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Here is the system test report:
Anthony
dingo wrote:
> Sometimes the crossing doesn't actually occur on a day's boundary and
>
> will give the impression that the buy signal is "late" and extra day
> when looking at the chart without a trade list and a crosshair on the
> chart. I think that's what you're seeing.
>
> As to the extras - His system is designed to be in the market at all
> times. In other words: whenever you see the first buy he purchases
> stock, when you see the sell he not only sells the stock but he also
> shorts it at the same time. The next buy then actually covers the
> preceeding short but also buys. In other words there is an implicit
> short for every sale and an implicit cover for every buy. With it
> working this way you can't have 2 buys in a row or 2 shorts in a row.
>
> Does that help?
>
> dingo
>
> -----Original Message-----
> From: Anthony Faragasso [mailto:ajf1111@x...]
> Sent: Saturday, July 20, 2002 11:10 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] StoRSI
>
>
> Hello Dingo,
>
> If you look at the image file that I attached to the post, if you
> start
> from the left of the screen and counting the buy signals, the fourth
> and
> seventh buy signals do not jive with the StochRsi above it, Also,
> starting from the left of the screen and counting the boxes, the
> fourth
> box contains several buy signals ( 5 ?), the next box contains (2 ? )
> the last box contains ( 3 ? that can be seen ), What does Steve use to
>
> filter out the successive buy signals ?
>
> Thanks
> Anthony
>
> dingo wrote:
>
> > Anthony,
> >
> > Have you run the formula? I did and looked at every signal and
> > compared
> > my chart with his and they jibe. The buy arrows show up the day
> after
> >
> > the StochRsi Crosses the 17 line just as he said.
> >
> > According to the formula there aren't any extra signals. That's what
> a
> >
> > lot of the discussion on this thread has been about - how to make it
>
> > more efficient.
> >
> > dingo
> >
> > -----Original Message-----
> > From: Anthony Faragasso [mailto:ajf1111@x...]
> > Sent: Saturday, July 20, 2002 10:21 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] StoRSI
> >
> >
> > Hello Steve,
> >
> > Please see the attached image, Thank you for sharing the StochRsi
> > formula, but I have some questions regarding your buy signals, in
> your
> >
> > post you state "All trades are initiated on the opening, the day
> > following the signal."
> >
> > If this is true, then looking at the image file #1 you provided ,
> the
> > Buy signals do not seem to coincide with the Trigger level of the
> > StochRsi , Also, how do you filter out the excessive buy signals.
> > Would
> > you be able to share more of the formula ?
> >
> > Thank you
> > Anthony
> >
> > Steve Karnish wrote:
> >
> > > List, Last December, I presented my StoRSI indicator to the Fort
> > > Collins Market Technicians Association (a group that gets together
>
> > to
> > > drink beer and eat Mexican food...at an Irish Pub). At the time,
> I
> > > had been trading the system for approximately a year. It has
> > > continued to trade profitably during the past six months "slide to
>
> > > hell". For those who might of missed previous post, the guts of
> the
> >
> > > system are attached. Sorry, but I can only provide MetaStock
> code.
> > > All trades are initiated on the opening, the day following the
> > > signal. Take care, Steve Karnish, CTA
> > > Cedar Creek Trading
> > > www.cedarcreektrading.com
> > > 1-877-668-1125
> > >
> > >
> > > Yahoo! Groups Sponsor
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> >
> > >
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> Service.
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
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> >
> >
> >
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>
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>
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>
>
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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:
1/1/2000 - 7/19/2002
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:
15.00
Value:
50.00
Exit at stop?
yes
Exit at stop?
no
Trailing stop:
disabled
Value:
50.00
Exit at stop?
yes
FormulaStochRsi=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI(8),8)),3)*100;
Buy=Cross(17,StochRsi) AND ADX(14) > 20 AND RSI(4)<50;
Sell=Cross(StochRsi,83)AND ADX(14) > 13 AND RSI(4)>50;
Short=Sell;Cover=Buy;
Filter=1;
AddColumn(Buy,"buy");
Plot(Stochrsi,"",4,1);
Plot(17,"",5,1);
Plot(83,"",5,1);
Overall performance summary
Total net profit:
86319.28
Total commissions paid:
19133.73
Return on account:
863.19 %
Open position gain/loss
3380.30
Buy&Hold profit:
-7533.28
Bars (avg. days) in test:
638 (929)
Buy&Hold % return:
-75.33%
System to Buy&Hold index:
1245.84%
Annual system % return:
143.50%
Annual B&H % return:
-42.30%
System drawdown:
-820.67
B&H drawdown:
-7599.54
Max. system drawdown:
-15089.81
B&H max. drawdown:
-10126.83
Max. system % drawdown:
-32.53%
B&H max. % drawdown:
-80.84%
Max. trade drawdown:
-14049.78
Max. trade % drawdown:
-32.53%
Trade drawdown:
-12946.70
Total number of trades:
43
Percent profitable:
76.7%
Number winning trades:
33
Number losing trades:
10
Profit of winners:
104623.24
Loss of losers:
-21684.25
Total # of bars in winners:
543
Total # of bars in losers:
133
Commissions paid in winners:
14052.14
Commissions paid in losers:
5081.59
Largest winning trade:
9659.32
Largest losing trade:
-8284.14
# of bars in largest winner:
6
# bars in largest loser:
16
Commission paid in largest winner:
859.77
Commission paid in largest loser:
852.86
Average winning trade:
3170.40
Average losing trade:
-2168.43
Avg. # of bars in winners:
16.5
Avg. # bars in losers:
13.3
Avg. commission paid in winner:
425.82
Avg. commission paid in loser:
508.16
Max consec. winners:
5
Max consec. losers:
1
Bars out of the market:
3
Interest earned:
0.00
Exposure:
99.5%
Risk adjusted ann. return:
144.18%
Ratio avg win/avg loss:
1.46
Avg. trade (win & loss):
1928.81
Profit factor:
4.82
Performance for QQQ
Total net profit:
86319.28
Total commissions paid:
19133.73
Return on account:
863.19 %
Open position gain/loss
3380.30
Buy&Hold profit:
-7533.28
Bars (days) in test:
638 (929)
Buy&Hold % return:
-75.33%
System to Buy&Hold index:
1245.84%
Annual system % return:
143.50%
Annual B&H % return:
-42.30%
System drawdown:
-820.67
B&H drawdown:
-7599.54
Max. system drawdown:
-15089.81
B&H max. drawdown:
-10126.83
Max. system % drawdown:
-32.53%
B&H max. % drawdown:
-80.84%
Max. trade drawdown:
-14049.78
Max. trade % drawdown:
-32.53%
Trade drawdown:
-12946.70
Total number of trades:
43
Percent profitable:
76.7%
Number winning trades:
33
Number losing trades:
10
Profit of winners:
104623.24
Loss of losers:
-21684.25
Total # of bars in winners:
543
Total # of bars in losers:
133
Commissions paid in winners:
14052.14
Commissions paid in losers:
5081.59
Largest winning trade:
9659.32
Largest losing trade:
-8284.14
# of bars in largest winner:
6
# bars in largest loser:
16
Commission paid in largest winner:
859.77
Commission paid in largest loser:
852.86
Average winning trade:
3170.40
Average losing trade:
-2168.43
Avg. # of bars in winners:
16.5
Avg. # bars in losers:
13.3
Avg. commission paid in winner:
425.82
Avg. commission paid in loser:
508.16
Max consec. winners:
5
Max consec. losers:
1
Bars out of the market:
3
Interest earned:
0.00
Exposure:
99.5%
Risk adjusted ann. return:
144.18%
Ratio avg win/avg loss:
1.46
Avg. trade (win & loss):
1928.81
Profit factor:
4.82
Trade list for QQQ
Trade
Entry date
Entry price
Exit date
Exit price
Position size
Net Profit
Equity value
Out
1/3/2000
96.19
1/6/2000
86.88
0.00
0.00
10000.00
Long
1/6/2000
86.88
1/19/2000
93.49
10000.00
657.02
10657.02
Short
1/19/2000
93.49
1/31/2000
85.88
10657.02
756.56
11413.58
Long
1/31/2000
85.88
2/4/2000
97.00
11413.58
1356.34
12769.92
Short
2/4/2000
97.00
4/13/2000
92.81
12769.92
421.15
13191.07
Long
4/13/2000
92.81
4/26/2000
90.63
13191.07
-440.20
12750.87
Short
4/26/2000
90.63
5/10/2000
84.38
12750.87
747.42
13498.28
Long
5/10/2000
84.38
5/17/2000
89.25
13498.28
640.18
14138.46
Short
5/17/2000
89.25
5/24/2000
75.00
14138.46
2104.73
16243.19
Long
5/24/2000
75.00
6/2/2000
92.63
16243.19
3636.71
19879.90
Short
6/2/2000
92.63
9/19/2000
90.75
19879.90
202.66
20082.56
Long
9/19/2000
90.75
10/20/2000
84.50
20082.56
-1577.01
18505.55
Short
10/20/2000
84.50
10/31/2000
78.00
18505.55
1231.33
19736.88
Long
10/31/2000
78.00
11/6/2000
83.63
19736.88
1220.11
20956.99
Short
11/6/2000
83.63
11/13/2000
70.95
20956.99
2952.05
23909.03
Long
11/13/2000
70.95
12/12/2000
73.50
23909.03
615.92
24524.96
Short
12/12/2000
73.50
12/18/2000
65.16
24524.96
2523.67
27048.63
Long
12/18/2000
65.16
12/28/2000
60.78
27048.63
-2079.58
24969.04
Short
12/28/2000
60.78
2/23/2001
50.09
24969.04
4119.91
29088.95
Long
2/23/2001
50.09
3/8/2001
49.35
29088.95
-718.48
28370.47
Short
3/8/2001
49.35
4/3/2001
37.20
28370.47
6666.20
35036.67
Long
4/3/2001
37.20
4/11/2001
42.16
35036.67
4297.83
39334.50
Short
4/11/2001
42.16
4/27/2001
45.15
39334.50
-3169.01
36165.48
Long
4/27/2001
45.15
5/21/2001
48.17
36165.48
2045.29
38210.77
Short
5/21/2001
48.17
8/22/2001
37.45
38210.77
8078.99
46289.77
Long
8/22/2001
37.45
8/28/2001
39.32
46289.77
1836.94
48126.71
Short
8/28/2001
39.32
9/5/2001
35.49
48126.71
4183.12
52309.83
Long
9/5/2001
35.49
11/8/2001
38.55
52309.83
3964.58
56274.41
Short
11/8/2001
38.55
12/4/2001
39.24
56274.41
-1564.96
54709.45
Long
12/4/2001
39.24
12/7/2001
42.48
54709.45
3947.61
58657.06
Short
12/7/2001
42.48
12/17/2001
40.02
58657.06
2793.25
61450.31
Long
12/17/2001
40.02
1/7/2002
42.11
61450.31
2578.63
64028.93
Short
1/7/2002
42.11
2/6/2002
36.84
64028.93
7332.77
71361.70
Long
2/6/2002
36.84
2/14/2002
37.15
71361.70
-116.12
71245.57
Short
2/14/2002
37.15
2/25/2002
34.00
71245.57
5298.35
76543.93
Long
2/25/2002
34.00
3/5/2002
36.93
76543.93
5797.87
82341.79
Short
3/5/2002
36.93
3/28/2002
36.02
82341.79
1195.44
83537.23
Long
3/28/2002
36.02
4/17/2002
35.40
83537.23
-2266.08
81271.15
Short
4/17/2002
35.40
4/25/2002
32.30
81271.15
6268.67
87539.83
Long
4/25/2002
32.30
5/15/2002
32.08
87539.83
-1468.66
86071.17
Short
5/15/2002
32.08
5/29/2002
30.66
86071.17
2930.13
89001.30
Long
5/29/2002
30.66
6/19/2002
28.10
89001.30
-8284.14
80717.15
Short
6/19/2002
28.10
6/26/2002
24.44
80717.15
9659.32
90376.47
Long
6/26/2002
24.44
7/18/2002
25.38
90376.47
2562.51
92938.98
Open Short
7/18/2002
25.38
7/19/2002
24.33
92938.98
3380.30
96319.28
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