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Again great performance and yet not the same trades or results ... does your
history go back further than Jan 2000?
Peter
-----Original Message-----
From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
Sent: Sunday, June 23, 2002 11:59 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] QQQ Individual Analysis
If you are fed up from my Composite Analysis, let us make a break with an
individual one.
Simple logic, simple profits, pre-indicator era.[High, Low and thats all
!!]
Dimitris Tsokakis
Yahoo! Groups Sponsor
ADVERTISEMENT
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
------=_NextPart_001_0025_01C21ABD.DE811DA0
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charset="iso-8859-7"
Content-Transfer-Encoding: quoted-printable
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<HTML><HEAD>
<META http-equiv=3DContent-Type content=3D"text/html; charset=3Diso-8859-7"=
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<BODY bgColor=3D#ffffff>
<DIV><SPAN class=3D469065417-23062002><FONT face=3DArial color=3D#0000ff=20
size=3D2>Dimitris,</FONT></SPAN></DIV>
<DIV><SPAN class=3D469065417-23062002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D469065417-23062002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>Again=20
great performance and yet not the same trades or results ... does your hist=
ory=20
go back further than Jan 2000?</FONT></SPAN></DIV>
<DIV><SPAN class=3D469065417-23062002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D469065417-23062002><FONT face=3DArial color=3D#0000ff=20
size=3D2>Peter</FONT></SPAN></DIV>
<BLOCKQUOTE>
<DIV class=3DOutlookMessageHeader dir=3Dltr align=3Dleft><FONT face=3DTah=
oma=20
size=3D2>-----Original Message-----<BR><B>From:</B> Dimitris Tsokakis=20
[mailto:TSOKAKIS@x...]<BR><B>Sent:</B> Sunday, June 23, 2002 11:59=20
AM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> [amibroker]=
QQQ=20
Individual Analysis<BR><BR></FONT></DIV>
<DIV><FONT size=3D2>If you are fed up from my Composite Analysis, let us =
make a=20
break with an individual one.</FONT></DIV>
<DIV><FONT size=3D2>Simple logic, simple profits, pre-indicator era.[High=
, Low=20
and thats all !!]</FONT></DIV>
<DIV><FONT size=3D2>Dimitris Tsokakis</FONT></DIV>
<DIV> </DIV><BR><BR><TT>Your=20
use of Yahoo! Groups is subject to the <A=20
href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</=
TT>=20
<BR></BLOCKQUOTE></BODY></HTML>
------=_NextPart_001_0025_01C21ABD.DE811DA0--
Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
1/1/2000 - 6/21/2002
Apply to:
Current Symbol
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Formulad1=14;
d2=43;
x=H-L;
F2=x<=0.001*d1*(H+L);
F1=x>=0.001*d2*(H+L);
Sell=F2;Buy=F1;
Sell=ExRem(Sell,Buy);Buy=ExRem(Buy,Sell);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
Overall performance summary
Total net profit:
56500.59
Total commissions paid:
4064.48
Return on account:
565.01 %
Open position gain/loss
14046.69
Buy&Hold profit:
-7322.50
Bars (avg. days) in test:
619 (901)
Buy&Hold % return:
-73.22%
System to Buy&Hold index:
871.60%
Annual system % return:
115.44%
Annual B&H % return:
-41.36%
System drawdown:
-2401.47
B&H drawdown:
-7333.33
Max. system drawdown:
-11908.74
B&H max. drawdown:
-9860.95
Max. system % drawdown:
-44.31%
B&H max. % drawdown:
-78.71%
Max. trade drawdown:
-10239.87
Max. trade % drawdown:
-44.31%
Trade drawdown:
-10092.94
Total number of trades:
19
Percent profitable:
73.7%
Number winning trades:
14
Number losing trades:
5
Profit of winners:
47690.83
Loss of losers:
-5236.93
Total # of bars in winners:
306
Total # of bars in losers:
170
Commissions paid in winners:
3351.87
Commissions paid in losers:
712.61
Largest winning trade:
10192.29
Largest losing trade:
-2598.14
# of bars in largest winner:
97
# bars in largest loser:
16
Commission paid in largest winner:
339.99
Commission paid in largest loser:
183.28
Average winning trade:
3406.49
Average losing trade:
-1047.39
Avg. # of bars in winners:
21.9
Avg. # bars in losers:
34.0
Avg. commission paid in winner:
239.42
Avg. commission paid in loser:
142.52
Max consec. winners:
6
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
0.00
Exposure:
99.4%
Risk adjusted ann. return:
116.19%
Ratio avg win/avg loss:
3.25
Avg. trade (win & loss):
2234.42
Profit factor:
9.11
Performance for QQQ
Total net profit:
56500.59
Total commissions paid:
4064.48
Return on account:
565.01 %
Open position gain/loss
14046.69
Buy&Hold profit:
-7322.50
Bars (days) in test:
619 (901)
Buy&Hold % return:
-73.22%
System to Buy&Hold index:
871.60%
Annual system % return:
115.44%
Annual B&H % return:
-41.36%
System drawdown:
-2401.47
B&H drawdown:
-7333.33
Max. system drawdown:
-11908.74
B&H max. drawdown:
-9860.95
Max. system % drawdown:
-44.31%
B&H max. % drawdown:
-78.71%
Max. trade drawdown:
-10239.87
Max. trade % drawdown:
-44.31%
Trade drawdown:
-10092.94
Total number of trades:
19
Percent profitable:
73.7%
Number winning trades:
14
Number losing trades:
5
Profit of winners:
47690.83
Loss of losers:
-5236.93
Total # of bars in winners:
306
Total # of bars in losers:
170
Commissions paid in winners:
3351.87
Commissions paid in losers:
712.61
Largest winning trade:
10192.29
Largest losing trade:
-2598.14
# of bars in largest winner:
97
# bars in largest loser:
16
Commission paid in largest winner:
339.99
Commission paid in largest loser:
183.28
Average winning trade:
3406.49
Average losing trade:
-1047.39
Avg. # of bars in winners:
21.9
Avg. # bars in losers:
34.0
Avg. commission paid in winner:
239.42
Avg. commission paid in loser:
142.52
Max consec. winners:
6
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
0.00
Exposure:
99.4%
Risk adjusted ann. return:
116.19%
Ratio avg win/avg loss:
3.25
Avg. trade (win & loss):
2234.42
Profit factor:
9.11
Trade list for QQQ
Trade
Entry date
Exit date
Net Profit
Equity value
Out
1/3/2000
1/7/2000
0.00
10000.00
Long
1/7/2000
1/18/2000
994.72
10994.72
Short
1/18/2000
4/5/2000
-756.08
10238.64
Long
4/5/2000
5/2/2000
-376.66
9861.98
Short
5/2/2000
5/24/2000
1957.00
11818.98
Long
5/24/2000
6/5/2000
2586.58
14405.56
Short
6/5/2000
8/4/2000
-105.21
14300.35
Long
8/4/2000
8/9/2000
117.99
14418.34
Short
8/9/2000
10/16/2000
1779.50
16197.83
Long
10/16/2000
11/3/2000
185.69
16383.52
Short
11/3/2000
12/11/2000
1964.53
18348.05
Long
12/11/2000
1/31/2001
-1400.83
16947.22
Short
1/31/2001
2/12/2001
2588.70
19535.92
Long
2/12/2001
3/6/2001
-2598.14
16937.78
Short
3/6/2001
4/4/2001
4817.11
21754.89
Long
4/4/2001
4/30/2001
6978.33
28733.22
Short
4/30/2001
9/20/2001
10192.29
38925.51
Long
9/20/2001
10/16/2001
6706.24
45631.75
Short
10/16/2001
10/18/2001
2122.39
47754.14
Long
10/18/2001
11/5/2001
4699.76
52453.90
Open Short
11/5/2001
6/21/2002
14046.69
66500.59
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