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Hi Thierry & David-
David's results show the same thing that I seem to see with anything I try - a
performance that evaluates to be significantly poorer than buy and hold. If
this is indeed true, we seem to have a problem.
Obviously this result is partially a function of the stocks in the data base
and the time period covered, but I would still expect intelligent systems to
beat the sox off buy and hold in any market over any time period.
What am I missing here?
Regards to all,
-Tom McDaniel
David Holzgrefe wrote:
> 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/
> >
> >
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
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