PureBytes Links
Trading Reference Links
|
Settings
Initial Equity: 100 Periodicity/Positions: Daily/Long Short
Commissions: 0.00 % Annual interest rate: 0.00%
Range: All quotations 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: percent
Value: 35.00 Value: 10.00
Exit at stop? no Exit at stop? no
Trailing stop: disabled
Value: 35.00
Exit at stop? yes
Formula
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: 264.53 Total commissions paid: 0.00
Return on account: 264.53 % Open position gain/loss 0.00
Buy&Hold profit: -48.43 Bars (avg. days) in test: 826 (1200)
Buy&Hold % return: -48.43% System to Buy&Hold index: 646.24%
Annual system % return: 48.20% Annual B&H % return: -18.24%
System drawdown: -23.55 B&H drawdown: -49.83
Max. system drawdown: -68.24 B&H max. drawdown: -185.53
Max. system % drawdown: -44.31% B&H max. % drawdown: -78.71%
Max. trade drawdown: -64.17
Max. trade % drawdown: -44.31%
Trade drawdown: -63.24
Total number of trades: 20 Percent profitable: 85.0%
Number winning trades: 17 Number losing trades: 3
Profit of winners: 306.59 Loss of losers: -42.07
Total # of bars in winners: 326 Total # of bars in losers: 107
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 39.23 Largest losing trade: -23.30
# of bars in largest winner: 6 # bars in largest loser: 16
Commission paid in largest winner: 0.00 Commission paid in largest
loser: 0.00
Average winning trade: 18.03 Average losing trade: -14.02
Avg. # of bars in winners: 19.2 Avg. # bars in losers: 35.7
Avg. commission paid in winner: 0.00 Avg. commission paid in loser:
0.00
Max consec. winners: 8 Max consec. losers: 1
Bars out of the market: 400 Interest earned: 0.00
Exposure: 51.6% Risk adjusted ann. return: 93.47%
Ratio avg win/avg loss: 1.29 Avg. trade (win & loss): 13.23
Profit factor: 7.29
Trade list for QQQ
Trade Entry date Exit date Net Profit Equity value
Long (profit) 1/7/00 1/11/00 10.63 110.63
Short 1/18/00 4/5/00 -6.53 104.09
Long (profit) 4/5/00 4/10/00 10.81 114.90
Short (profit) 5/2/00 5/10/00 12.72 127.62
Long (profit) 5/24/00 5/31/00 16.11 143.73
Short 6/5/00 8/4/00 0.39 144.12
Long 8/4/00 8/9/00 2.64 146.76
Short (profit) 8/9/00 10/4/00 15.96 162.72
Long 10/16/00 11/3/00 3.51 166.23
Short (profit) 11/3/00 11/10/00 17.30 183.53
Long 12/11/00 1/31/01 -12.24 171.29
Short (profit) 1/31/01 2/7/01 17.17 188.47
Long 2/12/01 3/6/01 -23.30 165.17
Short (profit) 3/6/01 3/12/01 17.75 182.92
Long (profit) 4/4/01 4/11/01 39.23 222.15
Short (profit) 4/30/01 6/20/01 23.79 245.94
Long (profit) 9/20/01 10/11/01 32.66 278.60
Short 10/16/01 10/18/01 15.82 294.43
Long (profit) 10/18/01 10/26/01 34.26 328.69
Short (profit) 11/5/01 4/25/02 35.84 364.53
> -----Original Message-----
> From: skbiker [mailto:skbiker@x...]
> Sent: Monday, June 24, 2002 10:21 AM
> To: amibroker@xxxxxxxxxxxxxxx
> 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 http://docs.yahoo.com/info/terms/
>
>
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<DIV><FONT face=3D"Courier New" size=3D1>
<P><FONT face=3DArial color=3D#0000ff size=3D2>3/11/99 - 6/23/02=20
QP2</FONT><BR>d1=3D</FONT><FONT face=3D"Courier New" color=3D#ff00ff=20
size=3D1>14</FONT><FONT face=3D"Courier New" size=3D1>; d2=3D</FONT><FONT=20
face=3D"Courier New" color=3D#ff00ff size=3D1>43</FONT><FONT face=3D"Courie=
r New"=20
size=3D1>; <BR>F2=3D<B>H</B>-<B>L</B><=3D</FONT><FONT face=3D"Courier Ne=
w"=20
color=3D#ff00ff size=3D1>0.001</FONT><FONT face=3D"Courier New"=20
size=3D1>*d1*(<B>H</B>+<B>L</B>); F1=3D<B>H</B>-<B>L</B>>=3D</FONT><FONT=
=20
face=3D"Courier New" color=3D#ff00ff size=3D1>0.001</FONT><FONT face=3D"Cou=
rier New"=20
size=3D1>*d2*(<B>H</B>+<B>L</B>); <BR><B>Sell</B>=3DF2;<B>Buy</B>=3DF1;=20
<B>Buy</B>=3D</FONT><FONT face=3D"Courier New" color=3D#0000ff=20
size=3D1>ExRem</FONT><FONT face=3D"Courier New"=20
size=3D1>(<B>Buy</B>,<B>Sell</B>);<BR><B>Sell</B>=3D</FONT><FONT face=3D"Co=
urier New"=20
color=3D#0000ff size=3D1>ExRem</FONT><FONT face=3D"Courier New"=20
size=3D1>(<B>Sell</B>,<B>Buy</B>);=20
<B>Short</B>=3D<B>Sell</B>;<B>Cover</B>=3D<B>Buy</B>; <BR><B>Short</B>=3D</=
FONT><FONT=20
face=3D"Courier New" color=3D#0000ff size=3D1>ExRem</FONT><FONT face=3D"Cou=
rier New"=20
size=3D1>(<B>Short</B>,<B>Cover</B>);<B>Cover</B>=3D</FONT><FONT face=3D"Co=
urier New"=20
color=3D#0000ff size=3D1>ExRem</FONT><FONT face=3D"Courier New"=20
size=3D1>(<B>Cover</B>,<B>Short</B>); <BR></FONT><FONT face=3D"Courier New"=
=20
color=3D#008000 size=3D1>//QQQ [14,43]=3D+177% [LONG] <BR>//QQQ [14,43]=3D+=
359% [SHORT]=20
AND <BR></FONT><FONT face=3D"Courier New" color=3D#008000 size=3D1>//QQQ=20
[14,43]=3D+1175% [LONG & SHORT] </P></FONT></DIV>
<DIV><IMG alt=3D"" hspace=3D0 src=3D"cid:220375815@xxxx" align=3Db=
aseline=20
border=3D0><BR><BR>
<P><FONT size=3D2>
<TABLE style=3D"WIDTH: 557px; HEIGHT: 446px" cellSpacing=3D2 width=3D557>
<TBODY>
<TR bgColor=3D#cccccc>
<TH class=3DBIG colSpan=3D5>Settings</TH></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Initial Equity:</TH>
<TD>100</TD>
<TD></TD>
<TH>Periodicity/Positions:</TD>=20
<TD>Daily/Long Short</TD></TR>
<TR>
<TH>Commissions:</TH>
<TD>0.00 %</TD>
<TD></TD>
<TH>Annual interest rate:</TH>
<TD>0.00%</TD></TR>
<TR>
<TH>Range:</TH>
<TD>All quotations</TD>
<TD></TD>
<TH>Apply to:</TH>
<TD>Current Symbol</TD></TR>
<TR>
<TH colSpan=3D5><B>Long trades</B></TH></TR>
<TR>
<TH>Buy price:</TH>
<TD>Open</TD>
<TD></TD>
<TH>Sell price:</TD>=20
<TD>Open</TD></TR>
<TR>
<TH>Buy delay:</TH>
<TD>1</TD>
<TD></TD>
<TH>Sell delay:</TD>=20
<TD>1</TD></TR>
<TR>
<TH colSpan=3D5><B>Short trades</B></TH></TR>
<TR>
<TH>Short price:</TH>
<TD>Open</TD>
<TD></TD>
<TH>Cover price:</TD>=20
<TD>Open</TD></TR>
<TR>
<TH>Short delay:</TH>
<TD>1</TD>
<TD></TD>
<TH>Cover delay:</TD>=20
<TD>1</TD></TR>
<TR>
<TH colSpan=3D5><B>Stops</B></TH></TR>
<TR>
<TH>Maximum loss:</TH>
<TD>disabled</TD>
<TD></TD>
<TH>Profit target:</TD>=20
<TD>percent</TD></TR>
<TR>
<TH>Value:</TH>
<TD>35.00</TD>
<TD></TD>
<TH>Value:</TD>=20
<TD>10.00</TD></TR>
<TR>
<TH>Exit at stop?</TH>
<TD>no</TD>
<TD></TD>
<TH>Exit at stop?</TD>=20
<TD>no</TD></TR>
<TR>
<TD colSpan=3D5> </TD></TR>
<TR>
<TH>Trailing stop:</TH>
<TD>disabled</TD>
<TD></TD>
<TH> </TD>=20
<TD> </TD></TR>
<TR>
<TH>Value:</TH>
<TD>35.00</TD>
<TD></TD>
<TH> </TD>=20
<TD> </TD></TR>
<TR>
<TH>Exit at stop?</TH>
<TD>yes</TD>
<TD></TD>
<TH> </TD>=20
<TD> </TD></TR></TBODY></TABLE></P>
<P>
<TABLE style=3D"WIDTH: 508px; HEIGHT: 25px" cellSpacing=3D2 width=3D508>
<TBODY>
<TR bgColor=3D#cccccc>
<TH class=3DBIG colSpan=3D5>Formula</TH></TR></TBODY></TABLE><PRE>d1=3D=
14;=20=20
d2=3D43;=20=20
F2=3DH-L<=3D0.001*d1*(H+L);=20=20
F1=3DH-L>=3D0.001*d2*(H+L);=20=20
Sell=3DF2;Buy=3DF1;=20=20
Buy=3DExRem(Buy,Sell);=20
Sell=3DExRem(Sell,Buy);=20=20
Short=3DSell;=20
Cover=3DBuy;=20=20
Short=3DExRem(Short,Cover);=20
Cover=3DExRem(Cover,Short);=20=20
//QQQ [14,43]=3D+177% [LONG]=20=20=20
//QQQ [14,43]=3D+359% [SHORT] AND=20=20=20
//QQQ [14,43]=3D+1175% [LONG & SHORT]=20
</PRE>
<P>
<TABLE style=3D"WIDTH: 515px; HEIGHT: 834px" cellSpacing=3D2 width=3D515>
<TBODY>
<TR bgColor=3D#cccccc>
<TH class=3DBIG colSpan=3D5>Overall performance summary</TH></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Total net profit:</TH>
<TD>264.53</TD>
<TD> </TD>
<TH>Total commissions paid:</TH>
<TD>0.00</TD></TR>
<TR>
<TH>Return on account:</TH>
<TD>264.53 % </TD>
<TD> </TD>
<TH>Open position gain/loss</TH>
<TD>0.00</TD></TR>
<TR>
<TH>Buy&Hold profit:</TH>
<TD>-48.43</TD>
<TD> </TD>
<TH>Bars (avg. days) in test:</TH>
<TD>826 (1200)</TD></TR>
<TR>
<TH>Buy&Hold % return:</TH>
<TD>-48.43%</TD>
<TD> </TD>
<TH>System to Buy&Hold index:</TH>
<TD>646.24%</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Annual system % return:</TD>=20
<TD>48.20%</TD>
<TD> </TD>
<TH>Annual B&H % return:</TH>
<TD>-18.24%</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>System drawdown:</TH>
<TD>-23.55</TD>
<TD> </TD>
<TH>B&H drawdown:</TH>
<TD>-49.83</TD></TR>
<TR>
<TH>Max. system drawdown:</TH>
<TD>-68.24</TD>
<TD> </TD>
<TH>B&H max. drawdown:</TH>
<TD>-185.53</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>-64.17</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>-63.24</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Total number of trades:</TH>
<TD>20</TD>
<TD> </TD>
<TH>Percent profitable:</TH>
<TD>85.0%</TD></TR>
<TR>
<TH>Number winning trades:</TH>
<TD>17</TD>
<TD> </TD>
<TH>Number losing trades:</TH>
<TD>3</TD></TR>
<TR>
<TH>Profit of winners:</TH>
<TD>306.59</TD>
<TD> </TD>
<TH>Loss of losers:</TH>
<TD>-42.07</TD></TR>
<TR>
<TH>Total # of bars in winners:</TH>
<TD>326</TD>
<TD> </TD>
<TH>Total # of bars in losers:</TH>
<TD>107</TD></TR>
<TR>
<TH>Commissions paid in winners:</TH>
<TD>0.00</TD>
<TD> </TD>
<TH>Commissions paid in losers:</TH>
<TD>0.00</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Largest winning trade:</TH>
<TD>39.23</TD>
<TD> </TD>
<TH>Largest losing trade:</TH>
<TD>-23.30</TD></TR>
<TR>
<TH># of bars in largest winner:</TH>
<TD>6</TD>
<TD> </TD>
<TH># bars in largest loser:</TH>
<TD>16</TD></TR>
<TR>
<TH>Commission paid in largest winner:</TH>
<TD>0.00</TD>
<TD> </TD>
<TH>Commission paid in largest loser:</TH>
<TD>0.00</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Average winning trade:</TH>
<TD>18.03</TD>
<TD> </TD>
<TH>Average losing trade:</TH>
<TD>-14.02</TD></TR>
<TR>
<TH>Avg. # of bars in winners:</TH>
<TD>19.2</TD>
<TD> </TD>
<TH>Avg. # bars in losers:</TH>
<TD>35.7</TD></TR>
<TR>
<TH>Avg. commission paid in winner:</TH>
<TD>0.00</TD>
<TD> </TD>
<TH>Avg. commission paid in loser:</TH>
<TD>0.00</TD></TR>
<TR>
<TH>Max consec. winners:</TH>
<TD>8</TD>
<TD> </TD>
<TH>Max consec. losers:</TH>
<TD>1</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Bars out of the market:</TH>
<TD>400</TD>
<TD> </TD>
<TH>Interest earned:</TH>
<TD>0.00</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Exposure:</TH>
<TD>51.6%</TD>
<TD> </TD>
<TH>Risk adjusted ann. return:</TH>
<TD>93.47%</TD></TR>
<TR>
<TH>Ratio avg win/avg loss:</TH>
<TD>1.29</TD>
<TD> </TD>
<TH>Avg. trade (win & loss):</TH>
<TD>13.23</TD></TR>
<TR>
<TH>Profit factor:</TH>
<TD>7.29</TD>
<TD> </TD>
<TH></TH>
<TD></TD></TR></TBODY></TABLE></P>
<P>
<P>
<TABLE style=3D"WIDTH: 500px; HEIGHT: 519px" cellSpacing=3D2 width=3D500>
<TBODY>
<TR bgColor=3D#cccccc>
<TD class=3DBIG align=3Dmiddle colSpan=3D5>Trade list for QQQ </TD></TR=
>
<TR>
<TH>Trade</TH>
<TD>Entry date</TD>
<TD>Exit date</TD>
<TD align=3Dright>Net Profit</TD>
<TD align=3Dright>Equity value</TD></TR>
<TR>
<TH>Long (profit)</TH>
<TD>1/7/00</TD>
<TD>1/11/00</TD>
<TD>10.63</TD>
<TD>110.63</TD></TR>
<TR>
<TH>Short</TH>
<TD>1/18/00</TD>
<TD>4/5/00</TD>
<TD>-6.53</TD>
<TD>104.09</TD></TR>
<TR>
<TH>Long (profit)</TH>
<TD>4/5/00</TD>
<TD>4/10/00</TD>
<TD>10.81</TD>
<TD>114.90</TD></TR>
<TR>
<TH>Short (profit)</TH>
<TD>5/2/00</TD>
<TD>5/10/00</TD>
<TD>12.72</TD>
<TD>127.62</TD></TR>
<TR>
<TH>Long (profit)</TH>
<TD>5/24/00</TD>
<TD>5/31/00</TD>
<TD>16.11</TD>
<TD>143.73</TD></TR>
<TR>
<TH>Short</TH>
<TD>6/5/00</TD>
<TD>8/4/00</TD>
<TD>0.39</TD>
<TD>144.12</TD></TR>
<TR>
<TH>Long</TH>
<TD>8/4/00</TD>
<TD>8/9/00</TD>
<TD>2.64</TD>
<TD>146.76</TD></TR>
<TR>
<TH>Short (profit)</TH>
<TD>8/9/00</TD>
<TD>10/4/00</TD>
<TD>15.96</TD>
<TD>162.72</TD></TR>
<TR>
<TH>Long</TH>
<TD>10/16/00</TD>
<TD>11/3/00</TD>
<TD>3.51</TD>
<TD>166.23</TD></TR>
<TR>
<TH>Short (profit)</TH>
<TD>11/3/00</TD>
<TD>11/10/00</TD>
<TD>17.30</TD>
<TD>183.53</TD></TR>
<TR>
<TH>Long</TH>
<TD>12/11/00</TD>
<TD>1/31/01</TD>
<TD>-12.24</TD>
<TD>171.29</TD></TR>
<TR>
<TH>Short (profit)</TH>
<TD>1/31/01</TD>
<TD>2/7/01</TD>
<TD>17.17</TD>
<TD>188.47</TD></TR>
<TR>
<TH>Long</TH>
<TD>2/12/01</TD>
<TD>3/6/01</TD>
<TD>-23.30</TD>
<TD>165.17</TD></TR>
<TR>
<TH>Short (profit)</TH>
<TD>3/6/01</TD>
<TD>3/12/01</TD>
<TD>17.75</TD>
<TD>182.92</TD></TR>
<TR>
<TH>Long (profit)</TH>
<TD>4/4/01</TD>
<TD>4/11/01</TD>
<TD>39.23</TD>
<TD>222.15</TD></TR>
<TR>
<TH>Short (profit)</TH>
<TD>4/30/01</TD>
<TD>6/20/01</TD>
<TD>23.79</TD>
<TD>245.94</TD></TR>
<TR>
<TH>Long (profit)</TH>
<TD>9/20/01</TD>
<TD>10/11/01</TD>
<TD>32.66</TD>
<TD>278.60</TD></TR>
<TR>
<TH>Short</TH>
<TD>10/16/01</TD>
<TD>10/18/01</TD>
<TD>15.82</TD>
<TD>294.43</TD></TR>
<TR>
<TH>Long (profit)</TH>
<TD>10/18/01</TD>
<TD>10/26/01</TD>
<TD>34.26</TD>
<TD>328.69</TD></TR>
<TR>
<TH>Short (profit)</TH>
<TD>11/5/01</TD>
<TD>4/25/02</TD>
<TD>35.84</TD>
<TD>364.53</TD></TR></TBODY></TABLE></P></FONT>
<P><FONT size=3D2>> -----Original Message-----<BR>> From: skbiker [<A=
=20
href=3D"mailto:skbiker@xxxx">mailto:skbiker@x...</A>]<BR>> Sen=
t:=20
Monday, June 24, 2002 10:21 AM<BR>> To: amibroker@xxxxxxxxxxxxxxx<BR>>=
;=20
Subject: [amibroker] QP2 data<BR>><BR>><BR>> Question for QP2=20
users. Did you try DT's HL script? If you did, were<BR>> there any=
=20
trades for 2002?<BR>><BR>> When I ran it here using the QP2 plugin an=
d AB=20
4.06.1 there were no<BR>> 2002 trades and a return if ~565%. When =
I=20
look at all the trade<BR>> arrows I find many sells in 2002 but no buys =
at=20
all. I then tries<BR>> all the d1/d2 values from 1-144 and still f=
ound=20
n 2002 trades. ?????<BR>><BR>> I am wondering whether there is some s=
ort=20
of problem with the QP2<BR>> plugin or if the trading idea is so sensiti=
ve to=20
particular price<BR>> values to cause this curious problem.<BR>><BR>&=
gt;=20
Ideas?<BR>> Sid<BR>><BR>><BR>><BR>><BR>>=20
------------------------ Yahoo! Groups Sponsor=20
---------------------~--><BR>> Free $5 Love Reading<BR>> Risk=20
Free!<BR>> <A href=3D"http://us.click.yahoo.com/3PCXaC/PfREAA/Ey.GAA/GHe=
qlB/TM"=20
target=3D_blank>http://us.click.yahoo.com/3PCXaC/PfREAA/Ey.GAA/GHeqlB/TM</A=
><BR>>=20
---------------------------------------------------------------------~->=
<BR>><BR>> <BR>><BR>>=20
Your use of Yahoo! Groups is subject to <A=20
href=3D"http://docs.yahoo.com/info/terms/"=20
target=3D_blank>http://docs.yahoo.com/info/terms/</A><BR>><BR>>=20
</FONT></P></DIV></BODY></HTML>
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