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Sid
and Richard,
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Here
is an example of where I found data discrepancies:
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<A
href="">http://groups.yahoo.com/group/amibroker/message/20116
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The
discussion on the backtest result differences did not resume after this.
FWIW I get the same results as you two.
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<FONT face=Arial color=#0000ff
size=2>Peter
<FONT face=Tahoma
size=2>-----Original Message-----From: Richard Alford
[mailto:richard.alford@xxxx]Sent: Monday, June 24, 2002 10:47
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
QP2 data
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.
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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
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
skbiker
To: <A title=amibroker@xxxxxxxxxxxx
href="">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?SidYour use
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