StockFetcher Forums · Backtesting Support · back testing problem with example<< >>Post Follow-up
elroz
26 posts
msg #46626
Ignore elroz
8/27/2006 10:02:06 PM

It seems others as well as myself are having problems with back testing, and I can understand they don't want to show their filters, they just want it fixed (as do I) so here is a fine example of a major problem I see with the back testing. It seems that when you change a requirement on a filter, it provides completely different results.

STOCKFETCHER SUPPORT - please look at the following filter below. (To others, please know this is a filter I had pulled off an old post and I am using as an example. Although it looks promising, it is not a filter I currently use and I have no knowledge of how to trade it.)

historical volatility(60,1) is greater than 10
rsi(2) below 2
Weekly RSI(2) below 10
and roc(1) one day ago < -3%
and roc(1) < -6%
and average volume(10) is above 500000
and close above 15
and not nasdaq
and not otcbb


Here's how the first test went . .

I used a 3% stop loss
time frame was YTD
0 day hold (buy at the open, sell next day open)
no special exit parameters or profit stops

Now, retest it with a 5% stop loss keeping everything else the same.

You will get a completely different result. If anything I should be stopped out of more of the 3% test than the 5% test. It also seems that with the 5% stop loss, my trades are not sold on the T+1 open. Some trades are still open from July.

Going forward, I will be retesting all of my current filters and I will report all of the problems I have with them. I do encourage others to post their problems with examples as well, so these issues can finally be resolved.

Thank You


stockfetcher
976 posts
msg #46628
8/28/2006 11:43:35 AM

Hi,

Thanks for the feedback. When you have a chance, could you save the above as two separate backtests and then send support@stockfetcher.com an email with the names of each. We need to look at all the settings of the backtests to make sure we're on the same page.

Best regards,
StockFetcher.com Support


elroz
26 posts
msg #46639
Ignore elroz
8/28/2006 9:41:07 PM

Just in case the e-mail was not received.

test a - 3%
test a - 5%


tomb
267 posts
msg #46651
Ignore tomb
8/29/2006 8:03:28 AM

Hi,

Thank you for the details. The problem arises based on your "0 day holding" which is not a valid holding period for StockFetcher backtests. When configuring the "Holding Limits" for backtests (section 2 on the "Exit" setup page) please note in the description that if you enter a value of "0" (Zero) that will disable the option.

Hopefully this helps to explain the results you are seeing.

Tom
StockFetcher.com Support



elroz
26 posts
msg #46681
Ignore elroz
8/30/2006 1:10:02 PM

Thank You


StockFetcher Forums · Backtesting Support · back testing problem with example<< >>Post Follow-up

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