StockFetcher Forums · General Discussion · Is it me?<< 1 2 >>Post Follow-up
joepistell
30 posts
msg #119106
Ignore joepistell
modified
4/14/2014 5:38:54 PM

SF,
I see random problems with the backtest results.

I ran a 2yr 13 ma crossover and Backtester only hit once?

Test is titled: EMA xo Fibma13 hot market

Fetcher[
symlist(spy)
set{fib2, CMA(close,2)}
set{fib3, CMA(fib2,3)}
set{fib5, CMA(fib3,5)}
set{fib8, CMA(fib5,8)}
set{fib13, CMA(fib8,13)}
and ema(13) crossed above fib13
]



I annotated the XO's FYI


joepistell
30 posts
msg #119107
Ignore joepistell
4/14/2014 6:04:59 PM

and here's the 34ma crossover making errors.

Backtesting exits are wrong and it missed an entry



BackTest name: 34SPY EMAxFib34 uptrend mkt $100k 3% stops (13xofib21)


stockfetcher
963 posts
msg #119108
4/14/2014 6:16:20 PM

According to your backtest configuration: "EMA xo Fibma13 hot market", you have a starting balance of $100,000 and a trade size of $100,000. Your first trade is a net loss, combine that with the setting of "Allow Negative Balance" set to "No", you are unable to make additional trades.

StockFetcher Support


joepistell
30 posts
msg #119111
Ignore joepistell
4/15/2014 8:31:20 AM

Changed the setting, that's better. TY.

I am puzzled. If I understand your description, the system stops trading if losses go below the account's starting amount? That doesn't make sense, I have plenty of systems that show a loss ;-). How is it that this is different?



joepistell
30 posts
msg #119112
Ignore joepistell
4/15/2014 8:39:36 AM

I believe the phrase "Negative Balances" is labeled incorrectly?

"A negative cash balance appears on the balance sheet when the cash account in the general ledger has a credit balance."
http://www.accountingcoach.com/blog/negative-cash-balance

ooo! It just hit me!

If my trade amount is 100% of my opening balance (i.e. $100k), I assumed the system would adjust to what ever the max dollar value would be. Ahh... got it.

I am doing a study on ETF trading vs "buy and hold". Any suggestions how to trade the max $dollar value?



stockfetcher
963 posts
msg #119113
4/15/2014 8:39:45 AM

As indicated above, in that test, you had your starting balance configured at $100,000 and the trade size at $100,000. Additionally you configured your test to not allow a negative balance.

Based on your configuration, you can only have a single position initially. If that position results in a loss, you are unable to initiate any more positions, based on your settings, as it would drop you to a negative balance.

StockFetcher Support




Kevin_in_GA
4,553 posts
msg #119114
Ignore Kevin_in_GA
4/15/2014 8:40:05 AM

Because you have set the minimum trade size to be larger than your account balance (once the loss is accounted for). Since there is no way for the account to grow without trading, and you have set a minimum trade size larger than your current equity, it cannot enter any more trades.

joepistell
30 posts
msg #119115
Ignore joepistell
4/15/2014 8:42:07 AM

IDEA: Trade size = % of account value
This will bring compounding into performance measurements.



stockfetcher
963 posts
msg #119116
4/15/2014 8:53:29 AM

That is the default option as it is dictated by your "Max Positions".



StockFetcher Support


joepistell
30 posts
msg #119117
Ignore joepistell
4/15/2014 9:27:33 AM

DOH!

Awesome!! TY

StockFetcher Forums · General Discussion · Is it me?<< 1 2 >>Post Follow-up

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