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Definitely something strange going on. Here is Yahoo data (historical fromCSI) showing a significant difference (1055% vs 740%). Notice the 2002 trades. Besides data and the program what could be the source of the difference?
Bill
----- Original Message -----
From: bluesinvestor
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, June 24, 2002 4:15 PM
Subject: RE: [amibroker] QQQ, Individual Analysis
Data from Yahoo via AmiQuote - still no trades for 2002.
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.
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
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<DIV><STRONG><FONT size=2>Peter:</FONT></STRONG></DIV>
<DIV><STRONG><FONT size=2></FONT></STRONG> </DIV>
<DIV><STRONG><FONT size=2>Definitely something strange going on. Here is
Yahoo data (historical from CSI) showing a significant difference (1055% vs
740%). Notice the 2002 trades. Besides data and the program what
could be the source of the difference?</FONT></STRONG></DIV>
<DIV><STRONG><FONT size=2></FONT></STRONG> </DIV>
<DIV><STRONG><FONT size=2>Bill</FONT></STRONG></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>
<A title=investor@xxxx
href="mailto:investor@xxxx";>bluesinvestor</A> </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 4:15 PM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> RE: [amibroker] QQQ, Individual
Analysis</DIV>
<DIV><BR></DIV>
<DIV><SPAN class=471431120-24062002><FONT face=Arial color=#0000ff size=2>Data
from Yahoo via AmiQuote - still no trades for 2002.</FONT></SPAN></DIV>
<DIV><SPAN class=471431120-24062002><FONT face=Arial color=#0000ff
size=2></FONT></SPAN> </DIV>
<DIV><SPAN class=471431120-24062002><FONT face=Arial color=#0000ff
size=2>Peter</FONT></SPAN></DIV>
<BLOCKQUOTE>
<DIV class=OutlookMessageHeader dir=ltr align=left><FONT face=Tahoma
size=2>-----Original Message-----<BR><B>From:</B> Dimitris Tsokakis
[mailto:TSOKAKIS@x...]<BR><B>Sent:</B> Monday, June 24, 2002 3:52
PM<BR><B>To:</B> <A
href="mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A><BR><B>Subject:</B>
[amibroker] QQQ, Individual Analysis<BR><BR></FONT></DIV>
<DIV><FONT size=2>For the data comparison, here is my optimization
results.</FONT></DIV>
<DIV><FONT size=2>Data from YHOO via Amiquote.</FONT></DIV>
<DIV><FONT size=2>Dimitris Tsokakis</FONT></DIV><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><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_0086_01C21BBD.F879DCA0--
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:
1.00
Value:
1.00
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");
Overall performance summary
Total net profit:
74041.39
Total commissions paid:
5525.23
Return on account:
740.41 %
Open position gain/loss
12400.11
Buy&Hold profit:
-7322.57
Bars (avg. days) in test:
623 (901)
Buy&Hold % return:
-73.23%
System to Buy&Hold index:
1111.14%
Annual system % return:
136.87%
Annual B&H % return:
-41.36%
System drawdown:
-2402.30
B&H drawdown:
-7333.40
Max. system drawdown:
-14192.60
B&H max. drawdown:
-9860.69
Max. system % drawdown:
-44.31%
B&H max. % drawdown:
-78.71%
Max. trade drawdown:
-12199.42
Max. trade % drawdown:
-44.31%
Trade drawdown:
-12027.12
Total number of trades:
19
Percent profitable:
84.2%
Number winning trades:
16
Number losing trades:
3
Profit of winners:
64231.62
Loss of losers:
-2590.34
Total # of bars in winners:
501
Total # of bars in losers:
110
Commissions paid in winners:
5133.12
Commissions paid in losers:
392.11
Largest winning trade:
12145.13
Largest losing trade:
-1457.88
# of bars in largest winner:
99
# bars in largest loser:
35
Commission paid in largest winner:
405.20
Commission paid in largest loser:
184.41
Average winning trade:
4014.48
Average losing trade:
-863.45
Avg. # of bars in winners:
31.3
Avg. # bars in losers:
36.7
Avg. commission paid in winner:
320.82
Avg. commission paid in loser:
130.70
Max consec. winners:
8
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
0.00
Exposure:
99.4%
Risk adjusted ann. return:
137.76%
Ratio avg win/avg loss:
4.65
Avg. trade (win & loss):
3244.28
Profit factor:
24.80
Performance for QQQ
Total net profit:
74041.39
Total commissions paid:
5525.23
Return on account:
740.41 %
Open position gain/loss
12400.11
Buy&Hold profit:
-7322.57
Bars (days) in test:
623 (901)
Buy&Hold % return:
-73.23%
System to Buy&Hold index:
1111.14%
Annual system % return:
136.87%
Annual B&H % return:
-41.36%
System drawdown:
-2402.30
B&H drawdown:
-7333.40
Max. system drawdown:
-14192.60
B&H max. drawdown:
-9860.69
Max. system % drawdown:
-44.31%
B&H max. % drawdown:
-78.71%
Max. trade drawdown:
-12199.42
Max. trade % drawdown:
-44.31%
Trade drawdown:
-12027.12
Total number of trades:
19
Percent profitable:
84.2%
Number winning trades:
16
Number losing trades:
3
Profit of winners:
64231.62
Loss of losers:
-2590.34
Total # of bars in winners:
501
Total # of bars in losers:
110
Commissions paid in winners:
5133.12
Commissions paid in losers:
392.11
Largest winning trade:
12145.13
Largest losing trade:
-1457.88
# of bars in largest winner:
99
# bars in largest loser:
35
Commission paid in largest winner:
405.20
Commission paid in largest loser:
184.41
Average winning trade:
4014.48
Average losing trade:
-863.45
Avg. # of bars in winners:
31.3
Avg. # bars in losers:
36.7
Avg. commission paid in winner:
320.82
Avg. commission paid in loser:
130.70
Max consec. winners:
8
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
0.00
Exposure:
99.4%
Risk adjusted ann. return:
137.76%
Ratio avg win/avg loss:
4.65
Avg. trade (win & loss):
3244.28
Profit factor:
24.80
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
994.09
10994.09
Short
1/18/2000
4/5/2000
-756.35
10237.74
Long
4/5/2000
5/2/2000
-376.11
9861.63
Short
5/2/2000
5/24/2000
1957.34
11818.97
Long
5/24/2000
6/12/2000
2909.58
14728.55
Short
6/12/2000
8/4/2000
211.67
14940.22
Long
8/4/2000
8/16/2000
83.28
15023.49
Short
8/16/2000
10/16/2000
1819.10
16842.59
Long
10/16/2000
11/3/2000
193.06
17035.65
Short
11/3/2000
12/11/2000
2042.53
19078.18
Long
12/11/2000
1/31/2001
-1457.88
17620.30
Short
1/31/2001
4/4/2001
8307.04
25927.34
Long
4/4/2001
4/30/2001
8317.66
34245.00
Short
4/30/2001
9/20/2001
12145.13
46390.13
Long
9/20/2001
10/16/2001
7980.05
54370.18
Short
10/16/2001
10/18/2001
2515.52
56885.70
Long
10/18/2001
11/5/2001
5593.23
62478.94
Short
11/5/2001
4/29/2002
7981.83
70460.76
Long
4/29/2002
5/15/2002
1180.52
71641.28
Open Short
5/15/2002
6/21/2002
12400.11
84041.39
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