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Tomasz,
Does that apply to the .DLL which Steve Dugas
invented?
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 07, 2003 4:08
PM
Subject: Re: [amibroker] Steve
Dugas
Hello,
Only "BACKTEST" and "OPTIMIZE" modes produce Drawdowns and
other backtesting statistics.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=steve@xxxxxxxxxxxxxxxxxxxxxx
href="">Stephen Almond (F)
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 07, 2003 3:34
PM
Subject: Re: [amibroker] Steve
Dugas
Steve,
When I run one of your indicators
against a group of stocks using Explore, most of them show 'Max $ DD' and
'Max % DD' as zero. A few show non-zero values. Any idea why this is? Here
is my include file, in case this gives a clue:
TestBars
=126; // bars in testperiod (most recent
bars)StartDate = 991231; // start date for earlier test
periodEndDate =
0; // end date for earlier test
periodGoLong =
1; // 1 = take long positions, 0 = no
long positionsGoShort =
1; // 1 = take short positions, 0 = no
short positionsSignalPrice = Close; // array used for trade
signals and plotting indicatorTradeDelay =
1; // bars after trade signal to execute
tradeTradePrice = Open; // array used for trade
executionsInitEquity = 100000; // initial
equityReInvest =
1; // 1 = initial equity, 2 = compounded
equityCommAmount = 0.5; //
commission amountCommType =
2; // 1 = $/trade, 2 = %/trade, 3 =
c/shareEnterBarOne = 1; // 1 =
always open trade on 1st test bar, 0 = don'tOptimizeBy =
1; // 1 = annual % return, 2 = peak
equity at close/all
trades
// 3 = % winning trades, 4 = avg %
return/trade
// 5 = % return/worst trade, 6 = drawdown/starting equity
Also AB settings use n and
n=1
Thanks,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Steve Dugas
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 05, 2003 4:13
AM
Subject: Re: [amibroker] Steve
Dugas
Hi Stephen - Thank you for the kind words. Please see
my replies to yourquestions below:----- Original Message
-----From: "Stephen Almond (T)" <<A
href="">s.almond@xxxxxxxxx>To: "Ami"
<<A
href="">amibroker@xxxxxxxxxxxxxxx>Sent:
Friday, April 04, 2003 5:15 AMSubject: [amibroker] Steve
Dugas> Steve, congratulations on you excellent .DLL. I
would like to make acouple> of comments:>> 1. On
the attached chart of your TRIX indicator, the buy/sell signals
seem> too good to be true. Seems the programme picks the peak
before the> subsequent down day which defines that peak (same for
troughs, of course).> Can you introduce a couple of days delay to
make the trades more 'real'?>The chart shows the trade
signals while the reported results are based onthe actual trades. TRIX
uses a reversal system, so the indicator will changecolor on the day
that it reverses - you can confirm this by hovering thecursor over the
day that it changes color, and also the 2 days before, andreading the
values in the tool tips. I deliberately programmed the charts toshow
the signals so that it would alert me to signals on the current
bar.Actually, the signal is given on the day that the DOT (not the
line) changescolor. I added the dots because in line mode, AB uses the
new color toconnect the signal bar to the previous bar, possibly
giving the impressionthat the signal occurred the day before it
actually did. In real time itdoesnt matter because the color change
for the latest bar will will show upon the dot and the line at the
same time, but when looking at past signals,it is the first DOT of a
new color that signals the reversal.You can select when the actual
trades take place, similar to AA settings, bysetting the TradePrice
and TradeDelay variables at the top of the code. Theyare preset to
execute the trade on the open of the day following the signal,but for
example, if your style is to trade at the close on the day of
thesignal, just change TradePrice to "Close" and TradeDelay to
"0".> 2. I notice that if I use 63 days (~1/4 year) for my
Testbars and get a> return of 12%, then the Annual return is shown
as 48%. Is the lack of> compounding correct, or are you simply
erring on the conservative side?The program uses 2 methods to
figure annual return, one if you arereinvesting initial equity and the
other if you are reinvesting compoundedequity. If you want to reinvest
compounded equity (and also calculate annualreturn based on this
method), just set ReInvest variable to "2".>> 3. I note
in you help document that you say the backtest isn't completely>
consistent with the explorations. Do you hope to remedy this? As
anexample> if I use testbars =126, should I be able to backtest
over 126 bars and at> least get the same number of trades as
indicated by the exploration?>Well, actually, the DLL has
its own built-in backtester, which it runs whenyou do an exploration.
That is how it determines the optimal parameters - ittests all
combinations you select and returns the most profitable one. Idont
think that the results will ever be identical to AB's
backtesterbecause there are a number of variables to consider and I
dont know exactlyhow Tomasz handles them all in his code. For example,
AB calculates interestwhen you are out of the market - I didnt bother
to add interest in the DLLbecause it seems like a relatively minor
amount these days, but maybe I willadd it in the future. Another
example is if you choose to reinvest initialequity, the DLL will
actually reinvest the lesser of initial equity oractual equity (in
case you lose money on the first trade for example, thisis more
realistic) I think this would correspond to using AB
"positionsize"with "allow shrinking" turned on . Another example is
that the DLL allowsyou to open a trade on the first bar of the test
period if you want to,rather than wait for the first signal to occur.
If you select this method,it will look backwards from the 1st test bar
to find the previous signal andthen enter the trade on the 1st bar of
the test period. I added this becauseI usually concentrate on what the
stock has been doing very recently and ifsome stocks make me wait for
half the test period before opening a trade,that makes it hard to make
a valid comparison over such a short time. To getas close to AB
results as possible, you can set all parameters to be asclose to AB
settings as possible. In my limited testing of this, I have seenthat
it is possible to come pretty close.> Thanks for the great
programmeYou are welcome : - )>>>
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