XTO (ASX) Systems

Originally posted by sci9249: ↑

afternoon guys. hope your enjoying the blinding heat.

So @wilfran1pm id like to ask you a reasonably long question for comparison purposes.

Now for anyone reading this, i have not tested the following system im just plucking it out of the air for my question although im happy to test it if anyone wants me to.

How long would it take for you to set up the following system to the point where you could backtest it in amibroker and see CROR, drawdown, winrate etc etc etc.

*vectorvest has some proprietory indicators and i dont know exactly whats in them but ill try use the laymens equivalent.

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starting portfolio size: $10000
positions: 10

stock search/selection criteria:
asx 200 stocks
EMA crossover 12day cross 26 day
average daily volume > 50day MA volume
ranking: descending by dividend yield

market timing:
when XJO is >200 day MA always maintain the 10 positions:
when XJO is <200day MA move to cash

system parameters:
invest average portfolio value (example 10000/10 = $1000 to start with)
maintain the 10 positions by automatically replacing closed positions the next day
open a maximum of 2 positions per day
account for brokerage
stop criteria: take profit at 10% gain at EOD price from buy price
stop loss: 5% from buy price at EOD prices
dont buy the same stock for 20 days after closing the trade
purchase maximum 25% of the stocks daily average volume
limit 3 stocks per industry

test period: 1/1/08 - 16/1/19

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Sorry Sci for taking so long to get back to you but the “2 positions per day” requirement is something I hadn’t considered previously. So I did a google search and sure enough someone had solved the problem and posted a solution on the AFL Forum. They used a “SetCustomeBacktestProc” procedure, something I am just learning about. Anyway my reply to your post follows:

So Sci I hope this isn’t some sort of system challenge, i.e. VV vs Amibroker. Although that wouldn’t bother me that much. Using the system you are familiar with and in which you can accurately model the execution of real trades, and knowing that your simulations/backtests are accurate is more important than the time it takes to set up a test.

In Amibroker you can set up a backtest simply by using the Backtester Options User Screens, or you can do it all in code using “SetOption” functions which is my preferred way of doing things.

Now back to your question. The basic system, i.e. the rules that specify the Buy and Sell signals and incorporates the XJO market timing rules wouldn’t take that long. I don’t have access to FA data like “dividend yield” hence I’d need a different ranking criteria/function. I had a quick look at the Amibroker Help manual and they provide code for a long/short MA crossover system but it includes optimization functions that determine the optimum position quantity, i.e. it tests for the maximum number of stocks in the portfolio from 1 to 20 in increments of 1. So it would be a little bit more work than a copy and paste in order to simplify the test code.

In the system parameters requirements I know that Amibroker can handle all except for the following:
-         The 2 positions per day requirement. Although it could be handled in code.
-         Don’t buy the same stock for 20 days. Once again could be handled in code.
-         Limit 3 stocks per industry. FA info that Amibroker can use but I don’t have.

With the test period, my data goes back to 2007 but it isn’t “Historically” accurate. I forget the official term for this, is it survivorship bias, but basically if a stock has been delisted in the time period from the start of my data then it is no longer in the database.

I just viewed your most recent posts. Yes VV is pretty good at this type of backtest. I’m impressed that you can now include MA crossover signals in the tests. That’s something that wasn’t available to me when I had a VV subscription. What other TA Indicators do they support these days? Can you develop and code your own indicators in VV now? An email that you can contact me on is [email protected].

Cheers
Wilf