|
PureBytes Links
Trading Reference Links
|
Hello! I'm Thierry HUITEL, (from France, sorry for the mistakes in my
text). I joined your community a few days ago, because I got
amibroker. What strikes me is the quality of the posts here. Tomasz
Janeczko, David Holzgrefe and many others share their knowledge and
that is great.
I'm used to metastock, but what I find great with amibroker is the
very fast automatic analysis.
With such a tool, such minds and cooperation, I thing it's possible
to build a very efficient trading system, if you're interrested.
To begin the debate, I would like to give you my thoughts:
1. Common trading systems are often disconnected from the global
index (^IXIC and so on), that's wrong.
2. the real trading costs and delays must be taken into account. (I
mean, not a trade every 2 hours)
3. It's not useful to look for a system that finds every buy and sell
opportunity for every stock, because a powerful tool like amibroker
can quickly scan the whole nasdaq.
4. IMHO, the first and best thing to find is an ultimate buy trigger,
the one that is a conjunction of several bullish signs that confirm
each other.
for instance that formula rejects a lot of stocks, but is efficient
more than 70% of the time:
monrsi = rsi( 14 );
un = cross( monrsi, 30 ) AND (EMA( ROC( MA( C, 22 ), 250 ), 150 ) /
100) < 0;
deux = cross( macd(), signal() );
buy = un AND deux ;
sell = Cross(70,RSI(14)) AND Cross (ma(close, 14),
close);_______________________________________________________________
________
Overall performance summary
Total net profit: 53508.33 Total commissions paid: 960.00
Return on account: 184.51 % Open position gain/loss 2736.42
Buy-and-hold profit: 33347.47 Bars in test: 41413
Buy-and-hold % return: 114.99% System to Buy-and-Hold index: 60.46%
Max. trade drawdown: -991.68 System drawdown: -991.68
Total number of trades: 30 Percent profitable: 73.3%
Number winning trades: 22 Number losing trades: 8
Profit of winners: 54981.51 Loss of losers: -3249.60
Total # of bars in winners: 6916 Total # of bars in losers: 2830
Commissions paid in winners: 704.00 Commissions paid in losers:
256.00
Largest winning trade: 21500.00 Largest losing trade: -978.67
# of bars in largest winner: 347 # bars in largest loser: 258
Commission paid in largest winner: 32.00 Commission paid in largest
loser: 32.00
Average winning trade: 2499.16 Average losing trade: -406.20
Avg. # of bars in winners: 314.4 Avg. # bars in losers: 353.8
Avg. commission paid in winner: 32.00 Avg. commission paid in
loser: 32.00
Max consec. winners: 1 Max consec. losers: 0
Ratio avg win/avg loss: 6.15 Avg. trade (win & loss): 1724.40
Profit factor: 16.92
________________________________________________________________
So, my friend, I'm looking forward to reading your comments, your
ideas :-) See you soon,
THierry
|