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Hi David,
The results page for the South African ALSI40 based on the past 2years.
Overall performance summary
Total net profit: 29664.91 Total commissions paid: 0.00
Return on account: 10.59 % Open position gain/loss -6721.55
Buy-and-hold profit: 55660.79 Bars in test: 12136
Buy-and-hold % return: 19.88% System to Buy-and-Hold index: -46.70%
Max. trade drawdown: -9904.90 System drawdown: -9904.90
Total number of trades: 32 Percent profitable: 81.3%
Number winning trades: 26 Number losing trades: 6
Profit of winners: 60473.26 Loss of losers: -24086.80
Total # of bars in winners: 3653 Total # of bars in losers: 1274
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 5564.68 Largest losing trade: -7803.92
# of bars in largest winner: 86 # bars in largest loser: 283
Commission paid in largest winner: 0.00 Commission paid in largest loser:
0.00
Average winning trade: 2325.89 Average losing trade: -4014.47
Avg. # of bars in winners: 140.5 Avg. # bars in losers: 212.3
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 2 Max consec. losers: 0
Ratio avg win/avg loss: 0.58 Avg. trade (win & loss): 1137.08
Profit factor: 2.51
Regards.
Jaco Jonker
----- Original Message -----
From: "David Holzgrefe" <dtholz@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, July 06, 2001 9:43 AM
Subject: Re: [amibroker] Re: winning system ?
> Thanks Dimitris , trader and others who had a quick look at that simple
but
> effective system ..
>
> As I stated it was for a long term trader ( not my type of trade )
>
> As I'm sure most of you would have heard or read a million times
> the entry to a trade is only 10 % of a system, the flip of a coin can
yield
> just a good results ..
>
> Money management , risk and position sizing and exit timing are where the
> money is made
>
> But it was good to read other ppls idea's and observations
>
> Regards David
>
> ----- Original Message -----
> From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, July 06, 2001 5:16 AM
> Subject: [amibroker] Re: winning system ?
>
>
> > Dear Trader,
> > Let me please express some thoughts for your reference.
> > Divergences never promised entry and exit points.
> > Their role is to consult about future possible movements or
> > to complement other signals. Of course you may miss an
> > entry, when you follow stochd()<=30 and the day of divergence
> > AAPL has stochd()=30.01.
> > Here is exactly the interesting point with Positive Divergence Issues
> > (PDI). You may miss AAPL,but if the same day 50 stocks of the group
> > that AAPL belongs to,diverged their stochd() and the group counts 60
> > stocks, then you have some indication that this group may follow an
> > uptrend the next days.
> > Something, not coincidental, forces the 80% of this group to present
> > a stochastic divergence.
> > Look a few days before. If the 85% was stochastic oversold (stochdOSI
> > got maximum values) and (above all) if YOU consider stochastic
> > divergence as a reliable criterion, then you may pay attention to
> > this group, NO MATTER IF AAPL MISSED THE CONDITION FOR 0.01/100.
> > This is the purpose of Breath Indicators in general. To consult that
> > something is "moving" in the market.
> >
> > Dimitris Tsokakis
> >
> > --- In amibroker@xxxx, traders10@xxxx wrote:
> > > --- In amibroker@xxxx, "David Holzgrefe" <dtholz@xxxx> wrote:
> > > > Maybe a few other could run it on there indexes to see if
> > performs
> > > the same ?
> > > >
> > > > an give me some feed back as the results seem a little to good ..
> > > >
> > > >
> > > > Thanks David
> > > >
> > > > prevclose = ref( close, -1);
> > > > signl = iif( close > prevclose , 1, 0 );
> > > >
> > > > BUY = CROSS(bbandbot(close, 15, 2),close) AND RSI(14) < 35 AND
> > > signl = 1;
> > > >
> > > > SELL = CROSS(bbandtop(close, 15, 2),close) AND RSI(14) > 70;
> > >
> > > > an give me some feed back as the results seem a little to good ..
> > > >
> > > >
> > > > Thanks David
> > > >
> > > > prevclose = ref( close, -1);
> > > > signl = iif( close > prevclose , 1, 0 );
> > > >
> > > > BUY = CROSS(bbandbot(close, 15, 2),close) AND RSI(14) < 35 AND
> > > signl = 1;
> > > >
> > > > SELL = CROSS(bbandtop(close, 15, 2),close) AND RSI(14) > 70;
> > >
> > > The major problem with this simple system is the huge drawdowns
> > > between those "winning" trades. Look at the last few months for
> > > AAPL, Apple Computer.
> > > The system did its last buy in late May 2000 at ~45, the stock then
> > > went to 14 in Dec 2000 before rallying. No one should or could
> > live
> > > with a drawdown like that....
> > >
> > > The problem is one that is commonly seen in a simple indicator
> > based
> > > system. You get the initial trade entry and then the exit
> > conditions
> > > are not satisfied for months or years. Meanwhile the price goes
> > > wrong and you are still in the stock. Sure it backtests "well"
> > with
> > > nice profits and a hit rate in the 70-90% area, but it is a bad
> > > system.
> > >
> > > The thing that most back tests is not telling you is the maximum
> > > drawdown (maximum adverse excursion) during the trade. Usually you
> > > are provided data that lists the drawdown from the entry point.
> > > While this is a useful number in its own right it can mislead you
> > > drasticaly.
> > >
> > > In the AAPL example, price got up to the 63 and change area. If
> > you
> > > had bought at the 45 price and exited at 55-60 you would have had a
> > > nice trade. However, once the price got to 63 it went to 14.
> > > Maximum drawdown for this trade was 63-14 = 49, really ugly....
> > >
> > > With this system there is no assurance the price will exceed the
> > > upper BB with an RSI above 70. Now that may be a good exit point
> > but
> > > it may never be reached. So, the system needs to have other exits
> > > added to it until you are guaranteed there will be a timely exit
> > that
> > > controls the max drawdown.
> > >
> > > As an aside, I have not looked at the work done recently by
> > Dimitris
> > > but I suspect the same problems may be there as well. Several
> > years
> > > ago I did a lot of work with divergences. They can provide really
> > > nice entries, but will miss some entries because there may not be a
> > > divergence. Even worse, they will miss exits because the
> > divergence
> > > may not occur. So you have to also include fixed exit levels or
> > > trailing stops or some other exit that will signal for "every" exit
> > > required. Again I have not had time to look at his work but I
> > would
> > > look for this possibility.
> > >
> > > Bottom line, back testing is a tricky business and one should
> > always
> > > examine the signals applied to the chart to see if the
> > signal "makes
> > > sense" by not missing entries or worse, missing exits. Take care
> > of
> > > the big drawdowns and the system profits will usually be fine.
> > >
> > > If you have questions on this, feel free to ask....
> > > Trader
> >
> >
> >
> >
> > 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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