淺談Metastock回測分析系統的不足(一)

回測(Backtest)是一個十分重要的程式交易的部分. 正如上陣打仗不會派未有受過演習訓練的士兵, 這看來好像是天經地義的事, 然而很多技術圖表投機者僅靠一些紙上談兵, 老生常談的指標, 加上幾張看似符合走勢的股票期貨走勢圖就以為執到寶. 這也是為什麼有那麼多人花了那麼多錢去學什麼技術分析到頭來一無是處.

正因為那麼多人道聽塗說, 所以前幾年有人出了本"Evidence based Technical Analysis" , 對如何評估技術指標提出了比較實是求是的科學方法. 可惜這些東東還沒在這裡坊間流行起來. 媒體上還是充斥一班說得天花亂墮的財經推銷員

要知道Backtest的重要, Metastock 專家David Jenyns 在他的網頁中提出頗為精要的見解
Dr. Van Tharp in "Trade Your Way To Financial Freedom" describes the 3 components of successful trading to be: the system, money management & your psychology. The only way I know to improve all 3 components is through backtesting.



1. The System: Backtesting allows you to find out if and how profitable your system truly is, even before you risk a cent. You can also test different variables to identify the most profitable combinations.

2. Money Managment: Backtesting allows you to discover which money management model works best for your system, further demonstrating the importance of having these rules in place.

3. Psychology: Backtesting is guaranteed to increase the confidence you have in your own system. Not only will you prove you're trading a winning system (making it easier to follow) but you'll have the metrics to back it up.

簡單的道出回測跟系統盈利, 資金管理, 以及心理素質的影響.

回測分析涉及很多統計學上的知識, 從資料質量, 樣本包含/剔除(in-sample / out-sample), 可信度, 真實度, ... 等等都有, 在以後的文章將陸續探討 , 也會道出Metastock 在回測上的不足之處以及補救之道(這是連本地Metastock分銷商都不知道的東東... 賣的人也不見得知道自己賣的東東是什麼..)