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Rick
-----Original Message-----
From: dtsokakis [mailto:TSOKAKIS@x...]
Sent: Sunday, June 23, 2002 2:16 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: QQQ Individual Analysis
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_00EE_01C21AC3.C55F57A0
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<DIV><SPAN class=330363818-23062002><FONT color=#000080 size=2>My results differ
too. Wonder why??</FONT></SPAN></DIV>
<DIV> </DIV>
<DIV><STRONG><FONT face="Vladimir Script" color=#000080
size=5>Rick</FONT></STRONG></DIV>
<BLOCKQUOTE>
<DIV class=OutlookMessageHeader dir=ltr align=left><FONT face=Tahoma
size=2>-----Original Message-----<BR><B>From:</B> dtsokakis
[mailto:TSOKAKIS@x...]<BR><B>Sent:</B> Sunday, June 23, 2002 2:16
PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> [amibroker]Re:
QQQ Individual Analysis<BR><BR></FONT></DIV><TT>Peter,<BR>My data begin on
3/1/2000.<BR>See analytic #<BR><A
href="http://groups.yahoo.com/group/amibroker/message/20095";>http://groups.yahoo.com/group/amibroker/message/20095</A><BR>DT<BR>---
In amibroker@xxxx, "bluesinvestor" <investor@xxxx> wrote:<BR>>
Dimitris,<BR>> <BR>> Again great performance and yet not the same trades
or results ... <BR>does your<BR>> history go back further than Jan
2000?<BR>> <BR>> Peter<BR>> -----Original
Message-----<BR>> From: Dimitris Tsokakis
[mailto:TSOKAKIS@x...]<BR>> Sent: Sunday, June 23, 2002 11:59
AM<BR>> To: amibroker@xxxx<BR>> Subject:
[amibroker] QQQ Individual Analysis<BR>> <BR>> <BR>> If
you are fed up from my Composite Analysis, let us make a break <BR>with
an<BR>> individual one.<BR>> Simple logic, simple profits,
pre-indicator era.[High, Low and <BR>thats all<BR>> !!]<BR>>
Dimitris Tsokakis<BR>> <BR>>
<BR>> Yahoo! Groups
Sponsor<BR>>
ADVERTISEMENT<BR>> <BR>> <BR>> <BR>> <BR>> Your use
of Yahoo! Groups is subject to the Yahoo! Terms of
<BR>Service.<BR><BR></TT><BR><TT>Your use of Yahoo! Groups is subject to the
Yahoo! Terms of Service.</TT>
<BR></BLOCKQUOTE></BODY></HTML>
------=_NextPart_001_00EE_01C21AC3.C55F57A0--
Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
1/3/00 - 6/21/02
Apply to:
Current Symbol
Long trades
Buy price:
Open
Sell price:
Close
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Close
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
0.00
Value:
5.00
Exit at stop?
yes
Exit at stop?
no
Trailing stop:
disabled
Value:
15.00
Exit at stop?
yes
Formula/* QQQ.AFL */
d1=14;
d2=43;
F2=H-L<=0.001*d1*(H+L);
F1=H-L>=0.001*d2*(H+L);
Sell=F2;Buy=F1;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
//QQQ [14,43]=+177% [LONG]
//QQQ [14,43]=+359% [SHORT] AND
//QQQ [14,43]=+1175% [LONG & SHORT]
Overall performance summary
Total net profit:
42626.07
Total commissions paid:
3515.92
Return on account:
426.26 %
Open position gain/loss
11605.55
Buy&Hold profit:
-7379.08
Bars (avg. days) in test:
620 (901)
Buy&Hold % return:
-73.79%
System to Buy&Hold index:
677.66%
Annual system % return:
95.96%
Annual B&H % return:
-41.87%
System drawdown:
-885.71
B&H drawdown:
-7333.33
Max. system drawdown:
-10176.96
B&H max. drawdown:
-9860.95
Max. system % drawdown:
-45.52%
B&H max. % drawdown:
-78.71%
Max. trade drawdown:
-8009.52
Max. trade % drawdown:
-38.96%
Trade drawdown:
-7896.40
Total number of trades:
19
Percent profitable:
84.2%
Number winning trades:
16
Number losing trades:
3
Profit of winners:
38701.86
Loss of losers:
-7681.34
Total # of bars in winners:
360
Total # of bars in losers:
119
Commissions paid in winners:
3121.79
Commissions paid in losers:
394.13
Largest winning trade:
8053.46
Largest losing trade:
-6206.54
# of bars in largest winner:
98
# bars in largest loser:
58
Commission paid in largest winner:
264.21
Commission paid in largest loser:
162.00
Average winning trade:
2418.87
Average losing trade:
-2560.45
Avg. # of bars in winners:
22.5
Avg. # bars in losers:
39.7
Avg. commission paid in winner:
195.11
Avg. commission paid in loser:
131.38
Max consec. winners:
7
Max consec. losers:
2
Bars out of the market:
2
Interest earned:
0.00
Exposure:
99.7%
Risk adjusted ann. return:
96.27%
Ratio avg win/avg loss:
0.94
Avg. trade (win & loss):
1632.66
Profit factor:
5.04
Trade list for QQQ
Trade
Entry date
Exit date
Net Profit
Equity value
Long
1/5/00
1/18/00
624.93
10624.93
Short
1/18/00
1/28/00
589.93
11214.85
Long
1/28/00
2/7/00
941.74
12156.59
Short
2/7/00
4/5/00
-479.15
11677.44
Long
4/5/00
5/2/00
-995.65
10681.78
Short
5/2/00
5/24/00
1615.57
12297.35
Long
5/24/00
6/5/00
2953.84
15251.19
Short
6/5/00
8/4/00
197.05
15448.24
Long
8/4/00
8/16/00
169.23
15617.47
Short
8/16/00
10/16/00
1745.97
17363.44
Long
10/16/00
11/3/00
238.98
17602.42
Short
11/3/00
12/11/00
1620.33
19222.74
Long
12/11/00
3/6/01
-6206.54
13016.21
Short
3/6/01
4/4/01
3876.02
16892.23
Long
4/4/01
4/30/01
5370.07
22262.30
Short
4/30/01
9/20/01
8053.46
30315.76
Long
9/20/01
10/16/01
5513.95
35829.72
Short
10/16/01
10/18/01
1019.60
36849.32
Long
10/18/01
11/5/01
4171.20
41020.52
Open Short
11/5/01
6/21/02
11605.55
52626.07
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