|
PureBytes Links
Trading Reference Links
|
Peter,
My data begin on 3/1/2000.
See analytic #
http://groups.yahoo.com/group/amibroker/message/20095
DT
--- In amibroker@xxxx, "bluesinvestor" <investor@xxxx> wrote:
> Dimitris,
>
> 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@xxxx
> 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.
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
------=_NextPart_001_0009_01C21AC1.94DB1030
Content-Type: text/html;
charset="US-ASCII"
Content-Transfer-Encoding: quoted-printable
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META http-equiv=3DContent-Type content=3D"text/html; charset=3Dus-ascii">
<META content=3D"MSHTML 5.50.4916.2300" name=3DGENERATOR></HEAD>
<BODY>
<DIV><SPAN class=3D826142321-23062002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>I get=20
roughly what you get DT...see attached...</FONT></SPAN></DIV>
<BLOCKQUOTE>
<DIV class=3DOutlookMessageHeader dir=3Dltr align=3Dleft><FONT face=3DTah=
oma=20
size=3D2>-----Original Message-----<BR><B>From:</B> dtsokakis=20
[mailto:TSOKAKIS@x...]<BR><B>Sent:</B> Sunday, June 23, 2002 11:16=20
AM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> [amibroker]=
Re:=20
QQQ Individual Analysis<BR><BR></FONT></DIV><TT>Peter,<BR>My data begin o=
n=20
3/1/2000.<BR>See analytic #<BR><A=20
href=3D"http://groups.yahoo.com/group/amibroker/message/20095";>http://gro=
ups.yahoo.com/group/amibroker/message/20095</A><BR>DT<BR>---=20
In amibroker@xxxx, "bluesinvestor" <investor@xxxx> wrote:<BR>>=20
Dimitris,<BR>> <BR>> Again great performance and yet not the same t=
rades=20
or results ... <BR>does your<BR>> history go back further than Jan=20
2000?<BR>> <BR>> Peter<BR>> -----Original=20
Message-----<BR>> From: Dimitris Tsokakis=20
[mailto:TSOKAKIS@x...]<BR>> Sent: Sunday, June 23, 2002 11=
:59=20
AM<BR>> To: amibroker@xxxx<BR>> Subject:=20
[amibroker] QQQ Individual Analysis<BR>> <BR>> <BR>> =
If=20
you are fed up from my Composite Analysis, let us make a break <BR>with=20
an<BR>> individual one.<BR>> Simple logic, simple profi=
ts,=20
pre-indicator era.[High, Low and <BR>thats all<BR>> !!]<BR>> &=
nbsp;=20
Dimitris Tsokakis<BR>> <BR>>=20
<BR>> Yahoo! Groups=20
Sponsor<BR>> &nbs=
p; =20
ADVERTISEMENT<BR>> <BR>> <BR>> <BR>> <BR>> You=
r use=20
of Yahoo! Groups is subject to the Yahoo! Terms of=20
<BR>Service.<BR><BR></TT><BR><TT>Your use of Yahoo! Groups is subject to =
the=20
<A href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>=
.</TT>=20
<BR></BLOCKQUOTE></BODY></HTML>
------=_NextPart_001_0009_01C21AC1.94DB1030--
Title: AmiBroker System Test Report
Overall performance summary
Total net profit:
117862.54
Total commissions paid:
11103.87
Return on account:
1178.63 %
Open position gain/loss
18886.08
Buy&Hold profit:
-7323.29
Bars (avg. days) in test:
619 (901)
Buy&Hold % return:
-73.23%
System to Buy&Hold index:
1709.42%
Annual system % return:
180.77%
Annual B&H % return:
-41.37%
System drawdown:
-2399.91
B&H drawdown:
-7333.40
Max. system drawdown:
-20691.87
B&H max. drawdown:
-9860.69
Max. system % drawdown:
-44.31%
B&H max. % drawdown:
-78.71%
Max. trade drawdown:
-17785.95
Max. trade % drawdown:
-44.31%
Trade drawdown:
-17534.74
Total number of trades:
23
Percent profitable:
82.6%
Number winning trades:
19
Number losing trades:
4
Profit of winners:
102559.49
Loss of losers:
-3583.03
Total # of bars in winners:
454
Total # of bars in losers:
157
Commissions paid in winners:
9086.79
Commissions paid in losers:
2017.08
Largest winning trade:
17706.79
Largest losing trade:
-1414.73
# of bars in largest winner:
97
# bars in largest loser:
14
Commission paid in largest winner:
590.76
Commission paid in largest loser:
899.08
Average winning trade:
5397.87
Average losing trade:
-895.76
Avg. # of bars in winners:
23.9
Avg. # bars in losers:
39.3
Avg. commission paid in winner:
478.25
Avg. commission paid in loser:
504.27
Max consec. winners:
14
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
0.00
Exposure:
99.4%
Risk adjusted ann. return:
181.94%
Ratio avg win/avg loss:
6.03
Avg. trade (win & loss):
4303.32
Profit factor:
28.62
Performance for QQQ
Total net profit:
117862.54
Total commissions paid:
11103.87
Return on account:
1178.63 %
Open position gain/loss
18886.08
Buy&Hold profit:
-7323.29
Bars (days) in test:
619 (901)
Buy&Hold % return:
-73.23%
System to Buy&Hold index:
1709.42%
Annual system % return:
180.77%
Annual B&H % return:
-41.37%
System drawdown:
-2399.91
B&H drawdown:
-7333.40
Max. system drawdown:
-20691.87
B&H max. drawdown:
-9860.69
Max. system % drawdown:
-44.31%
B&H max. % drawdown:
-78.71%
Max. trade drawdown:
-17785.95
Max. trade % drawdown:
-44.31%
Trade drawdown:
-17534.74
Total number of trades:
23
Percent profitable:
82.6%
Number winning trades:
19
Number losing trades:
4
Profit of winners:
102559.49
Loss of losers:
-3583.03
Total # of bars in winners:
454
Total # of bars in losers:
157
Commissions paid in winners:
9086.79
Commissions paid in losers:
2017.08
Largest winning trade:
17706.79
Largest losing trade:
-1414.73
# of bars in largest winner:
97
# bars in largest loser:
14
Commission paid in largest winner:
590.76
Commission paid in largest loser:
899.08
Average winning trade:
5397.87
Average losing trade:
-895.76
Avg. # of bars in winners:
23.9
Avg. # bars in losers:
39.3
Avg. commission paid in winner:
478.25
Avg. commission paid in loser:
504.27
Max consec. winners:
14
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
0.00
Exposure:
99.4%
Risk adjusted ann. return:
181.94%
Ratio avg win/avg loss:
6.03
Avg. trade (win & loss):
4303.32
Profit factor:
28.62
Trade list for QQQ
Trade
Entry date
Entry price
Exit date
Exit price
Net Profit
Equity value
Long
1/7/2000
82.94
1/18/2000
92.07
995.29
10995.29
Short
1/18/2000
92.07
4/5/2000
97.50
-755.18
10240.11
Long
4/5/2000
97.50
5/2/2000
94.87
-377.24
9862.87
Short
5/2/2000
94.87
5/24/2000
75.00
1956.77
11819.64
Long
5/24/2000
75.00
6/12/2000
94.31
2909.75
14729.39
Short
6/12/2000
94.31
8/4/2000
92.00
211.68
14941.07
Long
8/4/2000
92.00
8/16/2000
93.44
83.28
15024.35
Short
8/16/2000
93.44
10/16/2000
81.12
1820.80
16845.15
Long
10/16/2000
81.12
11/3/2000
82.87
193.13
17038.28
Short
11/3/2000
82.87
12/20/2000
57.31
5058.54
22096.83
Long
12/20/2000
57.31
1/31/2001
67.25
3592.40
25689.23
Short
1/31/2001
67.25
4/4/2001
34.71
12111.11
37800.33
Long
4/4/2001
34.71
4/30/2001
46.25
12126.60
49926.93
Short
4/30/2001
46.25
9/20/2001
29.30
17706.79
67633.73
Long
9/20/2001
29.30
10/16/2001
34.66
11634.39
79268.11
Short
10/16/2001
34.66
10/18/2001
32.70
3667.46
82935.58
Long
10/18/2001
32.70
11/5/2001
36.26
8154.56
91090.14
Short
11/5/2001
36.26
2/12/2002
36.31
-1035.89
90054.25
Long
2/12/2002
36.31
2/13/2002
36.72
111.23
90165.49
Short
2/13/2002
36.72
3/5/2002
36.93
-1414.73
88750.76
Long
3/5/2002
36.93
3/11/2002
38.35
2507.99
91258.75
Short
3/11/2002
38.35
4/29/2002
31.24
15921.97
107180.72
Long
4/29/2002
31.24
5/15/2002
32.08
1795.73
108976.45
Open Short
5/15/2002
32.08
6/21/2002
26.36
18886.08
127862.54
|