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OK
Fred, done. <SPAN
class=620301923-21022003>Listers: see posts and attachments below.
<SPAN
class=620301923-21022003>
<SPAN
class=620301923-21022003>Herman
<FONT face=Tahoma
size=2>-----Original Message-----From: Fred Tonetti
[mailto:ftonetti@xxxxxxxxxxxxx]Sent: Friday, February 21, 2003 7:56
AMTo: psytek@xxxxxxxxSubject: RE: NDXQQQ - You might
like this :-)
<SPAN
>Herman,
<SPAN
>
<SPAN
>LOL … Well this is
why I DON’T get stuff from AB Forum by email … I check in there when I want to
see it …
<SPAN
>
<SPAN
>Thanks very much for
responding as I was hoping you would be one who would …
<SPAN
>
<SPAN
>I will need time to
evaluate what you’ve done but in the mean time I think others might appreciate
your efforts here as well … why not post it at the forum ?
<SPAN
>
<SPAN
>Fred
<SPAN
>
<SPAN
>-----Original
Message-----From: Herman van
den Bergen [mailto:psytek@xxxxxxxx] <SPAN
>Sent: Friday, February 21, 2003 10:56
AMTo: Fred
TomettiSubject: NDXQQQ - You
might like this :-)
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=blue
size=2>Hello
Fred,
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=blue
size=2>I
suspect that you have regrets posting your system :-) you are getting tons of
emails, on the list and i bet personal too :-)
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=blue
size=2>Your
code is interesting and even though it may be over optimized (I haven't
re-optimized to check) i did tinker a little with the formula and
I attach slightly modified codes you might like to look
at.
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=blue
size=2><SPAN
>FredOriginal:
5,914% Requires "Revers entry forces exit" to be SET, Long and Short cannot
run independently
<FONT face=Arial color=blue
size=2><SPAN
>FredOrigionalwithStops:
10,452% ProfitTarget Stops added, based on yesterdays signals (not
prices)!
<FONT face=Arial color=blue
size=2><SPAN
>FredHerman001: 9,904%,
Changed rules to remove need for "Reverse entry forces exit" and to
enable independent Long and Short trades
<FONT face=Arial color=blue
size=2><SPAN
>FredHerman002: 36,000%,
as 001 above but with Profit Targets added.
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=blue
size=2>At this
point I became convinced this can't be true so i stopped tinkering :-) but
great fun it was. Everything looks legal... what do you
think?
<FONT face="Times New Roman"
size=3>
<FONT face=Arial color=blue
size=2><SPAN
>Herman.
<FONT face=Arial color=#0000ff
size=2>
<FONT face="Times New Roman"
size=3><SPAN
>
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Title: AmiBroker System Test Report
Settings
Initial Equity:
100
Periodicity/Positions:
Daily/Long Short
Commissions:
0.00 %
Annual interest rate:
0.00%
Range:
97/01/02 00:00:00 - 03/02/20
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
0
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
0
Sell delay:
0
Short trades
Short price:
Open
Cover price:
Open
Short delay:
0
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
13.00
Value:
6.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
13.00
Exit at stop?
yes
Formula// Be sure to set "Reverse Entry Signal Forces exit" to ON.
SetTradeDelays(0,0,0,0);
BuyPrice= Close;
SellPrice = Close;
CoverPrice = Close;
ShortPrice = Close;
Length = 3;//Optimize("RSILen", 0, 2, 6, 1);
LELevelOBS = 30;//Optimize("OBSLE", 0, 0, 50, 1);
LELevelMom = 67;//Optimize("MomLE", 0, 0, 100, 1);
LXLevelOBS = 91;//Optimize("OBSLX", 0, 50, 100, 1);
LXLevelMom = 12;//Optimize("MomLX", 0, 0, 100, 1);
SELevelOBS = 84;//Optimize("OBSSE", 0, 50, 100, 1);
SELevelMom = 24;//Optimize("MomSE", 0, 0, 100, 1);
SXLevelOBS = 5;//Optimize("OBSSX", 0, 0, 50, 1);
SXLevelMom = 65;//Optimize("MomSX", 0, 0, 100, 1);
Price = Foreign("!NDX","C");
RSIx = RSIa(Price, Length);
RSIxHHV = HHV(RSIx, Length);
RSIxLLV = LLV(RSIx, Length);
StoRSIx = 100 * Sum((RSIx - RSIxLLV), Length) / Sum((RSIxHHV - RSIxLLV), Length);
Buy = Cross(LELevelOBS, StoRSIx) OR Cross(StoRSIx, LELevelMom);
Short = Cross(StoRSIx, SELevelOBS) OR Cross(SELevelMom, StoRSIx);
Sell = NOT Short AND (Cross(StoRSIx, LXLevelOBS) OR Cross(LXLevelMom, StoRSIx));
Cover = NOT Buy AND (Cross(SXLevelOBS, StoRSIx) OR Cross(StoRSIx, SXLevelMom));
E = Equity(1);
Plot(E,"Equity",1,1);
LPos = Ref(Flip(Buy,Sell),-1);
SPos = Ref(Flip(Short,Cover),-1);
LPT = 7; //Optimize("LProfitTarget",8,0,10,.1);
SPT = 2.4; //Optimize("SProfitTarget",9,0,10,.1);
PT = IIf(LPos,LPT,IIf(SPos,SPT,0));
ApplyStop(1,1,PT,1);
E=Equity(1);
Plot(E,"StopEquity",4,1);
Overall performance summary
Total net profit:
10452.52
Total commissions paid:
0.00
Return on account:
10452.52 %
Open position gain/loss
-970.91
Buy&Hold profit:
-52.59
Bars (avg. days) in test:
984 (1430)
Buy&Hold % return:
-52.59%
System to Buy&Hold index:
19976.42%
Annual system % return:
228.44%
Annual B&H % return:
-17.34%
System drawdown:
-5.05
B&H drawdown:
-61.31
Max. system drawdown:
-1769.34
B&H max. drawdown:
-197.29
Max. system % drawdown:
-19.52%
B&H max. % drawdown:
-83.60%
Max. trade drawdown:
-1375.86
Max. trade % drawdown:
-17.05%
Trade drawdown:
-1140.90
Total number of trades:
252
Percent profitable:
67.1%
Number winning trades:
169
Number losing trades:
83
Profit of winners:
16794.47
Loss of losers:
-5371.04
Total # of bars in winners:
613
Total # of bars in losers:
335
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
960.48
Largest losing trade:
-727.16
# of bars in largest winner:
4
# bars in largest loser:
9
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
99.38
Average losing trade:
-64.71
Avg. # of bars in winners:
3.6
Avg. # bars in losers:
4.0
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
7
Max consec. losers:
3
Bars out of the market:
186
Interest earned:
0.00
Exposure:
81.1%
Risk adjusted ann. return:
281.68%
Ratio avg win/avg loss:
1.54
Avg. trade (win & loss):
45.33
Profit factor:
3.13
Title: AmiBroker System Test Report
Settings
Initial Equity:
100
Periodicity/Positions:
Daily/Long Short
Commissions:
0.00 %
Annual interest rate:
0.00%
Range:
97/01/02 00:00:00 - 03/02/20
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
0
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
0
Sell delay:
0
Short trades
Short price:
Open
Cover price:
Open
Short delay:
0
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
13.00
Value:
6.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
13.00
Exit at stop?
yes
FormulaSetTradeDelays(0,0,0,0);
BuyPrice= Close;
SellPrice = Close;
CoverPrice = Close;
ShortPrice = Close;
Length = 3;//Optimize("RSILen", 0, 2, 6, 1);
LELevelOBS = 30;//Optimize("OBSLE", 0, 0, 50, 1);
LELevelMom = 67;//Optimize("MomLE", 0, 0, 100, 1);
LXLevelOBS = 91;//Optimize("OBSLX", 0, 50, 100, 1);
LXLevelMom = 12;//Optimize("MomLX", 0, 0, 100, 1);
SELevelOBS = 84;//Optimize("OBSSE", 0, 50, 100, 1);
SELevelMom = 24;//Optimize("MomSE", 0, 0, 100, 1);
SXLevelOBS = 5;//Optimize("OBSSX", 0, 0, 50, 1);
SXLevelMom = 65;//Optimize("MomSX", 0, 0, 100, 1);
Price = Foreign("!NDX","C");
RSIx = RSIa(Price, Length);
RSIxHHV = HHV(RSIx, Length);
RSIxLLV = LLV(RSIx, Length);
StoRSIx = 100 * Sum((RSIx - RSIxLLV), Length) / Sum((RSIxHHV - RSIxLLV), Length);
Buy1 = Cross(LELevelOBS, StoRSIx) OR Cross(StoRSIx, LELevelMom);
Short1 = Cross(StoRSIx, SELevelOBS) OR Cross(SELevelMom, StoRSIx);
Sell = (Cross(StoRSIx, LXLevelOBS) OR Cross(LXLevelMom, StoRSIx)) OR Short1;
Short=Sell;
Cover = (Cross(SXLevelOBS, StoRSIx) OR Cross(StoRSIx, SXLevelMom)) OR Buy1;
Buy = Cover;
E = Equity(1);
Plot(E,"BasicEquity",1,1);
LPos = Ref(Flip(Buy,Sell),-1);
SPos = Ref(Flip(Short,Cover),-1);
LPT = 7; //Optimize("LProfitTarget",8,0,10,.1);
SPT = 2.4; //Optimize("SProfitTarget",9,0,10,.1);
PT = IIf(LPos,LPT,IIf(SPos,SPT,0));
ApplyStop(1,1,PT,1);
E=Equity(1);
Plot(E,"StopEquity",4,1);
Overall performance summary
Total net profit:
36564.04
Total commissions paid:
0.00
Return on account:
36564.04 %
Open position gain/loss
-3373.37
Buy&Hold profit:
-52.59
Bars (avg. days) in test:
984 (1430)
Buy&Hold % return:
-52.59%
System to Buy&Hold index:
69629.89%
Annual system % return:
351.35%
Annual B&H % return:
-17.34%
System drawdown:
-3.82
B&H drawdown:
-61.31
Max. system drawdown:
-6361.77
B&H max. drawdown:
-197.29
Max. system % drawdown:
-21.64%
B&H max. % drawdown:
-83.60%
Max. trade drawdown:
-4780.35
Max. trade % drawdown:
-12.78%
Trade drawdown:
-3963.99
Total number of trades:
288
Percent profitable:
75.7%
Number winning trades:
218
Number losing trades:
70
Profit of winners:
57018.36
Loss of losers:
-17080.95
Total # of bars in winners:
603
Total # of bars in losers:
272
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
2253.81
Largest losing trade:
-2003.95
# of bars in largest winner:
4
# bars in largest loser:
7
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
261.55
Average losing trade:
-244.01
Avg. # of bars in winners:
2.8
Avg. # bars in losers:
3.9
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
14
Max consec. losers:
3
Bars out of the market:
269
Interest earned:
0.00
Exposure:
72.7%
Risk adjusted ann. return:
483.53%
Ratio avg win/avg loss:
1.07
Avg. trade (win & loss):
138.67
Profit factor:
3.34
Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.00 %
Annual interest rate:
0.00%
Range:
97/01/02 00:00:00 - 03/02/20
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
0
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
0
Sell delay:
0
Short trades
Short price:
Open
Cover price:
Open
Short delay:
0
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
13.00
Value:
6.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
13.00
Exit at stop?
yes
Formula// Be sure to set "Reverse Entry Signal Forces exit" to ON.
SetTradeDelays(0,0,0,0);
BuyPrice= Close;
SellPrice = Close;
CoverPrice = Close;
ShortPrice = Close;
Length = 3;//Optimize("RSILen", 0, 2, 6, 1);
LELevelOBS = 30;//Optimize("OBSLE", 0, 0, 50, 1);
LELevelMom = 67;//Optimize("MomLE", 0, 0, 100, 1);
LXLevelOBS = 91;//Optimize("OBSLX", 0, 50, 100, 1);
LXLevelMom = 12;//Optimize("MomLX", 0, 0, 100, 1);
SELevelOBS = 84;//Optimize("OBSSE", 0, 50, 100, 1);
SELevelMom = 24;//Optimize("MomSE", 0, 0, 100, 1);
SXLevelOBS = 5;//Optimize("OBSSX", 0, 0, 50, 1);
SXLevelMom = 65;//Optimize("MomSX", 0, 0, 100, 1);
Price = Foreign("!NDX","C");
RSIx = RSIa(Price, Length);
RSIxHHV = HHV(RSIx, Length);
RSIxLLV = LLV(RSIx, Length);
StoRSIx = 100 * Sum((RSIx - RSIxLLV), Length) / Sum((RSIxHHV - RSIxLLV), Length);
Buy = Cross(LELevelOBS, StoRSIx) OR Cross(StoRSIx, LELevelMom);
Short = Cross(StoRSIx, SELevelOBS) OR Cross(SELevelMom, StoRSIx);
Sell = NOT Short AND (Cross(StoRSIx, LXLevelOBS) OR Cross(LXLevelMom, StoRSIx));
Cover = NOT Buy AND (Cross(SXLevelOBS, StoRSIx) OR Cross(StoRSIx, SXLevelMom));
E = Equity(1);
Plot(Price,"Price",2,1);
Plot(RSIx,"RSIa",4,1);
Plot(E,"Equity",1,1);
Overall performance summary
Total net profit:
591431.14
Total commissions paid:
0.00
Return on account:
5914.31 %
Open position gain/loss
-55336.16
Buy&Hold profit:
-5258.75
Bars (avg. days) in test:
984 (1430)
Buy&Hold % return:
-52.59%
System to Buy&Hold index:
11346.61%
Annual system % return:
184.53%
Annual B&H % return:
-17.34%
System drawdown:
-978.42
B&H drawdown:
-6130.66
Max. system drawdown:
-99067.70
B&H max. drawdown:
-19729.19
Max. system % drawdown:
-21.01%
B&H max. % drawdown:
-83.60%
Max. trade drawdown:
-78416.16
Max. trade % drawdown:
-21.01%
Trade drawdown:
-65024.63
Total number of trades:
252
Percent profitable:
63.5%
Number winning trades:
160
Number losing trades:
92
Profit of winners:
1027075.59
Loss of losers:
-380308.29
Total # of bars in winners:
703
Total # of bars in losers:
389
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
62939.51
Largest losing trade:
-40714.34
# of bars in largest winner:
11
# bars in largest loser:
9
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
6419.22
Average losing trade:
-4133.79
Avg. # of bars in winners:
4.4
Avg. # bars in losers:
4.2
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
7
Max consec. losers:
3
Bars out of the market:
89
Interest earned:
0.00
Exposure:
91.0%
Risk adjusted ann. return:
202.88%
Ratio avg win/avg loss:
1.55
Avg. trade (win & loss):
2566.54
Profit factor:
2.70
Title: AmiBroker System Test Report
Settings
Initial Equity:
100
Periodicity/Positions:
Daily/Long Short
Commissions:
0.00 %
Annual interest rate:
0.00%
Range:
97/01/02 00:00:00 - 03/02/20
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
0
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
0
Sell delay:
0
Short trades
Short price:
Open
Cover price:
Open
Short delay:
0
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
13.00
Value:
6.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
13.00
Exit at stop?
yes
FormulaSetTradeDelays(0,0,0,0);
BuyPrice= Close;
SellPrice = Close;
CoverPrice = Close;
ShortPrice = Close;
Length = 3;//Optimize("RSILen", 0, 2, 6, 1);
LELevelOBS = 30;//Optimize("OBSLE", 0, 0, 50, 1);
LELevelMom = 67;//Optimize("MomLE", 0, 0, 100, 1);
LXLevelOBS = 91;//Optimize("OBSLX", 0, 50, 100, 1);
LXLevelMom = 12;//Optimize("MomLX", 0, 0, 100, 1);
SELevelOBS = 84;//Optimize("OBSSE", 0, 50, 100, 1);
SELevelMom = 24;//Optimize("MomSE", 0, 0, 100, 1);
SXLevelOBS = 5;//Optimize("OBSSX", 0, 0, 50, 1);
SXLevelMom = 65;//Optimize("MomSX", 0, 0, 100, 1);
Price = Foreign("!NDX","C");
RSIx = RSIa(Price, Length);
RSIxHHV = HHV(RSIx, Length);
RSIxLLV = LLV(RSIx, Length);
StoRSIx = 100 * Sum((RSIx - RSIxLLV), Length) / Sum((RSIxHHV - RSIxLLV), Length);
Buy1 = Cross(LELevelOBS, StoRSIx) OR Cross(StoRSIx, LELevelMom);
Short1 = Cross(StoRSIx, SELevelOBS) OR Cross(SELevelMom, StoRSIx);
Sell = (Cross(StoRSIx, LXLevelOBS) OR Cross(LXLevelMom, StoRSIx)) OR Short1;
Short=Sell;
Cover = (Cross(SXLevelOBS, StoRSIx) OR Cross(StoRSIx, SXLevelMom)) OR Buy1;
Buy = Cover;
E = Equity(1);
Plot(E,"Equity",1,1);
Overall performance summary
Total net profit:
9804.06
Total commissions paid:
0.00
Return on account:
9804.06 %
Open position gain/loss
-911.25
Buy&Hold profit:
-52.59
Bars (avg. days) in test:
984 (1430)
Buy&Hold % return:
-52.59%
System to Buy&Hold index:
18743.32%
Annual system % return:
223.16%
Annual B&H % return:
-17.34%
System drawdown:
-6.76
B&H drawdown:
-61.31
Max. system drawdown:
-1816.03
B&H max. drawdown:
-197.29
Max. system % drawdown:
-29.57%
B&H max. % drawdown:
-83.60%
Max. trade drawdown:
-1291.32
Max. trade % drawdown:
-21.01%
Trade drawdown:
-1070.79
Total number of trades:
288
Percent profitable:
62.8%
Number winning trades:
181
Number losing trades:
107
Profit of winners:
19486.43
Loss of losers:
-8771.13
Total # of bars in winners:
787
Total # of bars in losers:
463
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
1096.16
Largest losing trade:
-734.99
# of bars in largest winner:
11
# bars in largest loser:
14
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
107.66
Average losing trade:
-81.97
Avg. # of bars in winners:
4.3
Avg. # bars in losers:
4.3
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
7
Max consec. losers:
4
Bars out of the market:
7
Interest earned:
0.00
Exposure:
99.3%
Risk adjusted ann. return:
224.76%
Ratio avg win/avg loss:
1.31
Avg. trade (win & loss):
37.21
Profit factor:
2.22
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