Trading Strategy Backtesting - Questions for the learned

[kamlesh.nariani]

Hi TJ Members,
I have come across some threads on this website that talk about trading systems, however i had a few questions about how do you backtest them.
I am listing those down, if anyone could take time out and share their thoughts/answers.

1. What are the steps to backtesting?
2. How much backtesting is required, mean for how many years in the past and for across how many stocks?

Appreciate everyone's inputs.:thumb:

Regards
Kamlesh

 

[razx5]

Hi TJ Members,
I have come across some threads on this website that talk about trading systems, however i had a few questions about how do you backtest them.
I am listing those down, if anyone could take time out and share their thoughts/answers.

1. What are the steps to backtesting?
2. How much backtesting is required, mean for how many years in the past and for across how many stocks?

Appreciate everyone's inputs.:thumb:

Regards
Kamlesh

if u have amibroker and have the afl for the particular strategy then u can backtest...atleast for 6 mnths u have to backtest

 

[kamlesh.nariani]

Thanks Raz,
My strategy involves identifying a channel formation, hence will have to do it manually.
Any idea what are the precautions to be taken while backtesting such a strategy??
Also would backtesting it only on NIFTY give the accurate results or should i test it across multiple stocks across sectors?

 

[techdr]

hi
Back testing involves deciding stategy (objective strategy only)
Deciding amount various filters and doing back testing across various time frames and checking for accumulated profits/loss
Study should involove

otal Trades 19
Long Trades 9
Short Trades 10
Total Profitable Trades 10
Total Loss Trades 9
Total Profit 3708.02
Profit % 3.71
Average Profit 195.16
Avg Profit % 0.20
Max Commulative Profit 3794.29
Max Cummulative Profit % 3.79
Max Cummulative Loss (110.81)
Max Cummulative Loss % (0.11)
Capture Efficiency 35.02
Total Transaction Cost

ETC numbers are arbitrarily picked up to give u a fair idea
Also have a summary
ong Position Amount: 100000.00
Short Position Amount: 100000.00
Start Bar: -2000
End Bar: 0
Maximum Holding Bars: 100
Profit Calculation Line: HighLine
Loss Calculation Line: LowLine
Round To Nearest Qty?: No
Round To : -
Add Profit/Loss For Position Size: No
Long Signal: SigCrossOver(AdptAvg(CloseLine,10,2,30),ChandeVidya(CloseLine,9,20),0.01)_SigCrossOver_Buy
Short Signal: SigCrossOver(AdptAvg(CloseLine,10,2,30),ChandeVidya(CloseLine,9,20),0.01)_SigCrossOver_Sell
Price Line: OpenLine
Delay: 1
Slippage%: 0.05
StopType:
Volatility Bars: 14
Entry Stop: 0.5
Trail Trigger: 0
Trail Stop: 0.5
Profit Target: 1
ProfitType: