[R-SIG-Finance] Fundamental question about backtesting in quantstrat
michael.weylandt at gmail.com
Fri Dec 28 05:28:56 CET 2012
On Dec 28, 2012, at 5:17 AM, "Robert A'gata" <rhelpacc at gmail.com> wrote:
> I would like to confirm my intuition about backtesting. My strategy is a
> simple moving average crossing over (something similar). I open a long
> position of 1 unit if fast line crosses above the slow one and vice versa.
> After seeing my equity curve being almost straight down, I decided to flip
> the rule such that I short 1 unit when fast line crosses above and vice
> versa. To my surprise, I do not seem to get a flip of pnl back. I got even
> worse pnl profile. This is puzzling for me.
> My rules use market order to execute all orders. One might argue that it
> could be due to asymmetry in bid/ask when momentum is in place that causes
> this. However, I have more than ten thousands of transactions. I do not
> think bid/ask spread should be a dominant effect here. Any thought would be
> appreciated. Thank you.
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