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I am not aware of the data source that Dimitris uses - probably been mentioned earlier.
Cheers,
Richard
Settings
Initial Equity: 10000 Periodicity/Positions: Daily/Long Short
Commissions: 0.50 % Annual interest rate: 0.00%
Range: 1/2/2000 - 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: 40.00 Value: 20.00
Exit at stop? yes Exit at stop? yes
Trailing stop: disabled
Value: 7.00
Exit at stop? no
Formula
// DT 6.20.02 example
d1=Optimize("D1",14,1,100,2);
d2=Optimize("D2",43,1,100,2);
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: 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
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
----- Original Message -----
From: skbiker
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, June 24, 2002 9:20 AM
Subject: [amibroker] QP2 data
Question for QP2 users. Did you try DT's HL script? If you did, were
there any trades for 2002?
When I ran it here using the QP2 plugin and AB 4.06.1 there were no
2002 trades and a return if ~565%. When I look at all the trade
arrows I find many sells in 2002 but no buys at all. I then tries
all the d1/d2 values from 1-144 and still found n 2002 trades. ?????
I am wondering whether there is some sort of problem with the QP2
plugin or if the trading idea is so sensitive to particular price
values to cause this curious problem.
Ideas?
Sid
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
------=_NextPart_001_0321_01C21B64.04A29A80
Content-Type: text/html;
charset="iso-8859-1"
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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META http-equiv=Content-Type content="text/html; charset=iso-8859-1">
<META content="MSHTML 6.00.2716.2200" name=GENERATOR>
<STYLE></STYLE>
</HEAD>
<BODY bgColor=#ffffff>
<DIV>
<DIV><FONT face=Arial size=2>I am seeing the same results. My results with
QP2 are shown below (and attached). Is suspect the difference is a
result of minor discrepancies in the data which points to the pitfalls in
tuning/optimization. Having said that, I ran a simple D1/D2 optimization
and wasn't able to improve the results substantially (perhaps a factor of 30%).
I have attached the optimization results in the zip file. </FONT></DIV>
<DIV><FONT face=Arial size=2></FONT><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>I am not aware of the data source that Dimitris
uses - probably been mentioned earlier.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>Cheers,</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>Richard</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV>
<TABLE cellSpacing=2 width="100%">
<TBODY>
<TR bgColor=#cccccc>
<TH class=BIG colSpan=5>Settings</TH></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Initial Equity:</TH>
<TD>10000</TD>
<TD></TD>
<TH>Periodicity/Positions:</TD>
<TD>Daily/Long Short</TD></TR>
<TR>
<TH>Commissions:</TH>
<TD>0.50 %</TD>
<TD></TD>
<TH>Annual interest rate:</TH>
<TD>0.00%</TD></TR>
<TR>
<TH>Range:</TH>
<TD>1/2/2000 - 6/21/2002</TD>
<TD></TD>
<TH>Apply to:</TH>
<TD>Current Symbol</TD></TR>
<TR>
<TH colSpan=5><B>Long trades</B></TH></TR>
<TR>
<TH>Buy price:</TH>
<TD>Open</TD>
<TD></TD>
<TH>Sell price:</TD>
<TD>Open</TD></TR>
<TR>
<TH>Buy delay:</TH>
<TD>1</TD>
<TD></TD>
<TH>Sell delay:</TD>
<TD>1</TD></TR>
<TR>
<TH colSpan=5><B>Short trades</B></TH></TR>
<TR>
<TH>Short price:</TH>
<TD>Open</TD>
<TD></TD>
<TH>Cover price:</TD>
<TD>Open</TD></TR>
<TR>
<TH>Short delay:</TH>
<TD>1</TD>
<TD></TD>
<TH>Cover delay:</TD>
<TD>1</TD></TR>
<TR>
<TH colSpan=5><B>Stops</B></TH></TR>
<TR>
<TH>Maximum loss:</TH>
<TD>disabled</TD>
<TD></TD>
<TH>Profit target:</TD>
<TD>disabled</TD></TR>
<TR>
<TH>Value:</TH>
<TD>40.00</TD>
<TD></TD>
<TH>Value:</TD>
<TD>20.00</TD></TR>
<TR>
<TH>Exit at stop?</TH>
<TD>yes</TD>
<TD></TD>
<TH>Exit at stop?</TD>
<TD>yes</TD></TR>
<TR>
<TD colSpan=5> </TD></TR>
<TR>
<TH>Trailing stop:</TH>
<TD>disabled</TD>
<TD></TD>
<TH> </TD>
<TD> </TD></TR>
<TR>
<TH>Value:</TH>
<TD>7.00</TD>
<TD></TD>
<TH> </TD>
<TD> </TD></TR>
<TR>
<TH>Exit at stop?</TH>
<TD>no</TD>
<TD></TD>
<TH> </TD>
<TD> </TD></TR></TBODY></TABLE>
<P>
<TABLE cellSpacing=2 width="100%">
<TBODY>
<TR bgColor=#cccccc>
<TH class=BIG colSpan=5>Formula</TH></TR></TBODY></TABLE><PRE>// DT 6.20.02 example
d1=Optimize("D1",14,1,100,2);
d2=Optimize("D2",43,1,100,2);
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]
</PRE>
<TABLE cellSpacing=2 width="100%">
<TBODY>
<TR bgColor=#cccccc>
<TH class=BIG colSpan=5>Overall performance summary</TH></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Total net profit:</TH>
<TD>56500.59</TD>
<TD> </TD>
<TH>Total commissions paid:</TH>
<TD>4064.48</TD></TR>
<TR>
<TH>Return on account:</TH>
<TD>565.01 % </TD>
<TD> </TD>
<TH>Open position gain/loss</TH>
<TD>14046.69</TD></TR>
<TR>
<TH>Buy&Hold profit:</TH>
<TD>-7322.50</TD>
<TD> </TD>
<TH>Bars (avg. days) in test:</TH>
<TD>619 (901)</TD></TR>
<TR>
<TH>Buy&Hold % return:</TH>
<TD>-73.22%</TD>
<TD> </TD>
<TH>System to Buy&Hold index:</TH>
<TD>871.60%</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Annual system % return:</TD>
<TD>115.44%</TD>
<TD> </TD>
<TH>Annual B&H % return:</TH>
<TD>-41.36%</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>System drawdown:</TH>
<TD>-2401.47</TD>
<TD> </TD>
<TH>B&H drawdown:</TH>
<TD>-7333.33</TD></TR>
<TR>
<TH>Max. system drawdown:</TH>
<TD>-11908.74</TD>
<TD> </TD>
<TH>B&H max. drawdown:</TH>
<TD>-9860.95</TD></TR>
<TR>
<TH>Max. system % drawdown:</TH>
<TD>-44.31%</TD>
<TD> </TD>
<TH>B&H max. % drawdown:</TH>
<TD>-78.71%</TD></TR>
<TR>
<TH>Max. trade drawdown:</TH>
<TD>-10239.87</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH>Max. trade % drawdown:</TH>
<TD>-44.31%</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH>Trade drawdown:</TH>
<TD>-10092.94</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Total number of trades:</TH>
<TD>19</TD>
<TD> </TD>
<TH>Percent profitable:</TH>
<TD>73.7%</TD></TR>
<TR>
<TH>Number winning trades:</TH>
<TD>14</TD>
<TD> </TD>
<TH>Number losing trades:</TH>
<TD>5</TD></TR>
<TR>
<TH>Profit of winners:</TH>
<TD>47690.83</TD>
<TD> </TD>
<TH>Loss of losers:</TH>
<TD>-5236.93</TD></TR>
<TR>
<TH>Total # of bars in winners:</TH>
<TD>306</TD>
<TD> </TD>
<TH>Total # of bars in losers:</TH>
<TD>170</TD></TR>
<TR>
<TH>Commissions paid in winners:</TH>
<TD>3351.87</TD>
<TD> </TD>
<TH>Commissions paid in losers:</TH>
<TD>712.61</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Largest winning trade:</TH>
<TD>10192.29</TD>
<TD> </TD>
<TH>Largest losing trade:</TH>
<TD>-2598.14</TD></TR>
<TR>
<TH># of bars in largest winner:</TH>
<TD>97</TD>
<TD> </TD>
<TH># bars in largest loser:</TH>
<TD>16</TD></TR>
<TR>
<TH>Commission paid in largest winner:</TH>
<TD>339.99</TD>
<TD> </TD>
<TH>Commission paid in largest loser:</TH>
<TD>183.28</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Average winning trade:</TH>
<TD>3406.49</TD>
<TD> </TD>
<TH>Average losing trade:</TH>
<TD>-1047.39</TD></TR>
<TR>
<TH>Avg. # of bars in winners:</TH>
<TD>21.9</TD>
<TD> </TD>
<TH>Avg. # bars in losers:</TH>
<TD>34.0</TD></TR>
<TR>
<TH>Avg. commission paid in winner:</TH>
<TD>239.42</TD>
<TD> </TD>
<TH>Avg. commission paid in loser:</TH>
<TD>142.52</TD></TR>
<TR>
<TH>Max consec. winners:</TH>
<TD>6</TD>
<TD> </TD>
<TH>Max consec. losers:</TH>
<TD>2</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Bars out of the market:</TH>
<TD>4</TD>
<TD> </TD>
<TH>Interest earned:</TH>
<TD>0.00</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Exposure:</TH>
<TD>99.4%</TD>
<TD> </TD>
<TH>Risk adjusted ann. return:</TH>
<TD>116.19%</TD></TR>
<TR>
<TH>Ratio avg win/avg loss:</TH>
<TD>3.25</TD>
<TD> </TD>
<TH>Avg. trade (win & loss):</TH>
<TD>2234.42</TD></TR>
<TR>
<TH>Profit factor:</TH>
<TD>9.11</TD>
<TD> </TD>
<TH></TH>
<TD></TD></TR></TBODY></TABLE>
<P>
<P>
<TABLE cellSpacing=2 width="100%">
<TBODY>
<TR bgColor=#cccccc>
<TH class=BIG colSpan=5>Performance for QQQ </TH></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Total net profit:</TH>
<TD>56500.59</TD>
<TD> </TD>
<TH>Total commissions paid:</TH>
<TD>4064.48</TD></TR>
<TR>
<TH>Return on account:</TH>
<TD>565.01 % </TD>
<TD> </TD>
<TH>Open position gain/loss</TH>
<TD>14046.69</TD></TR>
<TR>
<TH>Buy&Hold profit:</TH>
<TD>-7322.50</TD>
<TD> </TD>
<TH>Bars (days) in test:</TH>
<TD>619 (901)</TD></TR>
<TR>
<TH>Buy&Hold % return:</TH>
<TD>-73.22%</TD>
<TD> </TD>
<TH>System to Buy&Hold index:</TH>
<TD>871.60%</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Annual system % return:</TD>
<TD>115.44%</TD>
<TD> </TD>
<TH>Annual B&H % return:</TH>
<TD>-41.36%</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>System drawdown:</TH>
<TD>-2401.47</TD>
<TD> </TD>
<TH>B&H drawdown:</TH>
<TD>-7333.33</TD></TR>
<TR>
<TH>Max. system drawdown:</TH>
<TD>-11908.74</TD>
<TD> </TD>
<TH>B&H max. drawdown:</TH>
<TD>-9860.95</TD></TR>
<TR>
<TH>Max. system % drawdown:</TH>
<TD>-44.31%</TD>
<TD> </TD>
<TH>B&H max. % drawdown:</TH>
<TD>-78.71%</TD></TR>
<TR>
<TH>Max. trade drawdown:</TH>
<TD>-10239.87</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH>Max. trade % drawdown:</TH>
<TD>-44.31%</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH>Trade drawdown:</TH>
<TD>-10092.94</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Total number of trades:</TH>
<TD>19</TD>
<TD> </TD>
<TH>Percent profitable:</TH>
<TD>73.7%</TD></TR>
<TR>
<TH>Number winning trades:</TH>
<TD>14</TD>
<TD> </TD>
<TH>Number losing trades:</TH>
<TD>5</TD></TR>
<TR>
<TH>Profit of winners:</TH>
<TD>47690.83</TD>
<TD> </TD>
<TH>Loss of losers:</TH>
<TD>-5236.93</TD></TR>
<TR>
<TH>Total # of bars in winners:</TH>
<TD>306</TD>
<TD> </TD>
<TH>Total # of bars in losers:</TH>
<TD>170</TD></TR>
<TR>
<TH>Commissions paid in winners:</TH>
<TD>3351.87</TD>
<TD> </TD>
<TH>Commissions paid in losers:</TH>
<TD>712.61</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Largest winning trade:</TH>
<TD>10192.29</TD>
<TD> </TD>
<TH>Largest losing trade:</TH>
<TD>-2598.14</TD></TR>
<TR>
<TH># of bars in largest winner:</TH>
<TD>97</TD>
<TD> </TD>
<TH># bars in largest loser:</TH>
<TD>16</TD></TR>
<TR>
<TH>Commission paid in largest winner:</TH>
<TD>339.99</TD>
<TD> </TD>
<TH>Commission paid in largest loser:</TH>
<TD>183.28</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Average winning trade:</TH>
<TD>3406.49</TD>
<TD> </TD>
<TH>Average losing trade:</TH>
<TD>-1047.39</TD></TR>
<TR>
<TH>Avg. # of bars in winners:</TH>
<TD>21.9</TD>
<TD> </TD>
<TH>Avg. # bars in losers:</TH>
<TD>34.0</TD></TR>
<TR>
<TH>Avg. commission paid in winner:</TH>
<TD>239.42</TD>
<TD> </TD>
<TH>Avg. commission paid in loser:</TH>
<TD>142.52</TD></TR>
<TR>
<TH>Max consec. winners:</TH>
<TD>6</TD>
<TD> </TD>
<TH>Max consec. losers:</TH>
<TD>2</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Bars out of the market:</TH>
<TD>4</TD>
<TD> </TD>
<TH>Interest earned:</TH>
<TD>0.00</TD></TR>
<TR>
<TH colSpan=5> </TH></TR>
<TR>
<TH>Exposure:</TH>
<TD>99.4%</TD>
<TD> </TD>
<TH>Risk adjusted ann. return:</TH>
<TD>116.19%</TD></TR>
<TR>
<TH>Ratio avg win/avg loss:</TH>
<TD>3.25</TD>
<TD> </TD>
<TH>Avg. trade (win & loss):</TH>
<TD>2234.42</TD></TR>
<TR>
<TH>Profit factor:</TH>
<TD>9.11</TD>
<TD> </TD>
<TH></TH>
<TD></TD></TR></TBODY></TABLE>
<P>
<P>
<TABLE cellSpacing=2 width="100%">
<TBODY>
<TR bgColor=#cccccc>
<TD class=BIG align=middle colSpan=5>Trade list for QQQ </TD></TR>
<TR>
<TH>Trade</TH>
<TD>Entry date</TD>
<TD>Exit date</TD>
<TD align=right>Net Profit</TD>
<TD align=right>Equity value</TD></TR>
<TR>
<TH>Long</TH>
<TD>1/7/2000</TD>
<TD>1/18/2000</TD>
<TD>994.72</TD>
<TD>10994.72</TD></TR>
<TR>
<TH>Short</TH>
<TD>1/18/2000</TD>
<TD>4/5/2000</TD>
<TD>-756.08</TD>
<TD>10238.64</TD></TR>
<TR>
<TH>Long</TH>
<TD>4/5/2000</TD>
<TD>5/2/2000</TD>
<TD>-376.66</TD>
<TD>9861.98</TD></TR>
<TR>
<TH>Short</TH>
<TD>5/2/2000</TD>
<TD>5/24/2000</TD>
<TD>1957.00</TD>
<TD>11818.98</TD></TR>
<TR>
<TH>Long</TH>
<TD>5/24/2000</TD>
<TD>6/5/2000</TD>
<TD>2586.58</TD>
<TD>14405.56</TD></TR>
<TR>
<TH>Short</TH>
<TD>6/5/2000</TD>
<TD>8/4/2000</TD>
<TD>-105.21</TD>
<TD>14300.35</TD></TR>
<TR>
<TH>Long</TH>
<TD>8/4/2000</TD>
<TD>8/9/2000</TD>
<TD>117.99</TD>
<TD>14418.34</TD></TR>
<TR>
<TH>Short</TH>
<TD>8/9/2000</TD>
<TD>10/16/2000</TD>
<TD>1779.50</TD>
<TD>16197.83</TD></TR>
<TR>
<TH>Long</TH>
<TD>10/16/2000</TD>
<TD>11/3/2000</TD>
<TD>185.69</TD>
<TD>16383.52</TD></TR>
<TR>
<TH>Short</TH>
<TD>11/3/2000</TD>
<TD>12/11/2000</TD>
<TD>1964.53</TD>
<TD>18348.05</TD></TR>
<TR>
<TH>Long</TH>
<TD>12/11/2000</TD>
<TD>1/31/2001</TD>
<TD>-1400.83</TD>
<TD>16947.22</TD></TR>
<TR>
<TH>Short</TH>
<TD>1/31/2001</TD>
<TD>2/12/2001</TD>
<TD>2588.70</TD>
<TD>19535.92</TD></TR>
<TR>
<TH>Long</TH>
<TD>2/12/2001</TD>
<TD>3/6/2001</TD>
<TD>-2598.14</TD>
<TD>16937.78</TD></TR>
<TR>
<TH>Short</TH>
<TD>3/6/2001</TD>
<TD>4/4/2001</TD>
<TD>4817.11</TD>
<TD>21754.89</TD></TR>
<TR>
<TH>Long</TH>
<TD>4/4/2001</TD>
<TD>4/30/2001</TD>
<TD>6978.33</TD>
<TD>28733.22</TD></TR>
<TR>
<TH>Short</TH>
<TD>4/30/2001</TD>
<TD>9/20/2001</TD>
<TD>10192.29</TD>
<TD>38925.51</TD></TR>
<TR>
<TH>Long</TH>
<TD>9/20/2001</TD>
<TD>10/16/2001</TD>
<TD>6706.24</TD>
<TD>45631.75</TD></TR>
<TR>
<TH>Short</TH>
<TD>10/16/2001</TD>
<TD>10/18/2001</TD>
<TD>2122.39</TD>
<TD>47754.14</TD></TR>
<TR>
<TH>Long</TH>
<TD>10/18/2001</TD>
<TD>11/5/2001</TD>
<TD>4699.76</TD>
<TD>52453.90</TD></TR>
<TR>
<TH>Open Short</TH>
<TD>11/5/2001</TD>
<TD>6/21/2002</TD>
<TD>14046.69</TD>
<TD>66500.59</TD></TR></TBODY></TABLE></P></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV></DIV>
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
skbiker </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A title=amibroker@xxxxxxxxxx
href="mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Monday, June 24, 2002 9:20 AM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> [amibroker] QP2 data</DIV>
<DIV><BR></DIV><TT>Question for QP2 users. Did you try DT's HL script?
If you did, were <BR>there any trades for 2002?<BR><BR>When I ran it here
using the QP2 plugin and AB 4.06.1 there were no <BR>2002 trades and a return
if ~565%. When I look at all the trade <BR>arrows I find many sellsin
2002 but no buys at all. I then tries <BR>all the d1/d2 values from
1-144 and still found n 2002 trades. ?????<BR><BR>I am wondering whether there
is some sort of problem with the QP2 <BR>plugin or if the trading idea isso
sensitive to particular price <BR>values to cause this curious
problem.<BR><BR>Ideas?<BR>Sid<BR><BR><BR><BR></TT><BR><TT>Your use of Yahoo!
Groups is subject to the <A href="http://docs.yahoo.com/info/terms/";>Yahoo!
Terms of Service</A>.</TT> <BR></BLOCKQUOTE></BODY></HTML>
------=_NextPart_001_0321_01C21B64.04A29A80--
Attachment:
zip00016.zip
Description: Zip compressed data
Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
1/2/2000 - 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:
40.00
Value:
20.00
Exit at stop?
yes
Exit at stop?
yes
Trailing stop:
disabled
Value:
7.00
Exit at stop?
no
Formula// DT 6.20.02 example
d1=Optimize("D1",14,1,100,2);
d2=Optimize("D2",43,1,100,2);
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:
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
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
Attachment:
Description: ""
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