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In continuing to read and learn from back posts to this group, I've
reached "Fred's Watered Down Semi-Interesting System got
Interesting", Herman ran Fred's system (and Herman's modification)
with and without stops applied (4 runs in total):
http://groups.yahoo.com/group/amibroker/message/34463?threaded=1
I can reproduce the two runs without stops, but fail miserably to
equal the returns when I attempt the backtests with stops. Here is
the code for Herman's modification, with stops:
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);
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);
Can anyone suggest some setting which I may have wrong? Do
the 'Stops' settings remain diabled?
Thanks,
Steve
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