StockFetcher Forums · Backtesting Support · Backtester Returns Wrong Results<< >>Post Follow-up
diconoclastx
2 posts
msg #50903
Ignore diconoclastx
4/6/2007 5:13:07 PM

When I specify the backtester to return "close 1 day ago" as the exit price, it sometimes ignores this and uses "open" instead as the exit price. Look at this example from one of my backtests. For the ticker YTBL on 2/08/2007, my backtest says to buy at the open and sell at the close the same day. On that day, YTBL opened at 17.31 and closed at 9.75. These are the numbers I expect to show up on the backtest. Instead, the backtest got the open right at 17.31 but the close wrong. It used the next day's open "8.01" as the exit price. While this used the wrong exit price, take a look at the 2nd example in the same backtest when sorted by Gain/Loss: EVCC. The backtest got the entry and exit prices correct for EVCC. So in some instances the backtest uses the next day's open instead of the close, but in others it uses the correct closing price. If StockFetcher support needs more info to investigate into this matter, I'd gladly email my filter and backtest pages.

Symbol Trigger Date Entry Price Exit Date Exit Price Draw Down Max Profit Gain/
Loss 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Exit Type
YTBL 02/06/2007 17.31 02/08/2007 8.01 -43.79% 6.87% -53.73% -59.10% -39.28% -54.65% -56.09% -71.92% BUY-HOLD
EVCC 01/26/2007 5.47 01/30/2007 3.52 -36.01% 41.50% -35.74% -23.58% -8.41% -36.93% -40.04% -59.78% BUY-HOLD


Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1

Advanced Options
Selection Method: select by Average True Range Percent(20) descending
Entry Price: open
Conditional Entry: No
Exit Price: close 1 day ago
Maximum Trades Per Day: 5
Maximum Open Positions: 250

traderblues
195 posts
msg #50909
Ignore traderblues
4/6/2007 10:26:27 PM

I don't know about the backtester issues you are experiencing, but these two stocks both look like good buy candidates here. Thanks for the heads-up!

StockFetcher Forums · Backtesting Support · Backtester Returns Wrong Results<< >>Post Follow-up

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