Backtest is fragmentary (no position sizing defined)


#1

Hello,

I'm new to amibroker.

So I thought it's appropriate to start with an easy MA-crossover system:

FastMA = EMA(C, 25);
SlowMA = EMA(C, 35);
Buy = Cross (FastMA, SlowMA);
Sell = Cross (SlowMA, FastMA);

For backtesting I imported 1Minute Data from Tickstory.(Symbol: DAX30)

I backtested for the last 3 years and the periodicity of 15 Minutes, and then had to found that there are gaps of up to seven month, what shouldn't be possible with these high frequently crossing MA's and that timframe.

chart

Any explanation for this?


#2

Your position sizing (or rather lack of it) is the culprit. You need to define position sizing http://www.amibroker.com/guide/h_portfolio.html or at least turn ON "allow position shrinking" without that you are attempting to open 100% size position but it does not get open because, for example, you've got not enough cash to cover commission. With position shrinking turned on, the position would be shrunk for the amount of commission required to open it.


#3

Thank you for your advice!