Fundamental question about backtesting in quantstrat
On Dec 28, 2012, at 5:17 AM, "Robert A'gata" <rhelpacc at gmail.com> wrote:
Hi, 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.
Transaction costs? M
Robert [[alternative HTML version deleted]]
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