|
PureBytes Links
Trading Reference Links
|
Thanks Bill, My data for the QQQ's starts on 3/10/1999, Data from Yahoo.
Anthony
wavemechanic wrote:
>
>
> ----- Original Message -----
> From: dingo
> To: 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 to
> 1993.. Wasn't it introduced more recently than that? I know
> my memory
> is slipping but I sure hope it isn't THAT bad! >>>1999
>
> Never the less, I ran your system against the NDX and
> attached are the
> results. They are identical to yours.
>
> My comment from before still stands. Look at the equity
> curve.. You
> start investing 1/2/1997 and yet as of Feb 5, 2001 you have
> less than
> the 10k you started with. You missed all of the big bubble.
> You only
> start making money after that.
>
> The dates 1/1/1997 to 7/21/2002 are fine by me for the test
> as it
> reflects a lot of varied conditions.
>
> Sorry for my confusion.
>
> -----Original Message-----
> From: Anthony Faragasso [mailto:ajf1111@x...]
> Sent: Sunday, July 21, 2002 8:38 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] StoRSI
>
>
> 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
> >
> >
> S
> ochRsi=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
> >
> >
> >
> > Your use of Yahoo! Groups is subject to the
> Yahoo!
> > Terms of Service.
> >
> > Your use of Yahoo! Groups is subject to the Yahoo!
> Terms of
> > Service.
> >
> >
> > Yahoo! Groups Sponsor
> ADVERTISEMENT
>
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms
> of Service.
>
>
>
>
>
>
> Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
>
>
>
> ------------------------ Yahoo! Groups Sponsor
>
>
>
> Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
>
>
>
> Yahoo! Groups Sponsor
ADVERTISEMENT
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|