A thread about Backtesting

[uasish]

Here is 1 Test Report i just completed,no slippage and Commision is incorporated ,just completed all type of tests,will incorporate all other factors and naturally the seem too good performances will come down to a practical workable thing.However i tried 1000 types in the Robust 'Monte Carlo Test'.

[uasish]

Here is the Positional Short's Test Reports.The Loss here is more but when Price falls it falls fast,no slippage commision etc r not incorporated here which when added the Pergormance may still slip.However if can combine both the Long and Short ,Means ALWAYS in trade,OMG,it needs serious psyche overhauling first,but seems that is the solution.Here also the 'Monte Carlo' simmulation was 1000.

[uasish]

Both are tested on EoD Datas.

[Ajax i4u]

Dadaaaaaaaaaaa u spurred me on

Here is SlumDogs System back test report

At EOD 1/1/2009 till date
Capital of 1 lac >>> 686 % return
Winners Long & shorts ~80%
Shorts alone .. winners 95%
Longs alone .. winners ~52%

Unfortunate ,SlumDogs r afraid of shorts

Dont know how to put Amibroker test thru .. Monto Carlo Simulation

[uasish]

Gr8 ,you have actually demostrated the same also,excellent plz keep it up.

[edakad]

So I am ready to invest in two Hedge funds/Managed Accounts - Ashish Fund and SlumDog fund

[uasish]

Originally Posted by edakad

So I am ready to invest in two Hedge funds/Managed Accounts - Ashish Fund and SlumDog fund

I have not incorporated the Brokerage/ Slippage / etc.

On the other hand i have also not used any LEVERAGE ,while Back Testing,becoz if even if i put 7 Lacks as initial capital (The test was conducted on future listed stocks only) and max 3 open position with 30 % Margin (this 30 % will cover Margin requirements of all derivative contracts of NSE plus some MTM) for each open ,the actual monetary return will be mind refreshing.

Jokes apart Thks for your compliment.

[uasish]

1 of our present Super Moderator initiated me to Back Testing few yrs back ,he was and still is my Teacher in this field.
By God's grace my earlier Test Reports where also quite Good.

Good Back Testing report is never a Boarding pass to Cloud 9 ,it never ensures that my bank balance is definitely going to increase by the use of this Methodology (which gave excellent test reports) in actual Mkt.
Few people also belong to another school of thought that 'Eye Testing' or Eye Balling rigorously can give me a fair idea of my methodology,i was in that group.They maybe right ........but how can a simmulated back test be INFERRIOR than that Eye Balling method,it cant be logically.
Then why do we back test,becoz in actual Mkt if we get few consequetive loss we get worried ,or after my position is initiated upto what extent Price may go against me or upto how much my capital may vanish and still my methodolgy 'if stuck with have a probability to come up again.Until a certain Map or records for all of these things are in front of me i would not be MENTALLY equipped to go through the rigorous process which Mkt puts me everyday.
That is 1 part another part is seperating Self from actual raw money ,why do these Goldaman guys have been successfull than us becoz they guys who EXECUTES are simply employees or associates it is NEVER their OWN Money.
For us it is our own Money hence for us ;Detachment needs a Zen Monk type Mental Status which never ever comes without self belief or utter dedicated Focus.
A Non Curve Fitting ,actual true Back Test report is a tool to help us to attain this detachment,the core seed of my absolute self belief.
Hence for mediocore guys like us we have to do some type of tests be it Eye Balling or anything else,which is to be done by ME only ............not that some Mike / or Merry / or Akio / or some Bhatia has done that and i start beliveing that guy,then trust me the end result would be max to max 49 :51 in the long run,becoz Mathametically when we increase the population the Rand.No generator would produce that type of Win/Loss ratio so what way i am superior.
Any indicator/Osc will always give 49:51 in the long run sometimes in small small sample size 7:10 we tend to start BELIEVING that indicator/Osc hence boss anything less than 75 % is crap,becoz below that .......woh tou eyere gere kar lenge ,what is my edge.

[uasish]

As Ami Lang is new to me so made a mistake while coding but unknowingly after putting it to back test this result was generated.While checking the trades i found out the fault and alas !! this is not feasable to trade in actual Mkt .(This was done in 30 mins TF.),if i could have traded this one.

[uasish]

After lots of effort the New (Asish Long -2 ) Intraday thing is somewhat ready,hope i would be able to code this in Ami in near future and find out the other Ratios and atleast 3 yrs back data to test upon.
1)This was done on 60 mins Time Frame.
2)An Initial Capital of only 5 Lacks used of which only 3 trades r to be Open at a time and for each trade 1 Lack capital is to be deployed.
3)The Stock Universe was only those cash stocks (plus mini and NF ) which r traded in Derivatives.
4)For each 1 Lack a transaction cost of Rs 50.00 taken for one leg so effectively Rs 100.00 for 1 Lack (so for a contract size of minimum 2.5 Lacks the transaction cost is Rs 250.00,hope this adequetly takes care of Brokerage+ Slippages+etc.).
4) There where 8945 Signals of which 8645 could not be taken due to inadequate capital,this has taken only 300 trades in a duration of 199 Days.
5)Here also in Monte Carlo Test 1000 simmilation was opted for.

As my Metastock has Intraday datas from 4th May'09,hence this Long only has given good return (becoz of 65000 data limitation in Metstock).When i can transfer the codes in Ami Lang the data limitation would not be there hence the performance may decrease,still as this is 60 mins so hope volatilty and other things r taken care off.