|
PureBytes Links
Trading Reference Links
|
Hi again,
Just to be exact your neutral system should look like this:
buy = cum(1)%14 == 1;
sell = buy; /* sell the same day as you buy */
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, October 13, 2001 9:34 PM
Subject: [amibroker] Re: The peculiar System
> Dear Tomasz,
> Your comparison is not that fair and it is extremely simplified.
> If you read the text you replied, you will see that I had
> 32 trades from Jan 2000.(~450 trading days).
> This means 1 trade per 14 days.
> The neutral buy-sell system would be
>
> buy= cum(1)%14==1;
> sell=ref(buy,-13);
>
> ie 32 trades equally distributed in the whole period, whithout
> any other criteria applied.
> For your information, this system with the same settings for
> the same stock and the same period, gives Net % profit -24%.
> Best Regards
> Dimitris Tsokakis
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Dimitris,
> >
> > The reason why you get so good results is the one
> > I mentioned already sometime ago:
> > you set unrealistic entry/exit settings - buy on day's low
> > and sell on day's high.
> >
> > To prove it: please modify your selling formula to:
> >
> > sell = buy; /* sell on the same bar as you buy */
> >
> > and your system will be winning no matter
> > what is a buy formula with buying day low and selling day's high!
> >
> > You can go further buy on low and sell on high everyday -
> > This "system" generates 45272.59 % during 281 days on DJIA stocks
> > without ANY optimization.
> >
> > Great ? Not really - it is just an effect of unrealistic settings.
> >
> > Best regards,
> > Tomasz Janeczko
> > ===============
> > AmiBroker - the comprehensive share manager.
> > http://www.amibroker.com
> >
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: amibroker@xxxx
> > Sent: Saturday, October 13, 2001 1:30 PM
> > Subject: [amibroker] The peculiar System
> >
> >
> > I wrote yesterday that this system is strange.
> > One behavior never met before is the following:
> > I scan with the exposed buy/sell conditions
> > Buy=Cross(C2,C1);Sell=Cross(C1,C2);
> > The best % Net profit was +391% and all the 120 combinations
> > from optimization were profitable.
> > Then I inverse buy/sell with sell/buy, ie
> > Sell=Cross(C2,C1);Buy=Cross(C1,C2);
> > The best % net profit was 88.4% (!!) and the half of the 120
> combinations
> > were profitable, if for a period of
> > two years you were making mistakes all the time (32 trades).
> > It is not easy to explain this property.
> > Dimitris Tsokakis
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
|