Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA  User Profile | I've tried to emphasize the importance of LOOKING AT THE CHARTS. Do simple counting exercises. Look at them from the right, left, top, bottom, green vs red, and so forth. ONCE that is done, and you've obtained a visual-feel for things, THEN it can be useful, especially in cases like this one where there is no clear answer (between Slow and Fast versions) immediately obvious ... to look at the BackTest reports. Simple instructions: 1. Don't use PortSim for this ... its extra features don't apply yet 2. Set a fixed backtest period that matches your eyeball reviews 3. Use the same Focus List as your eyeball reviews 4. Test one strategy at a time and save the Results (delete fwd test info) 5. Compare simple stat's first, then drill deeper The three snapshots below are the Summary Performance+Detail Reports for each of the three Reversal systems that you last checked ... which clearly had enough trades in the 12mo period to be meaningful statistically for simple conclusions. These reports can seem overwhelming due to their very "busy" nature ... it's a useful format, but you have to sort of "dissect" it the first couple of times you look at it so that you don't get cross-eyed. So, first off ... I set up the backtest period (using ToDo > Test Settings) to be a FIXED period of 7/1/09 through 7/13/10 ... the same as my eyeball. The fwd test, for these purposes, is not necessary since we are not optimizing or tweaking anything. This allowed me to CHOP OFF the RIGHT HALF of each of the two reports ... simplifying them. Ahhhhhhh! :~) Then, I highlighted the THREE MOST USEFUL NUMBERS (imho) in purple, blue and green. NOTICE how those numbers are REPEATED, over and over, in each pair of reports. Finally, I highlighted three more rows of numbers on the Detail report (in red) that I consider reasonably valuable at this stage in the game. Most of the other non-highlighted numbers, FOR THESE PURPOSES, are either redundant or effectively meaningless (for a variety of reasons). They all do have merit in other circumstances, however. So ... spend some time with these reports. COMPARE THE NUMBERS - just the highlighted ones. Look back at the statistics you compiled regarding how the two Filt strats "matched up" with the DDE strat. NOW ... can you draw any useful conclusions? [Edited by Jim Dean on 7/14/2010 12:08 AM]  Attached file : DualEMArev-2in1 DJ30,12mo.png (226KB - 934 downloads) Attached file : DualEMArev-FiltFast DJ30,12mo.png (227KB - 831 downloads) Attached file : DualEMArev-FiltSlow DJ30,12mo.png (224KB - 917 downloads) |
