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do you have a afl to suit the indicator 301-6 ?
attached is a Report from the afl by Tom Mc
It produced similar results on the ASX 200 over several different time
periods
Regards David
----- Original Message -----
From: "Tom Supera" <tom_supera@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, October 04, 2001 7:17 AM
Subject: Re: [amibroker] Winning Systems
> Hi Tom,
>
> I wonder, why the most people searching for trend-indicators. I think, you
> become better signals with cci.
> See the two files i've added.
>
> Let me hear, what you think about it
>
> Tom Supera
>
>
> ----- Original Message -----
> From: "Tom McDaniel" <tmtempe@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, October 03, 2001 2:41 AM
> Subject: Re: [amibroker] Winning Systems
>
>
> > Bryan-
> >
> > Here is an interesting system. I gravitate toward the simplicity and
> > underlying concept of the system.
> >
> > I think I have coded it accurately from an article in the most recent
> > issue of Technical Analysis of Stocks and Commodities. No guarantees.
> > The author seems to gravitate toward commodities rather than stocks and
> > shows no stock related results.
> >
> > Backtesting on my stock list shows a modest profit. Examining the graphs
> > by eye (Indicator Builder) shows that there is a significant lag in the
> > system (particularly on position entry). So, smart people should be
> > able to improve on it.
> >
> > I would be interested in hearing your and other's thoughts and the
> > results of any experimenting.
> >
> > Best regards,
> > -Tom McDaniel
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
>
>
> --------------------------------------------------------------------------
--
> ----
>
>
> > /* Trend Detection Index */
> > /* Developed by M.H. Pee */
> > /* From Technical Analysis of Stocks and Commodities, October, 1991 p.
54
> */
> > /* Coded by T.L. McDaniel September, 1991 */
> >
> >
> > MaxGraphs = 2;
> > Period = 20;
> >
> > TDM = ( Close - Ref (Close, -Period));
> > ATDM = ABS (TDM);
> > PTDI = SUM (TDM, Period);
> > ATDI = ABS (PTDI);
> > FDAM = SUM (ATDM, 40);
> > SATDM = SUM( ATDM, 20);
> > TDI = (ATDI + SATDM) - FDAM;
> >
> > Graph0 = TDI;
> > Graph1 = PTDI;
> >
> > Buy = iif (PTDI > 0 AND TDI >0, 1, 0);
> > /* Sell = Cross (0, PTDI); */
> > Short = iif (PTDI < 0 AND TDI >0, 1, 0);
> > Sell = Short;
> > /* Cover = Cross (PTDI, 0); */
> > Cover = Buy;
> >
> > Buy = ExRem (Buy, Sell);
> > Sell = ExRem (Sell, Buy);
> > Short = ExRem (Short, Cover);
> > Cover = ExRem (Cover, Short);
> >
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
Title: AmiBroker System Test Report
Overall performance summary
Total net profit:
9770.95
Total commissions paid:
1088.00
Return on account:
44.41 %
Open position gain/loss
-2.94
Buy&Hold profit:
18941.73
Bars (avg. days) in test:
7841 (1040)
Buy&Hold % return:
86.10%
System to Buy&Hold index:
-48.42%
Annual system % return:
13.77%
Annual B&H % return:
24.36%
System drawdown:
-649.87
B&H drawdown:
-594.59
Max. system drawdown:
-1039.71
B&H max. drawdown:
-2201.83
Max. system % drawdown:
-32.49%
B&H max. % drawdown:
-50.00%
Max. trade drawdown:
-1035.24
Max. trade % drawdown:
-20.66%
Trade drawdown:
-518.49
Total number of trades:
34
Percent profitable:
52.9%
Number winning trades:
18
Number losing trades:
16
Profit of winners:
13093.30
Loss of losers:
-2231.42
Total # of bars in winners:
2897
Total # of bars in losers:
786
Commissions paid in winners:
576.00
Commissions paid in losers:
512.00
Largest winning trade:
2933.92
Largest losing trade:
-497.75
# of bars in largest winner:
373
# bars in largest loser:
39
Commission paid in largest winner:
32.00
Commission paid in largest loser:
32.00
Average winning trade:
727.41
Average losing trade:
-139.46
Avg. # of bars in winners:
160.9
Avg. # bars in losers:
49.1
Avg. commission paid in winner:
32.00
Avg. commission paid in loser:
32.00
Max consec. winners:
4
Max consec. losers:
4
Bars out of the market:
4042
Interest earned:
0.00
Exposure:
48.5%
Risk adjusted ann. return:
28.41%
Ratio avg win/avg loss:
5.22
Avg. trade (win & loss):
319.47
Profit factor:
5.87
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