|
PureBytes Links
Trading Reference Links
|
Are we trading the !NDX index
or the QQQ ETF?
Take care,
Herman.
-----Original
Message-----From: dingo [mailto:dingo@xxxx]Sent:
Sunday, July 21, 2002 7:49 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
StoRSI
Very nice for a total. But
now run the very same thing for the dates: 1/1/1997 - 5/1/2000.
Would you take that amount
of risk (look at the drawdowns) for almost 3 1/2 years for
-14.74%? If so, you're a braver soul than I..
Now show me something that
has less risk with consistent returns. Spectacular returns are not my goal.
Not trying to slam you just
stating my perspective gained from many years and many wounds. I know you've
been at this Amipro stuff a lot longer than I have so I have to believe these
don't represent your inner trader, eh?
d
<FONT
size=2>-----Original Message-----From: Anthony Faragasso
[mailto:ajf1111@xxxx] Sent: Sunday, July 21, 2002 5:44
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] StoRSI
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
1/1/1997 - 7/21/2002
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:
percent
Profit target:
disabled
Value:
25.00
Value:
50.00
Exit at stop?
yes
Exit at stop?
no
Trailing stop:
disabled
Value:
50.00
Exit at stop?
yes
Formula//StochRSI on the QQQ's
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:
31252.28
Total commissions paid:
9865.88
Return on account:
312.52 %
Open position gain/loss
1580.02
Buy&Hold profit:
1761.93
Bars (avg. days) in test:
1395 (2025)
Buy&Hold % return:
17.62%
System to Buy&Hold index:
1673.75%
Annual system % return:
29.10%
Annual B&H % return:
2.97%
System drawdown:
-5744.49
B&H drawdown:
-513.66
Max. system drawdown:
-9074.01
B&H max. drawdown:
-47123.07
Max. system % drawdown:
-68.75%
B&H max. % drawdown:
-80.36%
Max. trade drawdown:
-8545.46
Max. trade % drawdown:
-53.19%
Trade drawdown:
-5756.92
Total number of trades:
75
Percent profitable:
66.7%
Number winning trades:
50
Number losing trades:
25
Profit of winners:
50654.36
Loss of losers:
-20982.10
Total # of bars in winners:
682
Total # of bars in losers:
766
Commissions paid in winners:
6842.49
Commissions paid in losers:
3023.39
Largest winning trade:
5355.22
Largest losing trade:
-3227.82
# of bars in largest winner:
20
# bars in largest loser:
26
Commission paid in largest winner:
404.25
Commission paid in largest loser:
414.94
Average winning trade:
1013.09
Average losing trade:
-839.28
Avg. # of bars in winners:
13.6
Avg. # bars in losers:
30.6
Avg. commission paid in winner:
136.85
Avg. commission paid in loser:
120.94
Max consec. winners:
9
Max consec. losers:
3
Bars out of the market:
18
Interest earned:
0.00
Exposure:
98.7%
Risk adjusted ann. return:
29.48%
Ratio avg win/avg loss:
1.21
Avg. trade (win & loss):
395.63
Profit factor:
2.41
Performance for ^NDX
Total net profit:
31252.28
Total commissions paid:
9865.88
Return on account:
312.52 %
Open position gain/loss
1580.02
Buy&Hold profit:
1761.93
Bars (days) in test:
1395 (2025)
Buy&Hold % return:
17.62%
System to Buy&Hold index:
1673.75%
Annual system % return:
29.10%
Annual B&H % return:
2.97%
System drawdown:
-5744.49
B&H drawdown:
-513.66
Max. system drawdown:
-9074.01
B&H max. drawdown:
-47123.07
Max. system % drawdown:
-68.75%
B&H max. % drawdown:
-80.36%
Max. trade drawdown:
-8545.46
Max. trade % drawdown:
-53.19%
Trade drawdown:
-5756.92
Total number of trades:
75
Percent profitable:
66.7%
Number winning trades:
50
Number losing trades:
25
Profit of winners:
50654.36
Loss of losers:
-20982.10
Total # of bars in winners:
682
Total # of bars in losers:
766
Commissions paid in winners:
6842.49
Commissions paid in losers:
3023.39
Largest winning trade:
5355.22
Largest losing trade:
-3227.82
# of bars in largest winner:
20
# bars in largest loser:
26
Commission paid in largest winner:
404.25
Commission paid in largest loser:
414.94
Average winning trade:
1013.09
Average losing trade:
-839.28
Avg. # of bars in winners:
13.6
Avg. # bars in losers:
30.6
Avg. commission paid in winner:
136.85
Avg. commission paid in loser:
120.94
Max consec. winners:
9
Max consec. losers:
3
Bars out of the market:
18
Interest earned:
0.00
Exposure:
98.7%
Risk adjusted ann. return:
29.48%
Ratio avg win/avg loss:
1.21
Avg. trade (win & loss):
395.63
Profit factor:
2.41
Trade list for ^NDX
Trade
Entry date
Entry price
Exit date
Exit price
Position size
Net Profit
Equity value
Out
1/2/1997
821.36
1/3/1997
815.60
0.00
0.00
10000.00
Long
1/3/1997
815.60
1/8/1997
864.55
10000.00
497.17
10497.17
Short
1/8/1997
864.55
1/29/1997
890.79
10497.17
-421.98
10075.19
Long
1/29/1997
890.79
4/8/1997
832.31
10075.19
-758.88
9316.32
Short
4/8/1997
832.31
5/14/1997
910.57
9316.32
-964.77
8351.54
Long
5/14/1997
910.57
5/27/1997
959.08
8351.54
359.18
8710.73
Short
5/27/1997
959.08
6/4/1997
929.81
8710.73
177.40
8888.13
Long
6/4/1997
929.81
6/16/1997
964.40
8888.13
240.11
9128.24
Short
6/16/1997
964.40
7/29/1997
1075.18
9128.24
-1134.60
7993.65
Long
7/29/1997
1075.18
8/4/1997
1108.95
7993.65
169.88
8163.53
Short
8/4/1997
1108.95
8/13/1997
1090.78
8163.53
51.45
8214.98
Long
8/13/1997
1090.78
9/5/1997
1105.82
8214.98
30.55
8245.53
Short
9/5/1997
1105.82
10/28/1997
978.84
8245.53
859.63
9105.17
Long
10/28/1997
978.84
11/4/1997
1050.72
9105.17
574.23
9679.40
Short
11/4/1997
1050.72
11/13/1997
980.14
9679.40
550.15
10229.55
Long
11/13/1997
980.14
11/18/1997
1049.70
10229.55
620.06
10849.61
Short
11/18/1997
1049.70
12/26/1997
938.99
10849.61
1030.07
11879.68
Long
12/26/1997
938.99
12/31/1997
998.46
11879.68
629.83
12509.51
Short
12/31/1997
998.46
3/4/1998
1175.72
12509.51
-2334.85
10174.66
Long
3/4/1998
1175.72
3/17/1998
1180.17
10174.66
-63.43
10111.24
Short
3/17/1998
1180.17
4/28/1998
1220.05
10111.24
-441.08
9670.16
Long
4/28/1998
1220.05
5/14/1998
1263.08
9670.16
242.65
9912.81
Short
5/14/1998
1263.08
7/24/1998
1405.80
9912.81
-1213.61
8699.19
Long
7/24/1998
1405.80
8/19/1998
1401.24
8699.19
-115.07
8584.12
Short
8/19/1998
1401.24
8/31/1998
1265.04
8584.12
744.36
9328.48
Long
8/31/1998
1265.04
9/14/1998
1290.20
9328.48
91.32
9419.80
Short (max loss)
9/14/1998
1290.20
11/27/1998
1612.75
9419.80
-2437.37
6982.43
Out
11/27/1998
1612.75
12/22/1998
1787.30
0.00
0.00
6982.43
Short
12/22/1998
1787.30
1/15/1999
1906.12
6982.43
-531.70
6450.73
Long
1/15/1999
1906.12
2/1/1999
2127.19
6450.73
679.90
7130.63
Short
2/1/1999
2127.19
2/8/1999
1988.55
7130.63
391.11
7521.74
Long
2/8/1999
1988.55
3/10/1999
2028.57
7521.74
75.40
7597.15
Short
3/10/1999
2028.57
7/23/1999
2281.92
7597.15
-1020.04
6577.10
Long
7/23/1999
2281.92
8/17/1999
2313.08
6577.10
23.59
6600.70
Short (max loss)
8/17/1999
2313.08
11/15/1999
2891.58
6600.70
-1708.58
4892.11
Out
11/15/1999
2891.58
11/17/1999
2952.91
0.00
0.00
4892.11
Short
11/17/1999
2952.91
12/1/1999
2970.04
4892.11
-77.16
4814.95
Long
12/1/1999
2970.04
12/14/1999
3243.60
4814.95
393.12
5208.08
Short
12/14/1999
3243.60
1/7/2000
3337.26
5208.08
-201.71
5006.36
Long
1/7/2000
3337.26
1/19/2000
3741.45
5006.36
553.25
5559.61
Short
1/19/2000
3741.45
1/28/2000
3595.89
5559.61
159.62
5719.23
Long
1/28/2000
3595.89
2/4/2000
3858.60
5719.23
358.56
6077.78
Short
2/4/2000
3858.60
2/23/2000
3966.00
6077.78
-229.10
5848.68
Long
2/23/2000
3966.00
3/2/2000
4311.97
5848.68
449.17
6297.85
Short
3/2/2000
4311.97
4/13/2000
3645.79
6297.85
905.15
7202.99
Long
4/13/2000
3645.79
6/2/2000
3518.98
7202.99
-321.32
6881.68
Short
6/2/2000
3518.98
9/19/2000
3588.37
6881.68
-203.84
6677.84
Long
9/19/2000
3588.37
10/20/2000
3379.73
6677.84
-453.11
6224.73
Short
10/20/2000
3379.73
10/31/2000
3120.21
6224.73
413.34
6638.07
Long
10/31/2000
3120.21
11/6/2000
3346.15
6638.07
411.89
7049.97
Short
11/6/2000
3346.15
11/13/2000
2798.95
7049.97
1076.63
8126.59
Long
11/13/2000
2798.95
12/11/2000
2900.28
8126.59
211.47
8338.06
Short
12/11/2000
2900.28
12/18/2000
2604.08
8338.06
763.91
9101.97
Long
12/18/2000
2604.08
12/28/2000
2435.84
9101.97
-676.12
8425.85
Short
12/28/2000
2435.84
3/1/2001
1879.84
8425.85
1829.39
10255.24
Long
3/1/2001
1879.84
3/8/2001
1982.44
10255.24
454.37
10709.61
Short
3/8/2001
1982.44
4/3/2001
1487.87
10709.61
2551.33
13260.94
Long
4/3/2001
1487.87
4/11/2001
1694.60
13260.94
1700.70
14961.64
Short
4/11/2001
1694.60
4/27/2001
1808.92
14961.64
-1153.90
13807.74
Long
4/27/2001
1808.92
5/21/2001
1931.29
13807.74
791.32
14599.06
Short
5/21/2001
1931.29
8/22/2001
1504.65
14599.06
3062.95
17662.01
Long
8/22/2001
1504.65
8/28/2001
1579.55
17662.01
698.18
18360.19
Short
8/28/2001
1579.55
9/5/2001
1425.35
18360.19
1599.81
19960.00
Long
9/5/2001
1425.35
11/8/2001
1548.00
19960.00
1509.35
21469.35
Short
11/8/2001
1548.00
12/4/2001
1582.07
21469.35
-684.85
20784.50
Long
12/4/2001
1582.07
12/7/2001
1706.27
20784.50
1415.68
22200.18
Short
12/7/2001
1706.27
12/17/2001
1607.08
22200.18
1062.10
23262.28
Long
12/17/2001
1607.08
1/4/2002
1685.54
23262.28
897.40
24159.68
Short
1/4/2002
1685.54
2/6/2002
1480.45
24159.68
2683.36
26843.04
Long
2/6/2002
1480.45
2/14/2002
1491.19
26843.04
-74.67
26768.37
Short
2/14/2002
1491.19
2/25/2002
1366.44
26768.37
1960.51
28728.88
Long
2/25/2002
1366.44
3/5/2002
1484.83
28728.88
2189.37
30918.25
Short
3/5/2002
1484.83
4/12/2002
1340.66
30918.25
2677.82
33596.07
Long
4/12/2002
1340.66
4/17/2002
1422.42
33596.07
1702.65
35298.72
Short
4/17/2002
1422.42
4/25/2002
1295.59
35298.72
2778.69
38077.41
Long
4/25/2002
1295.59
5/15/2002
1290.40
38077.41
-532.54
37544.86
Short
5/15/2002
1290.40
6/12/2002
1092.45
37544.86
5355.22
42900.08
Long
6/12/2002
1092.45
7/18/2002
1020.82
42900.08
-3227.82
39672.26
Open Short
7/18/2002
1020.82
7/19/2002
975.06
39672.26
1580.02
41252.28
Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|