not immediately adding this functionality, we do not intend to convey that It is something we are not "interested in doing", more that we feel there are potentially better solutions given to accomplish the task. By allowing StockFetcher historical filter results to act as input to other products allows for more flexibility when analyzing results.

StockFetcher Support

4,599 posts
msg #101545
Ignore Kevin_in_GA
7/9/2011 7:36:46 PM

I feel that you have an opportunity to improve the software, but I also recognize that your position will not likely change so let's just agree to disagree.

61 posts
msg #105071
Ignore tombrown1
2/20/2012 4:08:34 PM

+1 for everything Kevin has said here. I love the software on this site, but I must admit to shopping around for other software in part because of what Kevin is mentioning.

StockFetcher Forums · Backtesting Support · Please include commissions in backrest results<< >>Post Follow-up

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