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Thank
you for your post. I seem to have a discrepency with the outcome. It
seems my data does
not
show any trades for
Long
20/9/2001
8/3/2002
Short
8/3/2002
2/5/2002
Long
2/5/2002
15/5/2002
<FONT face=Arial color=#0000ff
size=2>
<FONT
size=2>my trade
goes LONG from 9/20/2001 to
5/15/2002 ...
<FONT
face=Arial color=#0000ff size=2><SPAN
class=519250801-27072002>
<FONT
face=Arial color=#0000ff size=2>What is the
source of your data....it's the only thing i can think of that could cause
this discrepancy....
<FONT
face=Arial color=#0000ff size=2><SPAN
class=519250801-27072002>
<FONT
face=Arial color=#0000ff size=2>Thanks again
Dimitris....
<FONT
face=Arial color=#0000ff size=2><SPAN
class=519250801-27072002>
<FONT
face=Arial color=#0000ff size=2><SPAN
class=519250801-27072002>
<FONT
face=Arial color=#0000ff size=2><SPAN
class=519250801-27072002>
<FONT
face=Arial color=#0000ff size=2><SPAN
class=519250801-27072002>
<FONT
size=2> -----Original
Message-----From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxx]Sent: Friday, July 26, 2002 11:43
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]The
smoothed Stochastic CCI and applications
The following research began on June 2001 for
QQQ.
Some optimals of this period, especially of the n/n/0type
[n trades/n winners/0 losers] are still without mistake.
/*Smoothed Stochastic CCI and QQQ Application*/
P =Optimize("P",6,6,7,1);Blevel
=Optimize("BL",13,13,15,1);Slevel =
Optimize("SL",85,80,90,1);D=DateNum()>=1000501;StOcci=100*(CCI(P)-LLV(CCI(P),14))/(HHV(CCI(P),14)-LLV(CCI(P),14));stocci=MA(stocci,5);B1
= Cross(Blevel,STOCCI);B2 = Cross(STOCCI,BLEVEL);S1=Cross(STOCCI,
Slevel);
S2=Cross(SLEVEL,STOCCI);GB=Optimize("GB",2,1,2,1);GS=Optimize("GS",1,1,2,1);Buy=IIf(GB==1,B1,B2);Sell=IIf(GS==1,S1,S2);
Buy=D*Buy;Sell=D*Sell;Short = Sell;Cover =
Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
The Stochastic CCI is a [0,100] oscillator, posted tothis
list on June 5, 2001 at
<A
href="">http://groups.yahoo.com/group/amibroker/message/2394
I was often using this indicator during the extra bullish 1999 for
Athens SE stocks.
Although B&H was excellent [many stocks exceeded +1000%], we always
want to increase the "easy"
B&H profits, catching all the temporary declines. The StochD was
above 50 for months, MACD was above
its signal for months also. The Stochastic CCI was perhaps the only
indicator giving exact re-entry points.
[Better by far from Tushar Chande Stochastic RSI]
This indicator seem to fit well to the popular QQQ for the recent bearish
2 years.
I have not checked the bullish QQQ period.
If I see a continuous 6 months bull trend, it is probable to do
it.
As far as I know, this is a summer night dream and I do not prefer
QQQ in my dreams.
The post 2000 period was ultra bearish, changing slowly to congestive
with some short bullish flashes.
I use to follow the existing trend and I never search for a holly
all-time system.
Except QQQ, you may try Stochastic CCI in other stocks/indexes, adding
[at least] a protective method
like the one I described at
<A
href="">http://groups.yahoo.com/group/amibroker/message/21618
<A
href="">http://groups.yahoo.com/group/amibroker/message/21604
Dimitris Tsokakis
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
1/5/2000 - 24/7/2002
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:
50.00
Value:
20.00
Exit at stop?
yes
Exit at stop?
yes
Trailing stop:
disabled
Value:
5.00
Exit at stop?
yes
FormulaP =Optimize("P",6,6,7,1);
Blevel =Optimize("BL",13,13,15,1);
Slevel = Optimize("SL",85,80,90,1);
D=DateNum()>=1000501;
StOcci=100*(CCI(P)-LLV(CCI(P),14))/(HHV(CCI(P),14)-LLV(CCI(P),14));
stocci=MA(stocci,5);
B1 = Cross(Blevel,STOCCI);
B2 = Cross(STOCCI,BLEVEL);
S1=Cross(STOCCI, Slevel);
S2=Cross(SLEVEL,STOCCI);
GB=Optimize("GB",2,1,2,1);
GS=Optimize("GS",1,1,2,1);
Buy=IIf(GB==1,B1,B2);
Sell=IIf(GS==1,S1,S2);
Buy=D*Buy;
Sell=D*Sell;
Short = Sell;
Cover = Buy;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
Overall performance summary
Total net profit:
99125.23
Total commissions paid:
4150.71
Return on account:
991.25 %
Open position gain/loss
26139.79
Buy&Hold profit:
-7782.96
Bars (avg. days) in test:
559 (815)
Buy&Hold % return:
-77.83%
System to Buy&Hold index:
1373.62%
Annual system % return:
191.63%
Annual B&H % return:
-49.07%
System drawdown:
-666.51
B&H drawdown:
-7739.95
Max. system drawdown:
-19455.20
B&H max. drawdown:
-8551.44
Max. system % drawdown:
-28.12%
B&H max. % drawdown:
-79.10%
Max. trade drawdown:
-19455.20
Max. trade % drawdown:
-28.12%
Trade drawdown:
-7759.15
Total number of trades:
12
Percent profitable:
100.0%
Number winning trades:
12
Number losing trades:
0
Profit of winners:
72985.44
Loss of losers:
0.00
Total # of bars in winners:
521
Total # of bars in losers:
0
Commissions paid in winners:
4150.71
Commissions paid in losers:
0.00
Largest winning trade:
15920.56
Largest losing trade:
0.00
# of bars in largest winner:
117
# bars in largest loser:
0
Commission paid in largest winner:
625.62
Commission paid in largest loser:
0.00
Average winning trade:
6082.12
Average losing trade:
N/A
Avg. # of bars in winners:
43.4
Avg. # bars in losers:
N/A
Avg. commission paid in winner:
345.89
Avg. commission paid in loser:
N/A
Max consec. winners:
12
Max consec. losers:
0
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.8%
Risk adjusted ann. return:
191.98%
Ratio avg win/avg loss:
N/A
Avg. trade (win & loss):
6082.12
Profit factor:
N/A
Performance for QQQ
Total net profit:
99125.23
Total commissions paid:
4150.71
Return on account:
991.25 %
Open position gain/loss
26139.79
Buy&Hold profit:
-7782.96
Bars (days) in test:
559 (815)
Buy&Hold % return:
-77.83%
System to Buy&Hold index:
1373.62%
Annual system % return:
191.63%
Annual B&H % return:
-49.07%
System drawdown:
-666.51
B&H drawdown:
-7739.95
Max. system drawdown:
-19455.20
B&H max. drawdown:
-8551.44
Max. system % drawdown:
-28.12%
B&H max. % drawdown:
-79.10%
Max. trade drawdown:
-19455.20
Max. trade % drawdown:
-28.12%
Trade drawdown:
-7759.15
Total number of trades:
12
Percent profitable:
100.0%
Number winning trades:
12
Number losing trades:
0
Profit of winners:
72985.44
Loss of losers:
0.00
Total # of bars in winners:
521
Total # of bars in losers:
0
Commissions paid in winners:
4150.71
Commissions paid in losers:
0.00
Largest winning trade:
15920.56
Largest losing trade:
0.00
# of bars in largest winner:
117
# bars in largest loser:
0
Commission paid in largest winner:
625.62
Commission paid in largest loser:
0.00
Average winning trade:
6082.12
Average losing trade:
N/A
Avg. # of bars in winners:
43.4
Avg. # bars in losers:
N/A
Avg. commission paid in winner:
345.89
Avg. commission paid in loser:
N/A
Max consec. winners:
12
Max consec. losers:
0
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.8%
Risk adjusted ann. return:
191.98%
Ratio avg win/avg loss:
N/A
Avg. trade (win & loss):
6082.12
Profit factor:
N/A
Trade list for QQQ
Trade
Entry date
Exit date
Net Profit
Equity value
Short
2/5/2000
15/5/2000
956.03
10956.03
Long
15/5/2000
18/7/2000
1891.77
12847.80
Short
18/7/2000
3/8/2000
1925.70
14773.50
Long
3/8/2000
23/10/2000
190.75
14964.25
Short
23/10/2000
26/12/2000
4272.79
19237.04
Long
26/12/2000
18/1/2001
922.79
20159.83
Short
18/1/2001
6/4/2001
8313.79
28473.62
Long
6/4/2001
23/5/2001
10111.07
38584.69
Short
23/5/2001
20/9/2001
15704.59
54289.28
Long
20/9/2001
8/3/2002
15920.56
70209.85
Short
8/3/2002
2/5/2002
11796.83
82006.68
Long
2/5/2002
15/5/2002
978.75
82985.44
Open Short
15/5/2002
24/7/2002
26139.79
109125.23
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