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<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, July 21, 2002 9:15 PM
Subject: RE: [amibroker] StoRSI
Sorry about that! I'm perplexed.. My TC2000 data has QQQ going back
to1993.. Wasn't it introduced more recently than that? I know my
memoryis slipping but I sure hope it isn't THAT bad!
>>>1999Neverthe
less, I ran your system against the NDX and attached are theresults. They
are identical to yours. My comment from before still stands. Lookat
the equity curve.. Youstart investing 1/2/1997 and yet as of Feb 5, 2001
you have less thanthe 10k you started with. You missed all of the big
bubble. You onlystart making money after that.The dates 1/1/1997
to 7/21/2002 are fine by me for the test as itreflects a lot of varied
conditions. Sorry for my confusion. -----Original
Message-----From: Anthony Faragasso [mailto:ajf1111@xxxx] Sent:
Sunday, July 21, 2002 8:38 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] StoRSIDingo,In your post to Herman,you
mentioned the NDX and applying the systemover a greater range of date
values because the QQQ's do not have anhistorical backround as the NDX. So
,The last post to you was for theNDX and the date values you hinted
to in your post. My Mistake, Ithought you would realize that because the
post carried your initialemail.In reference to the QQQ's, Howcan
I provide you with more consistentperformance than what was already posted
concerning the StochRsi andfilters, if the data does not have a longer
history ? :(Let me knowAnthonydingo 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@xxxx]> 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@xxxx]>
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@xxxx]>
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
commissionspaid:
9865.88
Return on account: 312.52 % Open
positiongain/loss
1580.02
Buy&Hold profit:
1761.93 Bars (avg. days)in
1395
(2025)
test:
Buy&Hold % return:
17.62% System
toBuy&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
Percentprofitable:
66.7%
Number winning trades:
50 Number
losingtrades:
25
Profit of winners:
50654.36 Loss of
losers:-20982.10
Total # of bars
in
Total # of
barsin
winners:
682
losers:766
Commissions paid
in
Commissions
paidin
winners:
6842.49
losers:3023.39
Largest winning trade: 5355.22 Largest
losingtrade:
-3227.82
# of bars in
largest
# bars
inlargest
winner:
20
loser:26
Commission paid
in
Commission
paidin
largest winner:
404.25 largest
loser:414.94
Average winning trade: 1013.09 Average
losingtrade:
-839.28
Avg. # of bars
in
winners:
13.6 Avg. # bars inlosers:
30.6
Avg. commission paid
in
Avg. commissionpaid
in
winner:
136.85
loser:120.94
Max consec. winners:
9 Max
consec.losers:
3
Bars out of the market:
18
Interestearned:
0.00
Exposure:
98.7% Risk
adjustedann.
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
commissionspaid:
9865.88
Return on account: 312.52 % Open
positiongain/loss
1580.02
Buy&Hold profit:
1761.93 Bars (days) intest: 1395
(2025)
Buy&Hold % return:
17.62% System
toBuy&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
Percentprofitable:
66.7%
Number winning trades:
50 Number
losingtrades:
25
Profit of winners:
50654.36 Loss of
losers:-20982.10
Total # of bars
in
Total # of
barsin
winners:
682
losers:766
Commissions paid
in
Commissions
paidin
winners:
6842.49
losers:3023.39
Largest winning trade: 5355.22 Largest
losingtrade:
-3227.82
# of bars in
largest
# bars
inlargest
winner:
20
loser:26
Commission paid
in
Commission
paidin
largest winner:
404.25 largest
loser:414.94
Average winning trade: 1013.09 Average
losingtrade:
-839.28
Avg. # of bars
in
winners:
13.6 Avg. # bars inlosers:
30.6
Avg. commission paid
in
Avg. commissionpaid
in
winner:
136.85
loser:120.94
Max consec. winners:
9 Max
consec.losers:
3
Bars out of the market:
18
Interestearned:
0.00
Exposure:
98.7% Risk
adjustedann.
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
PositionNet
Equity
price
price sizeProfit
value
Out 1/2/1997 821.36 1/3/1997 815.60
0.000.00
10000.00
Long 1/3/1997 815.60 1/8/1997 864.55
10000.00497.17
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
8351.54359.18
8710.73
Short 5/27/1997 959.08 6/4/1997 929.81
8710.73177.40
8888.13
Long 6/4/1997 929.81 6/16/1997 964.40
8888.13240.11
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
7993.65169.88
8163.53
Short 8/4/1997 1108.95 8/13/1997 1090.78
8163.5351.45
8214.98
Long 8/13/1997 1090.78 9/5/1997 1105.82
8214.9830.55
8245.53
Short 9/5/1997 1105.82 10/28/1997 978.84
8245.53859.63
9105.17
Long 10/28/1997 978.84 11/4/1997 1050.72
9105.17574.23
9679.40
Short 11/4/1997 1050.72 11/13/1997 980.14 9679.40550.15
10229.55
Long 11/13/1997 980.14 11/18/1997 1049.70 10229.55620.06
10849.61
Short 11/18/1997 1049.70 12/26/1997 938.99 10849.611030.07
11879.68
Long 12/26/1997 938.99 12/31/1997 998.46
11879.68629.83
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
9670.16242.65
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 8584.12744.36
9328.48
Long 8/31/1998 1265.04 9/14/1998 1290.20
9328.4891.32
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 0.000.00
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
6450.73679.90
7130.63
Short 2/1/1999 2127.19 2/8/1999 1988.55
7130.63391.11
7521.74
Long 2/8/1999 1988.55 3/10/1999 2028.57
7521.7475.40
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
6577.1023.59
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 0.000.00
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 4814.95393.12
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
5006.36553.25
5559.61
Short 1/19/2000 3741.45 1/28/2000 3595.89 5559.61159.62
5719.23
Long 1/28/2000 3595.89 2/4/2000 3858.60
5719.23358.56
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
5848.68449.17
6297.85
Short 3/2/2000 4311.97 4/13/2000 3645.79
6297.85905.15
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 6224.73413.34
6638.07
Long 10/31/2000 3120.21 11/6/2000 3346.15 6638.07411.89
7049.97
Short 11/6/2000 3346.15 11/13/2000 2798.95 7049.971076.63
8126.59
Long 11/13/2000 2798.95 12/11/2000 2900.28 8126.59211.47
8338.06
Short 12/11/2000 2900.28 12/18/2000 2604.08 8338.06763.91
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 8425.851829.39
10255.24
Long 3/1/2001 1879.84 3/8/2001 1982.44
10255.24454.37
10709.61
Short 3/8/2001 1982.44 4/3/2001 1487.87
10709.612551.33
13260.94
Long 4/3/2001 1487.87 4/11/2001 1694.60
13260.941700.70
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
13807.74791.32
14599.06
Short 5/21/2001 1931.29 8/22/2001 1504.65 14599.063062.95
17662.01
Long 8/22/2001 1504.65 8/28/2001 1579.55
17662.01698.18
18360.19
Short 8/28/2001 1579.55 9/5/2001 1425.35 18360.191599.81
19960.00
Long 9/5/2001 1425.35 11/8/2001 1548.00
19960.001509.35
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 20784.501415.68
22200.18
Short 12/7/2001 1706.27 12/17/2001 1607.08 22200.181062.10
23262.28
Long 12/17/2001 1607.08 1/4/2002 1685.54
23262.28897.40
24159.68
Short 1/4/2002 1685.54 2/6/2002 1480.45
24159.682683.36
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 26768.371960.51
28728.88
Long 2/25/2002 1366.44 3/5/2002 1484.83
28728.882189.37
30918.25
Short 3/5/2002 1484.83 4/12/2002 1340.66 30918.252677.82
33596.07
Long 4/12/2002 1340.66 4/17/2002 1422.42 33596.071702.65
35298.72
Short 4/17/2002 1422.42 4/25/2002 1295.59 35298.722778.69
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 37544.865355.22
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 39672.261580.02
41252.28>>>>
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