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Are we ok on the interpretation of Steve's chart? I'm not sure I was
understanding what you were asking...
I've run your formula and the equity curve looks very nice. I've
attached my results and we start differing on the cover of the short on
6/2/2000.
My values for 9/19/2000 for QQQ are: Open 90.75 Hi 93.78 Lo 89.88 Close
93.18999.
I'm using TC2000 for data. What are you using?
It sure seems that the accuracy of the data is VERY important. One
badly placed error can cause havok to our systems!! This is very
worrisome to me.
When you run a back test what you do look for in the results to tell you
how you did? I've come to realize that the total net profit is not the
ultimate test. But from there I'm not sure as to what the danger signals
are and how to interpret them. Any guidance would be most appreciated.
dingo
(not sure I attached the results properly...)
-----Original Message-----
From: Anthony Faragasso [mailto:ajf1111@x...]
Sent: Sunday, July 21, 2002 7:27 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] StoRSI
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
Formula
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);
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
------=_NextPart_001_0037_01C230B2.94FE4940
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<BODY>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>Thanks for the=20
forumla!</FONT></SPAN></DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2></FONT></SPAN> </=
DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>Are we ok on the inter=
pretation=20
of Steve's chart? I'm not sure I was understanding what you were=20
asking...</FONT></SPAN></DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2></FONT></SPAN> </=
DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>I've run your formula =
and the=20
equity curve looks very nice. I've attached my results and we start=20
differing on the cover of the short on 6/2/2000.</FONT></SPAN></DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2></FONT></SPAN> </=
DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>My values for 9/19/200=
0 for QQQ=20
are: Open 90.75 Hi 93.78 Lo 89.88 Close 93.18999.</FONT></SPAN></DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D1></FONT></SPAN> </=
DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>I'm using TC2000 for d=
ata. What=20
are you using? </FONT></SPAN></DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2></FONT></SPAN> </=
DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>It sure seems that the=
accuracy=20
of the data is VERY important. One badly placed error can cause havok=
to=20
our systems!! This is very worrisome to me.</FONT></SPAN></DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2></FONT></SPAN> </=
DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>When you run a back te=
st what=20
you do look for in the results to tell you how you did? I've come to realiz=
e=20
that the total net profit is not the ultimate test. But from there I'm not =
sure=20
as to what the danger signals are and how to interpret them. Any guidance w=
ould=20
be most appreciated.</FONT></SPAN></DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2></FONT></SPAN> </=
DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>dingo</FONT></SPAN></D=
IV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2></FONT></SPAN> </=
DIV>
<DIV><SPAN class=3D183591316-21072002><FONT size=3D2>(not sure I attached t=
he=20
results properly...)</FONT></SPAN></DIV>
<BLOCKQUOTE dir=3Dltr style=3D"MARGIN-RIGHT: 0px">
<DIV></DIV>
<DIV class=3DOutlookMessageHeader lang=3Den-us dir=3Dltr align=3Dleft><FO=
NT=20
size=3D2>-----Original Message-----<BR><B>From:</B> Anthony Faragasso=20
[mailto:ajf1111@x...] <BR><B>Sent:</B> Sunday, July 21, 2002 7:27=20
AM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> [amibroker]=
=20
StoRSI<BR><BR></FONT></DIV>
<TABLE cellSpacing=3D2 width=3D"100%">
<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>10000</TD>
<TD></TD>
<TH>Periodicity/Positions:</TD>=20
<TD>Daily/Long Short</TD></TR>
<TR>
<TH>Commissions:</TH>
<TD>0.50 %</TD>
<TD></TD>
<TH>Annual interest rate:</TH>
<TD>0.00%</TD></TR>
<TR>
<TH>Range:</TH>
<TD>1/1/2000 - 7/19/2002</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>disabled</TD></TR>
<TR>
<TH>Value:</TH>
<TD>15.00</TD>
<TD></TD>
<TH>Value:</TD>=20
<TD>50.00</TD></TR>
<TR>
<TH>Exit at stop?</TH>
<TD>yes</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>50.00</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>
<TABLE cellSpacing=3D2 width=3D"100%">
<TBODY>
<TR bgColor=3D#cccccc>
<TH class=3DBIG colSpan=3D5>Formula</TH></TR></TBODY></TABLE><PRE>Sto=
chRsi=3DEMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI(8),8)),3)*100;=20
=20
=20
=20
Buy=3DCross(17,StochRsi) AND ADX(14) > 20 AND RSI(4)<50;=20
Sell=3DCross(StochRsi,83)AND ADX(14) > 13 AND RSI(4)>50;=20
Short=3DSell;Cover=3DBuy;=20
Filter=3D1;=20
AddColumn(Buy,"buy");=20
Plot(Stochrsi,"",4,1);=20
Plot(17,"",5,1);=20
Plot(83,"",5,1);
</PRE>
<TABLE cellSpacing=3D2 width=3D"100%">
<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>86319.28</TD>
<TD> </TD>
<TH>Total commissions paid:</TH>
<TD>19133.73</TD></TR>
<TR>
<TH>Return on account:</TH>
<TD>863.19 % </TD>
<TD> </TD>
<TH>Open position gain/loss</TH>
<TD>3380.30</TD></TR>
<TR>
<TH>Buy&Hold profit:</TH>
<TD>-7533.28</TD>
<TD> </TD>
<TH>Bars (avg. days) in test:</TH>
<TD>638 (929)</TD></TR>
<TR>
<TH>Buy&Hold % return:</TH>
<TD>-75.33%</TD>
<TD> </TD>
<TH>System to Buy&Hold index:</TH>
<TD>1245.84%</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Annual system % return:</TD>=20
<TD>143.50%</TD>
<TD> </TD>
<TH>Annual B&H % return:</TH>
<TD>-42.30%</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>System drawdown:</TH>
<TD>-820.67</TD>
<TD> </TD>
<TH>B&H drawdown:</TH>
<TD>-7599.54</TD></TR>
<TR>
<TH>Max. system drawdown:</TH>
<TD>-15089.81</TD>
<TD> </TD>
<TH>B&H max. drawdown:</TH>
<TD>-10126.83</TD></TR>
<TR>
<TH>Max. system % drawdown:</TH>
<TD>-32.53%</TD>
<TD> </TD>
<TH>B&H max. % drawdown:</TH>
<TD>-80.84%</TD></TR>
<TR>
<TH>Max. trade drawdown:</TH>
<TD>-14049.78</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH>Max. trade % drawdown:</TH>
<TD>-32.53%</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH>Trade drawdown:</TH>
<TD>-12946.70</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Total number of trades:</TH>
<TD>43</TD>
<TD> </TD>
<TH>Percent profitable:</TH>
<TD>76.7%</TD></TR>
<TR>
<TH>Number winning trades:</TH>
<TD>33</TD>
<TD> </TD>
<TH>Number losing trades:</TH>
<TD>10</TD></TR>
<TR>
<TH>Profit of winners:</TH>
<TD>104623.24</TD>
<TD> </TD>
<TH>Loss of losers:</TH>
<TD>-21684.25</TD></TR>
<TR>
<TH>Total # of bars in winners:</TH>
<TD>543</TD>
<TD> </TD>
<TH>Total # of bars in losers:</TH>
<TD>133</TD></TR>
<TR>
<TH>Commissions paid in winners:</TH>
<TD>14052.14</TD>
<TD> </TD>
<TH>Commissions paid in losers:</TH>
<TD>5081.59</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Largest winning trade:</TH>
<TD>9659.32</TD>
<TD> </TD>
<TH>Largest losing trade:</TH>
<TD>-8284.14</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>859.77</TD>
<TD> </TD>
<TH>Commission paid in largest loser:</TH>
<TD>852.86</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Average winning trade:</TH>
<TD>3170.40</TD>
<TD> </TD>
<TH>Average losing trade:</TH>
<TD>-2168.43</TD></TR>
<TR>
<TH>Avg. # of bars in winners:</TH>
<TD>16.5</TD>
<TD> </TD>
<TH>Avg. # bars in losers:</TH>
<TD>13.3</TD></TR>
<TR>
<TH>Avg. commission paid in winner:</TH>
<TD>425.82</TD>
<TD> </TD>
<TH>Avg. commission paid in loser:</TH>
<TD>508.16</TD></TR>
<TR>
<TH>Max consec. winners:</TH>
<TD>5</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>3</TD>
<TD> </TD>
<TH>Interest earned:</TH>
<TD>0.00</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Exposure:</TH>
<TD>99.5%</TD>
<TD> </TD>
<TH>Risk adjusted ann. return:</TH>
<TD>144.18%</TD></TR>
<TR>
<TH>Ratio avg win/avg loss:</TH>
<TD>1.46</TD>
<TD> </TD>
<TH>Avg. trade (win & loss):</TH>
<TD>1928.81</TD></TR>
<TR>
<TH>Profit factor:</TH>
<TD>4.82</TD>
<TD> </TD>
<TH></TH>
<TD></TD></TR></TBODY></TABLE>
<P>
<P>
<TABLE cellSpacing=3D2 width=3D"100%">
<TBODY>
<TR bgColor=3D#cccccc>
<TH class=3DBIG colSpan=3D5>Performance for QQQ </TH></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Total net profit:</TH>
<TD>86319.28</TD>
<TD> </TD>
<TH>Total commissions paid:</TH>
<TD>19133.73</TD></TR>
<TR>
<TH>Return on account:</TH>
<TD>863.19 % </TD>
<TD> </TD>
<TH>Open position gain/loss</TH>
<TD>3380.30</TD></TR>
<TR>
<TH>Buy&Hold profit:</TH>
<TD>-7533.28</TD>
<TD> </TD>
<TH>Bars (days) in test:</TH>
<TD>638 (929)</TD></TR>
<TR>
<TH>Buy&Hold % return:</TH>
<TD>-75.33%</TD>
<TD> </TD>
<TH>System to Buy&Hold index:</TH>
<TD>1245.84%</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Annual system % return:</TD>=20
<TD>143.50%</TD>
<TD> </TD>
<TH>Annual B&H % return:</TH>
<TD>-42.30%</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>System drawdown:</TH>
<TD>-820.67</TD>
<TD> </TD>
<TH>B&H drawdown:</TH>
<TD>-7599.54</TD></TR>
<TR>
<TH>Max. system drawdown:</TH>
<TD>-15089.81</TD>
<TD> </TD>
<TH>B&H max. drawdown:</TH>
<TD>-10126.83</TD></TR>
<TR>
<TH>Max. system % drawdown:</TH>
<TD>-32.53%</TD>
<TD> </TD>
<TH>B&H max. % drawdown:</TH>
<TD>-80.84%</TD></TR>
<TR>
<TH>Max. trade drawdown:</TH>
<TD>-14049.78</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH>Max. trade % drawdown:</TH>
<TD>-32.53%</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH>Trade drawdown:</TH>
<TD>-12946.70</TD>
<TD> </TD>
<TH> </TH>
<TD> </TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Total number of trades:</TH>
<TD>43</TD>
<TD> </TD>
<TH>Percent profitable:</TH>
<TD>76.7%</TD></TR>
<TR>
<TH>Number winning trades:</TH>
<TD>33</TD>
<TD> </TD>
<TH>Number losing trades:</TH>
<TD>10</TD></TR>
<TR>
<TH>Profit of winners:</TH>
<TD>104623.24</TD>
<TD> </TD>
<TH>Loss of losers:</TH>
<TD>-21684.25</TD></TR>
<TR>
<TH>Total # of bars in winners:</TH>
<TD>543</TD>
<TD> </TD>
<TH>Total # of bars in losers:</TH>
<TD>133</TD></TR>
<TR>
<TH>Commissions paid in winners:</TH>
<TD>14052.14</TD>
<TD> </TD>
<TH>Commissions paid in losers:</TH>
<TD>5081.59</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Largest winning trade:</TH>
<TD>9659.32</TD>
<TD> </TD>
<TH>Largest losing trade:</TH>
<TD>-8284.14</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>859.77</TD>
<TD> </TD>
<TH>Commission paid in largest loser:</TH>
<TD>852.86</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Average winning trade:</TH>
<TD>3170.40</TD>
<TD> </TD>
<TH>Average losing trade:</TH>
<TD>-2168.43</TD></TR>
<TR>
<TH>Avg. # of bars in winners:</TH>
<TD>16.5</TD>
<TD> </TD>
<TH>Avg. # bars in losers:</TH>
<TD>13.3</TD></TR>
<TR>
<TH>Avg. commission paid in winner:</TH>
<TD>425.82</TD>
<TD> </TD>
<TH>Avg. commission paid in loser:</TH>
<TD>508.16</TD></TR>
<TR>
<TH>Max consec. winners:</TH>
<TD>5</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>3</TD>
<TD> </TD>
<TH>Interest earned:</TH>
<TD>0.00</TD></TR>
<TR>
<TH colSpan=3D5> </TH></TR>
<TR>
<TH>Exposure:</TH>
<TD>99.5%</TD>
<TD> </TD>
<TH>Risk adjusted ann. return:</TH>
<TD>144.18%</TD></TR>
<TR>
<TH>Ratio avg win/avg loss:</TH>
<TD>1.46</TD>
<TD> </TD>
<TH>Avg. trade (win & loss):</TH>
<TD>1928.81</TD></TR>
<TR>
<TH>Profit factor:</TH>
<TD>4.82</TD>
<TD> </TD>
<TH></TH>
<TD></TD></TR></TBODY></TABLE>
<P>
<P>
<TABLE cellSpacing=3D2 width=3D"100%">
<TBODY>
<TR bgColor=3D#cccccc>
<TD class=3DBIG align=3Dmiddle colSpan=3D8>Trade list for QQQ </TD></=
TR>
<TR>
<TH>Trade</TH>
<TD>Entry date</TD>
<TD align=3Dright>Entry price</TD>
<TD>Exit date</TD>
<TD align=3Dright>Exit price</TD>
<TD align=3Dright>Position size</TD>
<TD align=3Dright>Net Profit</TD>
<TD align=3Dright>Equity value</TD></TR>
<TR>
<TH>Out</TH>
<TD>1/3/2000</TD>
<TD>96.19</TD>
<TD>1/6/2000</TD>
<TD>86.88</TD>
<TD>0.00</TD>
<TD>0.00</TD>
<TD>10000.00</TD></TR>
<TR>
<TH>Long</TH>
<TD>1/6/2000</TD>
<TD>86.88</TD>
<TD>1/19/2000</TD>
<TD>93.49</TD>
<TD>10000.00</TD>
<TD>657.02</TD>
<TD>10657.02</TD></TR>
<TR>
<TH>Short</TH>
<TD>1/19/2000</TD>
<TD>93.49</TD>
<TD>1/31/2000</TD>
<TD>85.88</TD>
<TD>10657.02</TD>
<TD>756.56</TD>
<TD>11413.58</TD></TR>
<TR>
<TH>Long</TH>
<TD>1/31/2000</TD>
<TD>85.88</TD>
<TD>2/4/2000</TD>
<TD>97.00</TD>
<TD>11413.58</TD>
<TD>1356.34</TD>
<TD>12769.92</TD></TR>
<TR>
<TH>Short</TH>
<TD>2/4/2000</TD>
<TD>97.00</TD>
<TD>4/13/2000</TD>
<TD>92.81</TD>
<TD>12769.92</TD>
<TD>421.15</TD>
<TD>13191.07</TD></TR>
<TR>
<TH>Long</TH>
<TD>4/13/2000</TD>
<TD>92.81</TD>
<TD>4/26/2000</TD>
<TD>90.63</TD>
<TD>13191.07</TD>
<TD>-440.20</TD>
<TD>12750.87</TD></TR>
<TR>
<TH>Short</TH>
<TD>4/26/2000</TD>
<TD>90.63</TD>
<TD>5/10/2000</TD>
<TD>84.38</TD>
<TD>12750.87</TD>
<TD>747.42</TD>
<TD>13498.28</TD></TR>
<TR>
<TH>Long</TH>
<TD>5/10/2000</TD>
<TD>84.38</TD>
<TD>5/17/2000</TD>
<TD>89.25</TD>
<TD>13498.28</TD>
<TD>640.18</TD>
<TD>14138.46</TD></TR>
<TR>
<TH>Short</TH>
<TD>5/17/2000</TD>
<TD>89.25</TD>
<TD>5/24/2000</TD>
<TD>75.00</TD>
<TD>14138.46</TD>
<TD>2104.73</TD>
<TD>16243.19</TD></TR>
<TR>
<TH>Long</TH>
<TD>5/24/2000</TD>
<TD>75.00</TD>
<TD>6/2/2000</TD>
<TD>92.63</TD>
<TD>16243.19</TD>
<TD>3636.71</TD>
<TD>19879.90</TD></TR>
<TR>
<TH>Short</TH>
<TD>6/2/2000</TD>
<TD>92.63</TD>
<TD>9/19/2000</TD>
<TD>90.75</TD>
<TD>19879.90</TD>
<TD>202.66</TD>
<TD>20082.56</TD></TR>
<TR>
<TH>Long</TH>
<TD>9/19/2000</TD>
<TD>90.75</TD>
<TD>10/20/2000</TD>
<TD>84.50</TD>
<TD>20082.56</TD>
<TD>-1577.01</TD>
<TD>18505.55</TD></TR>
<TR>
<TH>Short</TH>
<TD>10/20/2000</TD>
<TD>84.50</TD>
<TD>10/31/2000</TD>
<TD>78.00</TD>
<TD>18505.55</TD>
<TD>1231.33</TD>
<TD>19736.88</TD></TR>
<TR>
<TH>Long</TH>
<TD>10/31/2000</TD>
<TD>78.00</TD>
<TD>11/6/2000</TD>
<TD>83.63</TD>
<TD>19736.88</TD>
<TD>1220.11</TD>
<TD>20956.99</TD></TR>
<TR>
<TH>Short</TH>
<TD>11/6/2000</TD>
<TD>83.63</TD>
<TD>11/13/2000</TD>
<TD>70.95</TD>
<TD>20956.99</TD>
<TD>2952.05</TD>
<TD>23909.03</TD></TR>
<TR>
<TH>Long</TH>
<TD>11/13/2000</TD>
<TD>70.95</TD>
<TD>12/12/2000</TD>
<TD>73.50</TD>
<TD>23909.03</TD>
<TD>615.92</TD>
<TD>24524.96</TD></TR>
<TR>
<TH>Short</TH>
<TD>12/12/2000</TD>
<TD>73.50</TD>
<TD>12/18/2000</TD>
<TD>65.16</TD>
<TD>24524.96</TD>
<TD>2523.67</TD>
<TD>27048.63</TD></TR>
<TR>
<TH>Long</TH>
<TD>12/18/2000</TD>
<TD>65.16</TD>
<TD>12/28/2000</TD>
<TD>60.78</TD>
<TD>27048.63</TD>
<TD>-2079.58</TD>
<TD>24969.04</TD></TR>
<TR>
<TH>Short</TH>
<TD>12/28/2000</TD>
<TD>60.78</TD>
<TD>2/23/2001</TD>
<TD>50.09</TD>
<TD>24969.04</TD>
<TD>4119.91</TD>
<TD>29088.95</TD></TR>
<TR>
<TH>Long</TH>
<TD>2/23/2001</TD>
<TD>50.09</TD>
<TD>3/8/2001</TD>
<TD>49.35</TD>
<TD>29088.95</TD>
<TD>-718.48</TD>
<TD>28370.47</TD></TR>
<TR>
<TH>Short</TH>
<TD>3/8/2001</TD>
<TD>49.35</TD>
<TD>4/3/2001</TD>
<TD>37.20</TD>
<TD>28370.47</TD>
<TD>6666.20</TD>
<TD>35036.67</TD></TR>
<TR>
<TH>Long</TH>
<TD>4/3/2001</TD>
<TD>37.20</TD>
<TD>4/11/2001</TD>
<TD>42.16</TD>
<TD>35036.67</TD>
<TD>4297.83</TD>
<TD>39334.50</TD></TR>
<TR>
<TH>Short</TH>
<TD>4/11/2001</TD>
<TD>42.16</TD>
<TD>4/27/2001</TD>
<TD>45.15</TD>
<TD>39334.50</TD>
<TD>-3169.01</TD>
<TD>36165.48</TD></TR>
<TR>
<TH>Long</TH>
<TD>4/27/2001</TD>
<TD>45.15</TD>
<TD>5/21/2001</TD>
<TD>48.17</TD>
<TD>36165.48</TD>
<TD>2045.29</TD>
<TD>38210.77</TD></TR>
<TR>
<TH>Short</TH>
<TD>5/21/2001</TD>
<TD>48.17</TD>
<TD>8/22/2001</TD>
<TD>37.45</TD>
<TD>38210.77</TD>
<TD>8078.99</TD>
<TD>46289.77</TD></TR>
<TR>
<TH>Long</TH>
<TD>8/22/2001</TD>
<TD>37.45</TD>
<TD>8/28/2001</TD>
<TD>39.32</TD>
<TD>46289.77</TD>
<TD>1836.94</TD>
<TD>48126.71</TD></TR>
<TR>
<TH>Short</TH>
<TD>8/28/2001</TD>
<TD>39.32</TD>
<TD>9/5/2001</TD>
<TD>35.49</TD>
<TD>48126.71</TD>
<TD>4183.12</TD>
<TD>52309.83</TD></TR>
<TR>
<TH>Long</TH>
<TD>9/5/2001</TD>
<TD>35.49</TD>
<TD>11/8/2001</TD>
<TD>38.55</TD>
<TD>52309.83</TD>
<TD>3964.58</TD>
<TD>56274.41</TD></TR>
<TR>
<TH>Short</TH>
<TD>11/8/2001</TD>
<TD>38.55</TD>
<TD>12/4/2001</TD>
<TD>39.24</TD>
<TD>56274.41</TD>
<TD>-1564.96</TD>
<TD>54709.45</TD></TR>
<TR>
<TH>Long</TH>
<TD>12/4/2001</TD>
<TD>39.24</TD>
<TD>12/7/2001</TD>
<TD>42.48</TD>
<TD>54709.45</TD>
<TD>3947.61</TD>
<TD>58657.06</TD></TR>
<TR>
<TH>Short</TH>
<TD>12/7/2001</TD>
<TD>42.48</TD>
<TD>12/17/2001</TD>
<TD>40.02</TD>
<TD>58657.06</TD>
<TD>2793.25</TD>
<TD>61450.31</TD></TR>
<TR>
<TH>Long</TH>
<TD>12/17/2001</TD>
<TD>40.02</TD>
<TD>1/7/2002</TD>
<TD>42.11</TD>
<TD>61450.31</TD>
<TD>2578.63</TD>
<TD>64028.93</TD></TR>
<TR>
<TH>Short</TH>
<TD>1/7/2002</TD>
<TD>42.11</TD>
<TD>2/6/2002</TD>
<TD>36.84</TD>
<TD>64028.93</TD>
<TD>7332.77</TD>
<TD>71361.70</TD></TR>
<TR>
<TH>Long</TH>
<TD>2/6/2002</TD>
<TD>36.84</TD>
<TD>2/14/2002</TD>
<TD>37.15</TD>
<TD>71361.70</TD>
<TD>-116.12</TD>
<TD>71245.57</TD></TR>
<TR>
<TH>Short</TH>
<TD>2/14/2002</TD>
<TD>37.15</TD>
<TD>2/25/2002</TD>
<TD>34.00</TD>
<TD>71245.57</TD>
<TD>5298.35</TD>
<TD>76543.93</TD></TR>
<TR>
<TH>Long</TH>
<TD>2/25/2002</TD>
<TD>34.00</TD>
<TD>3/5/2002</TD>
<TD>36.93</TD>
<TD>76543.93</TD>
<TD>5797.87</TD>
<TD>82341.79</TD></TR>
<TR>
<TH>Short</TH>
<TD>3/5/2002</TD>
<TD>36.93</TD>
<TD>3/28/2002</TD>
<TD>36.02</TD>
<TD>82341.79</TD>
<TD>1195.44</TD>
<TD>83537.23</TD></TR>
<TR>
<TH>Long</TH>
<TD>3/28/2002</TD>
<TD>36.02</TD>
<TD>4/17/2002</TD>
<TD>35.40</TD>
<TD>83537.23</TD>
<TD>-2266.08</TD>
<TD>81271.15</TD></TR>
<TR>
<TH>Short</TH>
<TD>4/17/2002</TD>
<TD>35.40</TD>
<TD>4/25/2002</TD>
<TD>32.30</TD>
<TD>81271.15</TD>
<TD>6268.67</TD>
<TD>87539.83</TD></TR>
<TR>
<TH>Long</TH>
<TD>4/25/2002</TD>
<TD>32.30</TD>
<TD>5/15/2002</TD>
<TD>32.08</TD>
<TD>87539.83</TD>
<TD>-1468.66</TD>
<TD>86071.17</TD></TR>
<TR>
<TH>Short</TH>
<TD>5/15/2002</TD>
<TD>32.08</TD>
<TD>5/29/2002</TD>
<TD>30.66</TD>
<TD>86071.17</TD>
<TD>2930.13</TD>
<TD>89001.30</TD></TR>
<TR>
<TH>Long</TH>
<TD>5/29/2002</TD>
<TD>30.66</TD>
<TD>6/19/2002</TD>
<TD>28.10</TD>
<TD>89001.30</TD>
<TD>-8284.14</TD>
<TD>80717.15</TD></TR>
<TR>
<TH>Short</TH>
<TD>6/19/2002</TD>
<TD>28.10</TD>
<TD>6/26/2002</TD>
<TD>24.44</TD>
<TD>80717.15</TD>
<TD>9659.32</TD>
<TD>90376.47</TD></TR>
<TR>
<TH>Long</TH>
<TD>6/26/2002</TD>
<TD>24.44</TD>
<TD>7/18/2002</TD>
<TD>25.38</TD>
<TD>90376.47</TD>
<TD>2562.51</TD>
<TD>92938.98</TD></TR>
<TR>
<TH>Open Short</TH>
<TD>7/18/2002</TD>
<TD>25.38</TD>
<TD>7/19/2002</TD>
<TD>24.33</TD>
<TD>92938.98</TD>
<TD>3380.30</TD>
<TD>96319.28</TD></TR></TBODY></TABLE>
<P></P></BLOCKQUOTE></BODY></HTML>
------=_NextPart_001_0037_01C230B2.94FE4940--
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:
5.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Overall performance summary
Total net profit:
141359.03
Total commissions paid:
24232.36
Return on account:
1413.59 %
Open position gain/loss
5311.90
Buy&Hold profit:
-7533.28
Bars (avg. days) in test:
638 (929)
Buy&Hold % return:
-75.33%
System to Buy&Hold index:
1976.46%
Annual system % return:
190.82%
Annual B&H % return:
-42.30%
System drawdown:
-820.67
B&H drawdown:
-7553.80
Max. system drawdown:
-18712.85
B&H max. drawdown:
-10081.09
Max. system % drawdown:
-32.79%
B&H max. % drawdown:
-80.47%
Max. trade drawdown:
-18712.85
Max. trade % drawdown:
-32.79%
Trade drawdown:
-15096.78
Total number of trades:
43
Percent profitable:
81.4%
Number winning trades:
35
Number losing trades:
8
Profit of winners:
150355.12
Loss of losers:
-14308.00
Total # of bars in winners:
589
Total # of bars in losers:
87
Commissions paid in winners:
18976.66
Commissions paid in losers:
5255.70
Largest winning trade:
15206.02
Largest losing trade:
-3823.16
# of bars in largest winner:
6
# bars in largest loser:
12
Commission paid in largest winner:
1350.46
Commission paid in largest loser:
457.71
Average winning trade:
4295.86
Average losing trade:
-1788.50
Avg. # of bars in winners:
16.8
Avg. # bars in losers:
10.9
Avg. commission paid in winner:
542.19
Avg. commission paid in loser:
656.96
Max consec. winners:
11
Max consec. losers:
1
Bars out of the market:
3
Interest earned:
0.00
Exposure:
99.5%
Risk adjusted ann. return:
191.72%
Ratio avg win/avg loss:
2.40
Avg. trade (win & loss):
3163.89
Profit factor:
10.51
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
10/10/2000
81.81
19879.90
2111.74
21991.63
Long
10/10/2000
81.81
10/20/2000
84.50
21991.63
499.58
22491.21
Short
10/20/2000
84.50
10/31/2000
78.00
22491.21
1496.53
23987.74
Long
10/31/2000
78.00
11/6/2000
83.63
23987.74
1482.89
25470.63
Short
11/6/2000
83.63
11/13/2000
70.94
25470.63
3590.88
29061.51
Long
11/13/2000
70.94
12/12/2000
73.19
29061.51
626.52
29688.03
Short
12/12/2000
73.19
12/18/2000
65.16
29688.03
2944.04
32632.06
Long
12/18/2000
65.16
12/28/2000
60.78
32632.06
-2508.85
30123.21
Short
12/28/2000
60.78
2/23/2001
50.09
30123.21
4970.35
35093.57
Long
2/23/2001
50.09
3/8/2001
49.35
35093.57
-866.80
34226.77
Short
3/8/2001
49.35
4/3/2001
37.20
34226.77
8042.25
42269.02
Long
4/3/2001
37.20
4/11/2001
42.16
42269.02
5185.00
47454.02
Short
4/11/2001
42.16
4/27/2001
45.15
47454.02
-3823.16
43630.86
Long
4/27/2001
45.15
5/21/2001
48.17
43630.86
2467.49
46098.34
Short
5/21/2001
48.17
8/22/2001
37.45
46098.34
9746.68
55845.03
Long
8/22/2001
37.45
8/28/2001
39.32
55845.03
2216.13
58061.15
Short
8/28/2001
39.32
9/5/2001
35.49
58061.15
5046.61
63107.77
Long
9/5/2001
35.49
11/8/2001
38.55
63107.77
4782.96
67890.73
Short
11/8/2001
38.55
12/4/2001
39.34
67890.73
-2063.23
65827.50
Long
12/4/2001
39.34
12/7/2001
42.49
65827.50
4586.25
70413.75
Short
12/7/2001
42.49
12/17/2001
40.02
70413.75
3368.64
73782.39
Long
12/17/2001
40.02
1/7/2002
42.11
73782.39
3096.11
76878.51
Short
1/7/2002
42.11
2/6/2002
36.84
76878.51
8804.33
85682.84
Long
2/6/2002
36.84
2/14/2002
37.15
85682.84
-139.44
85543.40
Short
2/14/2002
37.15
2/25/2002
34.00
85543.40
6361.64
91905.04
Long
2/25/2002
34.00
3/5/2002
36.93
91905.04
6961.40
98866.44
Short
3/5/2002
36.93
4/10/2002
33.76
98866.44
7455.41
106321.85
Long
4/10/2002
33.76
4/17/2002
35.40
106321.85
4075.89
110397.74
Short
4/17/2002
35.40
4/25/2002
32.30
110397.74
8515.29
118913.03
Long
4/25/2002
32.30
5/15/2002
32.08
118913.03
-1995.01
116918.03
Short
5/15/2002
32.08
6/10/2002
28.36
116918.03
12320.86
129238.89
Long
6/10/2002
28.36
6/19/2002
28.10
129238.89
-2471.31
126767.58
Short
6/19/2002
28.10
6/26/2002
24.43
126767.58
15206.02
141973.60
Long
6/26/2002
24.43
7/18/2002
25.38
141973.60
4073.53
146047.13
Open Short
7/18/2002
25.38
7/19/2002
24.33
146047.13
5311.90
151359.03
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