Sunday, October 16, 2005

Backtest Question

Hey Chris,
I've been working with the Backtest module you created - man alive - that technique of scaling in if the trade pulls back against you is a real lifesaver!  Looking forward to doing a lot more testing with it.
But, before I do, I need to make sure I'm using the thing correctly.  And I'm having a heck of a time duplicating the results you posted Oct. 11 in your "Scale In" post on your blog.  I swear I've got the same settings that you do, but as you can see from the attached screen shot my results aren't the same.  Not even close.  What am I doing wrong?
Thanks in advance, and again, thanks for this nice little tool.
Phil Davis
you are doing nothing wrong. And today I get the same results as you got. The reason being, that I changed the way Minute files are processed.
While in the first versions of the Backtest Module I had it going from Open to High to Low to Close (if the Open was above the Close  and vice versa if the Open was lower than the Close),
I now take the more "cynical" or conservative approach, that the market always tries to shake you out first:
So IF you are in a Long the bar is going from Open to Low to High to Close,
if Short it's Open to High to Low to Close. And that had the effect, that you get a lot more conservative result than earlier, as
  • you are stopped more often and
  • your targets are not reached as often before being stopped.
As I can't know, how the market really traded, when looking at a minute bar, I think this more conservative approach is a better way to backtest with minute bars.