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Try this on the QQQ's:
set range to : 1/01/2000 to 7/19/2002
Current Stock
In the settings window:
positions= long and short
buy=open
sell=open
short=open
cover=open
all delays=1
commision= .5 %
all other settings disabled
/****************************************************/
StochRsi=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);
/*******************************************************/
+863.19 %
43 trades = 33profit/10 loss=76.7%
And for the Period 1/01/02 to 7/19/02
Same settings as above.
+50.43 %
12 trades= 8 profit / 4 loss= 66.7%
Hope this helps
Anthony
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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