StockFetcher Forums · Filter Exchange · Entry date statistics<< 1 2 >>Post Follow-up
stockfetcher
963 posts
msg #102258
8/14/2011 3:35:23 PM

@calhawk01 - Concerning the specific "DOW" data issue you mention we will look into that.

With respect the other "errors" you mention, as we attempted to detail in our multiple emails to you, the issue you are experiencing is very specific to your particular backtest configuration.

In fact, as we tried to point out in our support messages, because of your settings and the fact that StockFetcher does not support intraday data, you will see gains larger than the 1% profit stop you have configured. Specifically, your test used "close 1 day ago" as the entry price, along with 1% as the profit stop. As described previously, StockFetcher does not support intraday data, we have no mechanism for timing the high and low of the entry date, so your entry is made at "open" based on your configured entry price ("close 1 day ago").

Since you have a 1% profit stop, once that entry is made, we check your stop against the *daily/EOD* values. If the open price exceeds that value, the open is used -- again this is due to your custom settings along with the daily-data limitation on StockFetcher; this is not necessarily related to data errors as you claim.

As far as the other issue you mention, as we attempted to explain in our emails, entry variables are based on the date of the "entry trigger". We do not support adding variables based on the actual entry date.

We appreciate your concern about the data and we definitely try to correct actual data errors. However please attempt to understand that StockFetcher backtesting is in no way tailored for the single-day/intraday scenario that your test(s) attempt. We strongly urge you to use a different system that supports intraday data if that is your requirement.

StockFetcher Support


calhawk01
135 posts
msg #102259
Ignore calhawk01
8/14/2011 4:06:56 PM

My holding period setting on backtesting is 1 day, and even for 1 day, i have many errors. I'm not sure for > 1 day HPR. But thats should not matter. Their systems should be able to work for everything. This is insane. For example, If my entry is, "close yesterday" (trigger day close), their system will actually buy it at that price the next day, BUT if the stock had originally gapped up, and then had a sell off toward the yesterday closing price (my entry), after my entry, their system actually sells it at closing price (gapped up price), THATS GOING BACK IN TIME!

calhawk01
135 posts
msg #102260
Ignore calhawk01
modified
8/14/2011 5:03:28 PM

@stockfetcher

So you're saying that since my "Advanced" entry setting says, "close 1 day ago." SF will not be able to enter a limit order at yesterday closing price, and see if it is hit or not? Forget the gain/loss being not correct. How can SF enter at "close one day ago" and not be able to exit properly in the future time. For example:

RVBD
Trigger:7/29/2011
Entry:28.63
Exitdate:8/1/2011
Exit:29.58
HPR: 0

In reality:
-->The stock gaped up on the 8/1/2011 = 29.58. My limit order being at "close one day ago was at, "28.63."
-->SF entered my trade around 10AM, and then sold it at days high that was made at 9:30AM!
------------------------------------

So basically, you're saying the only way to fix this "data" problem is to, not mess with the feature, "ADVANCED" setting in backtesting? Or only use the two supported "Advanced settings", "close", or "open?"


calhawk01
135 posts
msg #102261
Ignore calhawk01
modified
8/14/2011 5:07:43 PM

Wait a minute, "close" doesnt work for advanced setting either. So what does work for this advanced feature // without causing any data problems?

stockfetcher
963 posts
msg #102263
8/14/2011 5:18:06 PM

Unfortunately, we are not sure how we can further explain the issue. StockFetcher does not support intraday data, so we have no knowledge of the sequencing of the high and low price during a trading day.

When you specify "close 1 day ago" or "close" as the entry price, that is simply a price or value that is used for entry. Additionally, this entry is made at the "open" and then your profit stop/loss orders are evaluated based on this entry price.

Furthermore, all of the tests you have instructed us to inspect do not have a 1 day hold. They have no setting for minimum holding day; thus your 1% profit stop is issued on the same date as your entry.

For more "realistic" testing, we would strongly recommend using a 1 day minimum hold as this will force your trade beyond your entry date.

StockFetcher Support


StockFetcher Forums · Filter Exchange · Entry date statistics<< 1 2 >>Post Follow-up

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