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Very bad Annual Return from Backtester
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Created: by Jacare Attachments:0

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Very bad Annual Return from Backtester

  #1 (permalink)
Trading Apprentice
Munich Germany
 
Futures Experience: Intermediate
Platform: Amibroker
Broker/Data: Plus500, CMC, etx
Favorite Futures: CFD
 
Posts: 10 since Jan 2014
Thanks: 1 given, 2 received

Very bad Annual Return from Backtester

Hi Experts,

I am trying to find a good Amibroker system, where I donít need to trade during the open time. I found the Karma System and when I use the Backtester, it gives me a CAR with 56,72 % (Compounded Annual Return %). The trades settings is Buy/Sell/Short/Cover price OPEN and Buy/Sell/Short/Cover DELAY 0.

In the end-of-the-day, when I check the system, it gives me a new buy or sell position, based on the candle of the day. But it is past; I cannot buy or sell at the same price, because it is past.

Because I will open and close the positions in the next day, I changed the settings to Buy/Sell/Short/Cover price AVERAGE and Buy/Sell/Short/Cover DELAY 1. When I run a new Backtest, the CAR is just 2,66%.

After that, I tested approximately 50 different system with 1 day delay and the biggest CAR was 12,4%!! It is a very low return.

Is that correct? If I want to use a system that gives me an entry signal for the next day, I will have only 12% of Annual Return? I am very demotivated.

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Has someone a better experience or another system with a better Return?

Thanks!

Jacare

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  #2 (permalink)
Membership Temporarily Revoked
Zurich/Switzerland
 
Futures Experience: Advanced
Platform: -
Favorite Futures: -
 
Posts: 79 since Oct 2014
Thanks: 0 given, 33 received

If your trade price is at open but your signal is at bar close of same bar then it is quite obvious that the trade delay has to be greater than zero.

------------------------------------------------------------

Thousands of system to be found online are rubbish no matter what software or language they are applied on. No one will provide his profitable secret to anyone except he/she would be insane. You have to go the long route of development yourself. If it would be easy like picking a candy in a box then every market participant would be millionaire in a short time. But reality is that you have not entered a candy shop.

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  #3 (permalink)
Trading Apprentice
Munich Germany
 
Futures Experience: Intermediate
Platform: Amibroker
Broker/Data: Plus500, CMC, etx
Favorite Futures: CFD
 
Posts: 10 since Jan 2014
Thanks: 1 given, 2 received


Hi prouser,

sorry if I was not clear. You don't need to tell me that, because I trade since 1995 and I know that there is no free beer. What I notice, is that a lot of systems gives you entry points based on the current day (that is already done). When I change the settings to 1 day of delay, the CAR drops significantly. That was my point and want to know the experience from others Amibroker's user.

Cheers,

jacare

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  #4 (permalink)
Membership Temporarily Revoked
Zurich/Switzerland
 
Futures Experience: Advanced
Platform: -
Favorite Futures: -
 
Posts: 79 since Oct 2014
Thanks: 0 given, 33 received

I don't know your systems. In fact no one knows your systems. I don't know what you wanna hear. If your systems are crap and already fail in backtests then it doesn't mean that all systems out there are crap too.

As for delay, again if your systems use trade prices at bar open but indicator values of same bar are calculated at close then it is simply wrong to set trade delay to zero. If trade price is set to close but trade delay is still zero then it is not wrong but less realistic.

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