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Dimitris,
the content of the thread was evaluation of the test results to which Sidney replied. so yes Sidney provided me with educational value.
as stated it is something simple, and the codeing was provided by yourself and many others freely to this list, for which i thank you all.
my intention was to get comments if the dd was exceptible comparing a $5000.00 account with a $10000.00 account.
yes i agree.
Don
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@x...> wrote:> Don,> do you assign any educational value in posting results alone ?> > Will we trade better tomorrow [better means with fewer mistakes]?> Except if we begin a new competition here, to scan and post a weekly > [or monthly] copy of our bank account.> I really did not understand your intention.> If you use your system and things go better and better for you, it is > just fine, keep it steady or make it even better, it will be really > great. But, IMO, it is not a reason to post single results and I hope > you agree.> DT > --- In amibroker@xxxxxxxxxxxxxxx, "Rick Parsons" <RickParsons@x...> > wrote:> > Don and all,> > > > Re: Don's post listed below.> > > > No way to pick it apart without the system code.> > > > This board seems to be paranoid about sharing system code. It's as > if everyone fears they will be giving away a secret "holy grail". I > know I am guilty of the same.> > > > But think about it: There are thousands upon thousands of system > developers out there. Whatever system one comes up with, chances are > it's been done before.> > > > And chances are if one shares system code, others can and will chip > in with improvements or point out weaknesses.> > > > > > Rick> > -----Original Message-----> > From: Don [mailto:ddsmcl@xxxx]> > Sent: Wednesday, April 09, 2003 11:30 PM> > To: amibroker@xxxxxxxxxxxxxxx> > Subject: [amibroker] Re: Larry Williams Inner Circle Review> > > > > > attached are the test reports of a simple trading system trading > only the short side of a single dow contract off the 10 min chart > from jan 1 to march 28.> > > > the Annual system % return: increases 4 fold by reducing the > Initial Equity in half.> > > > pick it apart.> > > > Don> > > > > > > > > > > > --------------------------------------------------------------------> ----------> > Post your free ad now! Yahoo! Canada Personals> > > > Yahoo! Groups Sponsor > > ADVERTISEMENT> > > > > > > > > > Send BUG REPORTS to bugs@x...> > Send SUGGESTIONS to suggest@x...> > -----------------------------------------> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)> > --------------------------------------------> > Check group FAQ at: > http://groups.yahoo.com/group/amibroker/files/groupfaq.html > > > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of > Service.Post your free ad now! Yahoo! Canada Personals
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Title: AmiBroker System Test Report
Settings
Initial Equity:
5000
Periodicity/Positions:
10 minute/ Short
Commissions:
11.50 per trade
Annual interest rate:
0.00%
Range:
01/01/2003 00:00:00 - 28/03/2003
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:
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:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
FormulaNumContracts = 1;
MarginRequirement = 3200 ;
PositionSize = NumContracts * MarginRequirement;
//PositionSize = MarginRequirement = 1;
//PositionSize = -60; // use 60% of equity
MarginDeposit = 3200; // this you can set also in the Symbol-Information page RoundLotSize = 1; // this you can set also in the Settings page
Optimize ("CCIperiodbuy",21,1,50,1);
CCIperiodbuy = Param("CCIbuy",21,1,50,1);
ST33=CCI(CCIperiodbuy);
TR1=LLVBars(ST33,4);
TR2=IIf(ST33<30 AND TR1>0 AND Ref(TR1,-1)==0,Ref(ST33,-1),0);
TRC=IIf(TR2>0,C,0);
vs=ValueWhen(tr2, Ref(st33,-1), 1);
dvs=vs-Ref(vs,-1);
vc=ValueWhen(trc, LLV(C,3), 1);
dvc=vc-Ref(vc,-1);
diver=IIf(dvs>0 AND dvc<0,30,0);
DAS=BarsSince(Ref(TR2,-1)>0);
DD=IIf(DAS<20 AND C>=Ref(C,-1),DIVER,0);
Buy=Cover=DD>0 ;
Optimize ("CCIperiodsell",21,1,50,1);
CCIperiodsell = Param("CCIsell",21,1,50,1);
ST33=CCI(CCIperiodsell);
TR1=HHVBars(ST33,4);
TR2=IIf(ST33>70 AND TR1>0 AND Ref(TR1,-1)==0,Ref(ST33,-1),0);
TRC=IIf(TR2>0,C,0);
vs=ValueWhen(tr2, Ref(st33,-1), 1);
dvs=vs-Ref(vs,-1);
vc=ValueWhen(trc, HHV(H,3), 1);
dvc=vc-Ref(vc,-1);
diver=IIf(dvs<0 AND dvc>0,90,0);
DAS=BarsSince(Ref(TR2,-1)>0);
dddnegCCIdiv=IIf(DAS<20 AND C<Ref(C,-1),DIVER,0);
Sell=Short=dddnegCCIdiv==90;
// EXIT DELAYS
x=Optimize("x",14,1,20,2);
y=Optimize("y",14,1,20,2);
// TRADING RULES
Sell=Ref(Buy,-x);// SELL X BARS LATER
Short=dddnegCCIdiv==90;
// Cover
Cover=Ref(Short,-y);// COVER Y BARS LATER
Plot(C,"",colorYellow,styleBar);
WriteVal( Interval()/60,1 )+" "+ "Minute Study";
Sell=dddnegCCIdiv==90;
Cover=Ref(Short,-y);// COVER Y BARS LATER
Offset1 = Param("CCIshort",-12,-50,50,1);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),4,0,High,Offset1);
Offset2 = Param("CCIcover",-18,-50,50,1);
PlotShapes(IIf(Cover,shapeHollowUpArrow,shapeNone),4,0,High,Offset2);
Plot(IIf(Day() > Ref(Day(),-1),1,0),"",colorPink,styleHistogram|styleOwnScale);
Plot(IIf(Month() != Ref(Month(),-1),1,0),"",colorWhite,styleHistogram|styleOwnScale);
Title = WriteVal( Interval()/60,1 )+" "+ "Min.with CCI divergence"+EncodeColor(4) + " CCI"+
"\nO="+WriteVal(O,1.2)+
"\nH="+WriteVal(H,1.2)+
"\nL ="+WriteVal(L,1.2)+
"\nC="+WriteVal(C,1.2) ;
GraphXSpace = 16 ;
Overall performance summary
Total net profit:
4724.09
Total commissions paid:
368.00
Return on account:
94.48 %
Open position gain/loss
0.00
Buy&Hold profit:
-4026.20
Bars (avg. days) in test:
2079 (79)
Buy&Hold % return:
-80.52%
System to Buy&Hold index:
217.33%
Annual system % return:
2061.19%
Annual B&H % return:
-99.95%
System drawdown:
0.00
B&H drawdown:
-12143.90
Max. system drawdown:
-1893.50
B&H max. drawdown:
-14497.50
Max. system % drawdown:
-20.53%
B&H max. % drawdown:
-282.25%
Max. trade drawdown:
-1226.50
Max. trade % drawdown:
-20.53%
Trade drawdown:
-1128.80
Total number of trades:
16
Percent profitable:
75.0%
Number winning trades:
12
Number losing trades:
4
Profit of winners:
6733.10
Loss of losers:
-2009.01
Total # of bars in winners:
180
Total # of bars in losers:
60
Commissions paid in winners:
276.00
Commissions paid in losers:
92.00
Largest winning trade:
1673.20
Largest losing trade:
-1069.90
# of bars in largest winner:
15
# bars in largest loser:
15
Commission paid in largest winner:
23.00
Commission paid in largest loser:
23.00
Average winning trade:
561.09
Average losing trade:
-502.25
Avg. # of bars in winners:
15.0
Avg. # bars in losers:
15.0
Avg. commission paid in winner:
23.00
Avg. commission paid in loser:
23.00
Max consec. winners:
5
Max consec. losers:
2
Bars out of the market:
1839
Interest earned:
0.00
Exposure:
11.5%
Risk adjusted ann. return:
17855.10%
Ratio avg win/avg loss:
1.12
Avg. trade (win & loss):
295.26
Profit factor:
3.35
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