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buggalug
It's good to see some code posted. I ran it on the All Ords stocks rather than the ASX300.

Just a few things to consider;

1. It would be good to set delay on the entry / exit using;
SetTradeDelays( 1, 1, 1, 1 ); /* delay entry/exit by one bar */

2. What is the trade price you use, the open, the average or random for the day?

3. Setting position sizing to 10% of capital might mean that you are better off using % brokerage instead of fixed $30 brokerage, depending on your broker, otherwise brokerage costs could end up too low as the simulation progresses.

4. Using bang for buck in the positionscore could give you results that are unrealistic. Possibly use Gp's approach to Monte Carlo (ie randomly ignore some trades) to get around this.

5. I also look at how the system handles larger amounts of money than $100,000 just because that is where we want to eventually be! Many systems cannot handle larger amounts of money very well due to liquidity issues and performance degrades. Check out how it goes with $1 million & $5 million.

6. check what limit trade size as a % of entry bar volume is set at. I wouldn't go above 10% of entry bar volume, and probably less.

7. I am not sure what price the ApplyStop is working on.

8. You mentioned that your data "isn't the best". You can waste a lot of time working with crappy data.

CAR results look ok, although the % system drawdown is something that I could not live with going forward. I would also like to see the win rate higher. But these are my main criteria. The open equity curve is a little tough, especially through 2002/2003 - it would be better if the system stepped aside through some of this period.

Sorry for the length of a post but when it comes to system testing there are a lot of things to consider. I haven't even scratched the surface. You can spend hours running opts only to find that something is set wrong, or the basic starting point is all wrong.

Howard's book looks like it addresses a lot of system design issues, and from his posts above he knows what he is talking about - but I haven't read it yet. But I will when I get time.

regards

<blockquote data-quote="stevo" data-source="post: 197020" data-attributes="member: 2970">buggalugIt&#039;s good to see some code posted. I ran it on the All Ords stocks rather than the ASX300.Just a few things to consider;1. It would be good to set delay on the entry / exit using;SetTradeDelays( 1, 1, 1, 1 ); /* delay entry/exit by one bar */2. What is the trade price you use, the open, the average or random for the day?3. Setting position sizing to 10% of capital might mean that you are better off using % brokerage instead of fixed $30 brokerage, depending on your broker, otherwise brokerage costs could end up too low as the simulation progresses.4. Using bang for buck in the positionscore could give you results that are unrealistic. Possibly use Gp&#039;s approach to Monte Carlo (ie randomly ignore some trades) to get around this.5. I also look at how the system handles larger amounts of money than $100,000 just because that is where we want to eventually be! Many systems cannot handle larger amounts of money very well due to liquidity issues and performance degrades. Check out how it goes with $1 million &amp; $5 million.6. check what limit trade size as a % of entry bar volume is set at. I wouldn&#039;t go above 10% of entry bar volume, and probably less.7. I am not sure what price the ApplyStop is working on.8. You mentioned that your data &quot;isn&#039;t the best&quot;. You can waste a lot of time working with crappy data.CAR results look ok, although the % system drawdown is something that I could not live with going forward. I would also like to see the win rate higher. But these are my main criteria. The open equity curve is a little tough, especially through 2002/2003 - it would be better if the system stepped aside through some of this period.Sorry for the length of a post but when it comes to system testing there are a lot of things to consider. I haven&#039;t even scratched the surface. You can spend hours running opts only to find that something is set wrong, or the basic starting point is all wrong. Howard&#039;s book looks like it addresses a lot of system design issues, and from his posts above he knows what he is talking about - but I haven&#039;t read it yet. But I will when I get time.regards</blockquote>

[QUOTE="stevo, post: 197020, member: 2970"] buggalug It's good to see some code posted. I ran it on the All Ords stocks rather than the ASX300. Just a few things to consider; 1. It would be good to set delay on the entry / exit using; SetTradeDelays( 1, 1, 1, 1 ); /* delay entry/exit by one bar */ 2. What is the trade price you use, the open, the average or random for the day? 3. Setting position sizing to 10% of capital might mean that you are better off using % brokerage instead of fixed $30 brokerage, depending on your broker, otherwise brokerage costs could end up too low as the simulation progresses. 4. Using bang for buck in the positionscore could give you results that are unrealistic. Possibly use Gp's approach to Monte Carlo (ie randomly ignore some trades) to get around this. 5. I also look at how the system handles larger amounts of money than $100,000 just because that is where we want to eventually be! Many systems cannot handle larger amounts of money very well due to liquidity issues and performance degrades. Check out how it goes with $1 million & $5 million. 6. check what limit trade size as a % of entry bar volume is set at. I wouldn't go above 10% of entry bar volume, and probably less. 7. I am not sure what price the ApplyStop is working on. 8. You mentioned that your data "isn't the best". You can waste a lot of time working with crappy data. CAR results look ok, although the % system drawdown is something that I could not live with going forward. I would also like to see the win rate higher. But these are my main criteria. The open equity curve is a little tough, especially through 2002/2003 - it would be better if the system stepped aside through some of this period. Sorry for the length of a post but when it comes to system testing there are a lot of things to consider. I haven't even scratched the surface. You can spend hours running opts only to find that something is set wrong, or the basic starting point is all wrong. Howard's book looks like it addresses a lot of system design issues, and from his posts above he knows what he is talking about - but I haven't read it yet. But I will when I get time. regards [/QUOTE]

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