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Hi Thierry,
Thank you for your e-mail and the formula you have sent.
As for ultimate trading system I am afraid that you will
not find the system that fits all people, all exchanges and
working all the time.
My biggest concern is that everyone has different risk tolerance
and drawdowns acceptable by one person are completely
not acceptable by another.
Choosing the system needs individual approach.
But... it is a great idea to exchange thoughts, developments
and system ideas so everyone can tune them into his/her
own trading style. So thanks again for sharing.
BTW: the idea of a separate forum for AFL is still alive.
Will come back to this issue after launching v3.6 (with improved
docs)
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "Thierry HUITEL" <hostyle@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, May 20, 2001 11:50 PM
Subject: [amibroker] Brainstorm for an ultimate trading system
> 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
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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