Just trying to get my Mean Reversion System (this is my MR#2 that I post in my journal) up and running in RealTest.

To establish that I’ve got it coded/working in RT correctly I’m running a backtest in Amibroker and then trying to get the same results in RT.

In a nutshell, the RT test results are not matching that of Amibroker…. so I’ve probably messed up something within RT… or missed activating a setting possibly. e.g. I believe RT defaults to ‘Unadjusted price/volume”, as I thought it might have been something along those lines.

Amibroker Stats: CAR/MDD 40.89% / -25.34% —- Ending Capital $24.2 million
RealTest Stats: CAR/MDD 34.13% / -31.69 —- Ending Capital $10.8 million

For the guys that are on top of RT….Any tips on troubleshooting you systems in RT? I know it has various debug options but not sure how to proceed from here atm etc…

I feel a little blind without any Chart plotting to cross reference against etc…. e.g. (as far a I know,) RT won’t plot a BUYSETUP / SELLSETUP arrow on the chart (like what we have in our Amibroker AFL template etc), sure you can toggle through the Trade List Charts for a completed trade etc but when you want to just confirm your code is working as expected on the chart for a SETUP bar, it’s a little like flying blind atm. Any suggestions on what worked for you when coding up your System Scripts in RT and double checking etc?

Of the sample of trades that I cross check RT vs Amibroker, the entries and exits appear to be ‘in-sync’ (so far)…. I just appear to be seeing less trades in RT (approx 300 less trades in RT) and a slightly different list of trades when checking RT vs Amibroker etc.

A snapshot of ‘parts’ of my RT code below (any obvious issues that you can see?). Keeping in mind that this is for a multi day Mean Reversion system with no leverage and has a StaleExit if my SellSetup exit doesn’t get hit after X days etc I’m also using an ADX Index Filter on the SPX and my Universe is the Russell1000 (which I think is working OK…..again it’d be nice to ‘APPLY’ an Index Filter RIBBON to the bottom of the chart to double check etc).

(Here is a trimmed down version of my RT Script….I realise it might be a little tricky providing suggestions, without seeing the entire System script, as I’ve omitted some of the more ‘specific details’ of the system etc… but we’ll go with this atm, in case there is something obvious I’ve missed).
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Import:
DataSource: Norgate
IncludeList: .Russell 1000 Current & Past // include all Russ1000 in the test
IncludeList: $SPX // import $SPX symbol if want to use for Index Filter
Constituency: $RUI // Index symbol to check for constituency
StartDate: 1/1/2000
EndDate: Latest
SaveAs: DataRUI1000.rtd

TestSettings:
DataFile: DataRUI1000.rtd // load above ‘file’ to test on
StartDate: 4/1/2005 // earliest date in file
EndDate: Latest // latest date
AccountSize: 100000

Parameters:
//

---

// Position Details
NumPos: from 5 to 20 step 5 def 5

// Price Filter
MinSP: from 1 to 500 step 5 def 20
MaxSP: from 1 to 1000 step 10 def 250

I have various other parameters (similar to what we use in Amibroker for the filters etc) in here that I later refer to under the DATA: section etc

Data:
//

---

// Price Filter
PriceFilter: C >= MinSP and C <= MaxSP
//

---

I have various other data options here, which I ‘think’ are working ok… but would be good to check ‘somehow’ etc

//

---

// Entry Conditions
Conditions: PriceFilter and RSIStockFilter and ADXIndexFilter and InRussell1000 and MA1StockFilter and BarEntryFilter

Template: MeanReversion
MaxPositions: NumPos
MaxSetups: NumPos – S.Positions // This simulates the CBT code in Amibroker – only place how many orders you want filled // could probably just use numpos because positions only last 1 bar
SetupScore: 100 + RadgeRanking // Ranking as per template
Allocation: S.Equity // compounding equity – Use s.startequity for non compounding // marsten reccommends non compouning. Stats like MDD will show % of start equity so it’s easy to see
Quantity: S.Alloc / NumPos / FillPrice // 5% allocation
Commission: Max(1, 0.005 * Shares ) // IB commission

Strategy: MR2_long
Using: MeanReversion
Side: Long
EntrySetup: Conditions // entry as per conditions variable calculated in data section
EntryLimit: BuyLim
// ExitRule: BarsHeld = 0 // exit on entry bar
ExitRule: SellSetup or BarsHeld = StaleExit
// ExitTime: ThisClose // exit at close
ExitTime: NextOpen

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

If I compare an order list RT vs Amibroker on a random day, the StockList and BuyLimit price match up and are the same, which would suggest that my RANK and BUYLIMIT stretch entry seem to be working as expected.

However if I go to the very first trades for the start of the backtest, there are mismatches from the very beginning e.g. AAPL is the first trade in Amibroker however RT doesn’t have it…..

Snapshot of a 2 year backtest comparison highlighting the stats differences:

I’ll keep plugging away to see if I’ve screwed something up elsewhere.