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JJ,
As requested here are my results.
I was trying to use this to trade the UK's FTSE Index (UKX), but
unfortunately it does not look promising. See attached back test results.
Regards, Barry.
_________________________________________________________________
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Title: AmiBroker System Test Report
Settings
Initial Equity:
6600
Periodicity/Positions:
Daily/Long Short
Commissions:
1.00 per trade
Annual interest rate:
0.00%
Range:
01/01/2000 00:00:00 - 25/10/2002
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
Yes
Def. round lot size:
1
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Close
Sell price:
Close
Buy delay:
0
Sell delay:
0
Short trades
Short price:
Close
Cover price:
Close
Short delay:
0
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
300.00
Value:
20.00
Exit at stop?
yes
Exit at stop?
no
Trailing stop:
disabled
Value:
300.00
Exit at stop?
yes
Formula//Third Line Break
//Optimized for UKX (manually imported data)
//
//standard - not aligned with price chart
//Plot(aceTLB(3,2),"",1,512);
//Plot(aceTLB(3,3),"",4,512);
Var1 = Optimize ("V1", 5, 2, 5, 1) ;
A1 = aceTLB(Var1,4);
A2 = aceTLB(Var1,5);
A3 = aceTLBsl;
A4 = Cross(A1,A2);
A5 = Cross(A2,A1);
Buy = A4;
Cover = Buy; /* Cover short when going long */
Sell = A5;
Short = Sell; /* Open short when closing long */
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
Filter = 1;
/* Exploration Columns for Sorting */
NumColumns = 8;
Column0 = A1;
Column1 = A2;
Column2 = A3;
Column3 = A4;
Column4 = A5;
Column5 = C;
Column6 = Buy;
Column7 = Sell;
Column0Name = "A1";
Column1Name = "A2";
Column2Name = "A3";
Column3Name = "A4";
Column4Name = "A5";
Column5Name = "C";
Column6Name = "Buy";
Column7Name = "Sell";
Column0Format = 3.0;
Column1Format = 3.0;
Column2Format = 3.0;
Column3Format = 3.0;
Column4Format = 3.0;
Column5Format = 3.0;
Column6Format = 1.0;
Column7Format = 1.0;
Overall performance summary
Total net profit:
153.60
Total commissions paid:
36.00
Return on account:
2.33 %
Open position gain/loss
-81.00
Buy&Hold profit:
-2.00
Bars (avg. days) in test:
712 (1026)
Buy&Hold % return:
-0.03%
System to Buy&Hold index:
7779.98%
Annual system % return:
0.82%
Annual B&H % return:
-0.01%
System drawdown:
-1048.70
B&H drawdown:
0.00
Max. system drawdown:
-1563.50
B&H max. drawdown:
0.00
Max. system % drawdown:
-21.98%
B&H max. % drawdown:
0.00%
Max. trade drawdown:
-933.30
Max. trade % drawdown:
-18.95%
Trade drawdown:
-397.10
Total number of trades:
19
Percent profitable:
47.4%
Number winning trades:
9
Number losing trades:
10
Profit of winners:
1619.70
Loss of losers:
-1386.10
Total # of bars in winners:
441
Total # of bars in losers:
280
Commissions paid in winners:
18.00
Commissions paid in losers:
18.00
Largest winning trade:
872.00
Largest losing trade:
-354.90
# of bars in largest winner:
158
# bars in largest loser:
94
Commission paid in largest winner:
2.00
Commission paid in largest loser:
2.00
Average winning trade:
179.97
Average losing trade:
-138.61
Avg. # of bars in winners:
49.0
Avg. # bars in losers:
28.0
Avg. commission paid in winner:
2.00
Avg. commission paid in loser:
1.80
Max consec. winners:
3
Max consec. losers:
3
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
0.82%
Ratio avg win/avg loss:
1.30
Avg. trade (win & loss):
12.29
Profit factor:
1.17
Performance for UKX
Total net profit:
153.60
Total commissions paid:
36.00
Return on account:
2.33 %
Open position gain/loss
-81.00
Buy&Hold profit:
-2.00
Bars (days) in test:
712 (1026)
Buy&Hold % return:
-0.03%
System to Buy&Hold index:
7779.98%
Annual system % return:
0.82%
Annual B&H % return:
-0.01%
System drawdown:
-1048.70
B&H drawdown:
0.00
Max. system drawdown:
-1563.50
B&H max. drawdown:
0.00
Max. system % drawdown:
-21.98%
B&H max. % drawdown:
0.00%
Max. trade drawdown:
-933.30
Max. trade % drawdown:
-18.95%
Trade drawdown:
-397.10
Total number of trades:
19
Percent profitable:
47.4%
Number winning trades:
9
Number losing trades:
10
Profit of winners:
1619.70
Loss of losers:
-1386.10
Total # of bars in winners:
441
Total # of bars in losers:
280
Commissions paid in winners:
18.00
Commissions paid in losers:
18.00
Largest winning trade:
872.00
Largest losing trade:
-354.90
# of bars in largest winner:
158
# bars in largest loser:
94
Commission paid in largest winner:
2.00
Commission paid in largest loser:
2.00
Average winning trade:
179.97
Average losing trade:
-138.61
Avg. # of bars in winners:
49.0
Avg. # bars in losers:
28.0
Avg. commission paid in winner:
2.00
Avg. commission paid in loser:
1.80
Max consec. winners:
3
Max consec. losers:
3
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
0.82%
Ratio avg win/avg loss:
1.30
Avg. trade (win & loss):
12.29
Profit factor:
1.17
Trade list for UKX
Trade
Entry date
Entry price
Exit date
Exit price
Net Profit
Equity value
Short
05/01/2000
6535.90
17/01/2000
6669.50
-135.60
6464.40
Long
17/01/2000
6669.50
19/01/2000
6445.40
0.00
6464.40
Short
19/01/2000
6445.40
01/03/2000
6364.90
78.50
6542.90
Long
01/03/2000
6364.90
04/04/2000
6427.00
60.10
6603.00
Short
04/04/2000
6427.00
01/06/2000
6470.50
-45.50
6557.50
Long
01/06/2000
6470.50
11/10/2000
6117.60
-354.90
6202.60
Short
11/10/2000
6117.60
06/03/2001
6012.00
103.60
6306.20
Long
06/03/2001
6012.00
12/03/2001
5826.50
-187.50
6118.70
Short
12/03/2001
5826.50
27/03/2001
5728.10
96.40
6215.10
Long
27/03/2001
5728.10
15/06/2001
5723.00
-7.10
6208.00
Short
15/06/2001
5723.00
31/07/2001
5529.10
191.90
6399.90
Long
31/07/2001
5529.10
06/09/2001
5204.30
-326.80
6073.10
Short
06/09/2001
5204.30
10/10/2001
5153.10
49.20
6122.30
Long
10/10/2001
5153.10
12/11/2001
5146.20
-8.90
6113.40
Short
12/11/2001
5146.20
16/11/2001
5291.00
-146.80
5966.60
Long
16/11/2001
5291.00
12/12/2001
5120.00
-173.00
5793.60
Short
12/12/2001
5120.00
31/07/2002
4246.00
872.00
6665.60
Long
31/07/2002
4246.00
28/08/2002
4274.00
26.00
6691.60
Short
28/08/2002
4274.00
15/10/2002
4130.00
142.00
6833.60
Open Long
15/10/2002
4130.00
25/10/2002
4051.00
-80.00
6753.60
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