Share your amibroker experience

[skanker]

What was the most net profit that you netted when you backtested your trading system (without the use of future-looking formulas, ie, pivot points)?

 

[skanker]

The reason I am asking is because I want to know how difficult it is to create a system that backtests well but performs poorly in actuality. I created a system that profits almost $1 billion US dollars if I had traded with it for the past 10 years starting out with only $50,000 US dollars. This is an EOD system that buys at the next day's open price.

 

[colion]

The reason I am asking is because I want to know how difficult it is to create a system that backtests well but performs poorly in actuality. I created a system that profits almost $1 billion US dollars if I had traded with it for the past 10 years starting out with only $50,000 US dollars. This is an EOD system that buys at the next day's open price.

That's very easy to do. Some of the things to look out for are

1 - ensure that your code is not looking into the future (use code check in editor)

2 - be sure to backtest with both in-system and out-of-system data

3 - be sure that your backtest uses data for the type of market you want to trade (i.e., bullish, bearish, flat, a combination of all, etc.).

Be sure to read the portions of the Users Guide regarding backtesting and there are some good articles and books (e.g., Pardo's book) available as well.

 

[skanker]

Colion,

Can you be more specific with each step (more specifcally, related to one and two)?

 

[colion]

Colion,

Can you be more specific with each step (more specifcally, related to one and two)?

For 1, run the Code Check in the editor under Tools which will tell you among other things whether your code looks into the future.

For 2, this is to involved to explain in a line or two. So, as noted before, read the Users Guide regarding backtesting, including walk forward testing. The walk forward section is at http://www.amibroker.com/guide/h_walkforward.html and other backtesting tutorials are in the same area or download the Users Guide and you will find all that AmiBroker provides with respect to backtesting. Additional information is available from books such as Pardo's and articles. Googling will uncover many resources.

 

[skanker]

This was very helpful. Thank you. I was using future references.

 

[Birdseye]

Helpfull indeed ! Never had a look ad code check