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Hi Thierry Welcome to the group
Just ran your afl on the asx (Australia) data base silly me took a whole 2
mins if that :) ms would be still grinding and thumping away .
below are the results without optimisation I see it uses the Kiss formula
Keep it simple and gets excellent results at a quick glance
Total net profit: 337818.60 Total commissions paid: 0.00
Return on account: 37.12 % Open position gain/loss -29760.92
Buy-and-hold profit: 1122804.18 Bars in test: 162852
Buy-and-hold % return: 123.39% System to Buy-and-Hold index: -69.91%
Max. trade drawdown: -8826.09 System drawdown: -8826.09
Total number of trades: 107 Percent profitable: 51.4%
Number winning trades: 55 Number losing trades: 52
*************************************************
Top 200 asx approx
Total net profit: 24184.47 Total commissions paid: 0.00
Return on account: 34.55 % Open position gain/loss 2235.92
Buy-and-hold profit: 110896.70 Bars in test: 18599
Buy-and-hold % return: 158.42% System to Buy-and-Hold index: -78.19%
Max. trade drawdown: -8670.63 System drawdown: -8670.63
Total number of trades: 9 Percent profitable: 88.9%
Number winning trades: 8 Number losing trades: 1
Regards David
----- Original Message -----
From: "Thierry HUITEL" <hostyle@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, May 21, 2001 7:50 AM
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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