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Dingo,
In your post to Herman, you mentioned the NDX and applying the system
over a greater range of date values because the QQQ's do not have an
historical backround as the NDX. So ,The last post to you was for the
NDX and the date values you hinted to in your post. My Mistake, I
thought you would realize that because the post carried your initial
email.
In reference to the QQQ's, How can I provide you with more consistent
performance than what was already posted concerning the StochRsi and
filters, if the data does not have a longer history ? :(
Let me know
Anthony
dingo wrote:
> Hmmm.... Looks like Anthony sneaked in an NDX in on me.I'm still
> trying to keep on topic for QQQ..dingo
>
> -----Original Message-----
> From: Herman van den Bergen [mailto:psytek@x...]
> Sent: Sunday, July 21, 2002 8:02 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] StoRSI
>
> Are we trading the !NDX index or the QQQ ETF?Take
> care,Herman.
>
> -----Original Message-----
> From: dingo [mailto:dingo@x...]
> Sent: Sunday, July 21, 2002 7:49 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: 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
>
> -----Original Message-----
> From: Anthony Faragasso
> [mailto:ajf1111@x...]
> Sent: Sunday, July 21, 2002 5:44 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] StoRSI
>
>
Settings
Initial Equity: 10000 Periodicity/Positions: Daily/Long
Short
Commissions: 0.50 % Annual interest rate: 0.00%
Range: 1/1/1997 - Apply to: Current Symbol
7/21/2002
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 1395 (2025)
test:
Buy&Hold % return: 17.62% System to Buy&Hold 1673.75%
index:
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 Total # of bars in
winners: 682 losers: 766
Commissions paid in Commissions paid in
winners: 6842.49 losers: 3023.39
Largest winning trade: 5355.22 Largest losing trade: -3227.82
# of bars in largest # bars in largest
winner: 20 loser: 26
Commission paid in Commission paid in
largest winner: 404.25 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 Avg. commission paid in
winner: 136.85 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. 29.48%
return:
Ratio avg win/avg loss: 1.21 Avg. trade (win & 395.63
loss):
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 1673.75%
index:
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 Total # of bars in
winners: 682 losers: 766
Commissions paid in Commissions paid in
winners: 6842.49 losers: 3023.39
Largest winning trade: 5355.22 Largest losing trade: -3227.82
# of bars in largest # bars in largest
winner: 20 loser: 26
Commission paid in Commission paid in
largest winner: 404.25 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 Avg. commission paid in
winner: 136.85 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. 29.48%
return:
Ratio avg win/avg loss: 1.21 Avg. trade (win & 395.63
loss):
Profit factor: 2.41
>
Trade list for ^NDX
Trade Entry date Entry Exit date Exit Position Net Equity
price price size Profit 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 -1134.607993.65
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 -2334.8510174.66
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 -1213.618699.19
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 9/14/1998 1290.20 11/27/1998 1612.75 9419.80 -2437.376982.43
loss)
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 -1020.046577.10
Long 7/23/1999 2281.92 8/17/1999 2313.08 6577.10 23.59 6600.70
Short
(max 8/17/1999 2313.08 11/15/1999 2891.58 6600.70 -1708.584892.11
loss)
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 -1153.9013807.74
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 -3227.8239672.26
Open
Short 7/18/2002 1020.82 7/19/2002 975.06 39672.26 1580.02 41252.28
>
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