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Peter
-----Original Message-----
From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
Sent: Monday, June 24, 2002 3:52 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] QQQ, Individual Analysis
For the data comparison, here is my optimization results.
Data from YHOO via Amiquote.
Dimitris Tsokakis
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
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<DIV><SPAN class=3D471431120-24062002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>Data=20
from Yahoo via AmiQuote - still no trades for 2002.</FONT></SPAN></DIV>
<DIV><SPAN class=3D471431120-24062002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D471431120-24062002><FONT face=3DArial color=3D#0000ff=20
size=3D2>Peter</FONT></SPAN></DIV>
<BLOCKQUOTE>
<DIV class=3DOutlookMessageHeader dir=3Dltr align=3Dleft><FONT face=3DTah=
oma=20
size=3D2>-----Original Message-----<BR><B>From:</B> Dimitris Tsokakis=20
[mailto:TSOKAKIS@x...]<BR><B>Sent:</B> Monday, June 24, 2002 3:52=20
PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> [amibroker]=
QQQ,=20
Individual Analysis<BR><BR></FONT></DIV>
<DIV><FONT size=3D2>For the data comparison, here is my optimization=20
results.</FONT></DIV>
<DIV><FONT size=3D2>Data from YHOO via Amiquote.</FONT></DIV>
<DIV><FONT size=3D2>Dimitris Tsokakis</FONT></DIV><BR><TT>Your use of Yah=
oo!=20
Groups is subject to the <A href=3D"http://docs.yahoo.com/info/terms/";>Ya=
hoo!=20
Terms of Service</A>.</TT> <BR></BLOCKQUOTE></BODY></HTML>
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Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
1/3/2000 - 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:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Formulad1=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]
Filter=C>0;
AddColumn(H-L,"H-L");
//AddColumn(H+L,"H+L");
AddColumn(0.001*d1*(H+L),"F2");
AddColumn(0.001*d2*(H+L),"F1");
Performance for QQQ
Total net profit:
105504.85
Total commissions paid:
5400.92
Return on account:
1055.05 %
Open position gain/loss
24414.71
Buy&Hold profit:
-7323.29
Bars (days) in test:
619 (901)
Buy&Hold % return:
-73.23%
System to Buy&Hold index:
1540.68%
Annual system % return:
169.44%
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:
17
Percent profitable:
88.2%
Number winning trades:
15
Number losing trades:
2
Profit of winners:
82222.56
Loss of losers:
-1132.42
Total # of bars in winners:
399
Total # of bars in losers:
75
Commissions paid in winners:
5193.19
Commissions paid in losers:
207.73
Largest winning trade:
17706.79
Largest losing trade:
-755.18
# of bars in largest winner:
97
# bars in largest loser:
56
Commission paid in largest winner:
590.76
Commission paid in largest loser:
106.71
Average winning trade:
5481.50
Average losing trade:
-566.21
Avg. # of bars in winners:
26.6
Avg. # bars in losers:
37.5
Avg. commission paid in winner:
346.21
Avg. commission paid in loser:
103.87
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:
170.54%
Ratio avg win/avg loss:
9.68
Avg. trade (win & loss):
4770.01
Profit factor:
72.61
Trade list for QQQ
Trade
Entry date
Exit date
Net Profit
Equity value
Out
1/3/2000
1/7/2000
0.00
10000.00
Long
1/7/2000
1/18/2000
995.29
10995.29
Short
1/18/2000
4/5/2000
-755.18
10240.11
Long
4/5/2000
5/2/2000
-377.24
9862.87
Short
5/2/2000
5/24/2000
1956.77
11819.64
Long
5/24/2000
6/12/2000
2909.75
14729.39
Short
6/12/2000
8/4/2000
211.68
14941.07
Long
8/4/2000
8/16/2000
83.28
15024.35
Short
8/16/2000
10/16/2000
1820.80
16845.15
Long
10/16/2000
11/3/2000
193.13
17038.28
Short
11/3/2000
12/20/2000
5058.54
22096.83
Long
12/20/2000
1/31/2001
3592.40
25689.23
Short
1/31/2001
4/4/2001
12111.11
37800.33
Long
4/4/2001
4/30/2001
12126.60
49926.93
Short
4/30/2001
9/20/2001
17706.79
67633.73
Long
9/20/2001
10/16/2001
11634.39
79268.11
Short
10/16/2001
10/18/2001
3667.46
82935.58
Long
10/18/2001
11/5/2001
8154.56
91090.14
Open Short
11/5/2001
6/21/2002
24414.71
115504.85
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