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<SPAN
>Graham,
Here's an example - test ran over a
basket of stocks for an 80 day period. I think it has something to do with
the stops, but I'm not sure.
Thanks,
Stewart
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.01 per share
Annual interest rate:
5.00%
Range:
79 days
Apply to:
Filter
Include Filter
Exclude Filter
Market
-
Market
-
Group
-
Group
Indicies
Sector
-
Sector
-
Industry
-
Industry
-
Watch list
List 7
Watch list
-
Index
-
Index
Yes
Favourite
-
Favourite
-
Margin requirement:
75
Futures mode:
No
Def. round lot size:
1
Def. Tick Size
1
Drawdowns based on:
Close prices
Long trades
Buy price:
Open
Sell price:
Close
Buy delay:
1
Sell delay:
0
Short trades
Short price:
Open
Cover price:
Close
Short delay:
1
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
15.00
Value:
0.00
Exit at stop?
yes
Exit at stop?
no
Trailing stop:
disabled
Value:
10.00
Exit at stop?
yes
Overall performance summary
Total net profit:
313740.44
Total commissions paid:
37347.60
Return on account:
196.09 %
Open position gain/loss
0.00
Buy&Hold profit:
37276.14
Bars (avg. days) in test:
874 (80)
Buy&Hold % return:
23.30%
System to Buy&Hold index:
741.67%
Annual system % return:
14053.24%
Annual B&H % return:
160.00%
System drawdown:
-540.94
B&H drawdown:
-6096.38
Max. system drawdown:
-7836.86
B&H max. drawdown:
-5950.14
Max. system % drawdown:
-23.35%
B&H max. % drawdown:
-60.16%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-7332.78
Total number of trades:
874
Percent profitable:
88.1%
Number winning trades:
770
Number losing trades:
104
Profit of winners:
313789.75
Loss of losers:
-3300.77
Total # of bars in winners:
770
Total # of bars in losers:
104
Commissions paid in winners:
33081.94
Commissions paid in losers:
4265.66
Largest winning trade:
2904.33
Largest losing trade:
-166.46
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
143.42
Commission paid in largest loser:
166.46
Average winning trade:
407.52
Average losing trade:
-31.74
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
42.96
Avg. commission paid in loser:
41.02
Max consec. winners:
44
Max consec. losers:
2
Bars out of the market:
32
Interest earned:
3251.47
Exposure:
96.3%
Risk adjusted ann. return:
14132.88%
Ratio avg win/avg loss:
12.84
Avg. trade (win & loss):
355.25
Profit factor:
95.07
Performance for ADRX
Total net profit:
21290.00
Total commissions paid:
3146.11
Return on account:
212.90 %
Open position gain/loss
0.00
Buy&Hold profit:
106.02
Bars (days) in test:
56 (80)
Buy&Hold % return:
1.06%
System to Buy&Hold index:
19980.46%
Annual system % return:
18109.07%
Annual B&H % return:
4.93%
System drawdown:
0.00
B&H drawdown:
-6096.38
Max. system drawdown:
-4006.99
B&H max. drawdown:
-5950.14
Max. system % drawdown:
-14.51%
B&H max. % drawdown:
-60.16%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-3701.85
Total number of trades:
56
Percent profitable:
85.7%
Number winning trades:
48
Number losing trades:
8
Profit of winners:
21462.70
Loss of losers:
-387.10
Total # of bars in winners:
48
Total # of bars in losers:
8
Commissions paid in winners:
2632.13
Commissions paid in losers:
513.98
Largest winning trade:
1533.31
Largest losing trade:
-81.65
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
63.89
Commission paid in largest loser:
81.65
Average winning trade:
447.14
Average losing trade:
-48.39
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
54.84
Avg. commission paid in loser:
64.25
Max consec. winners:
15
Max consec. losers:
2
Bars out of the market:
2
Interest earned:
214.40
Exposure:
96.4%
Risk adjusted ann. return:
18196.60%
Ratio avg win/avg loss:
9.24
Avg. trade (win & loss):
376.35
Profit factor:
55.44
Performance for ALTR
Total net profit:
23328.14
Total commissions paid:
2545.13
Return on account:
233.28 %
Open position gain/loss
0.00
Buy&Hold profit:
4699.73
Bars (days) in test:
54 (80)
Buy&Hold % return:
47.00%
System to Buy&Hold index:
396.37%
Annual system % return:
24184.30%
Annual B&H % return:
479.89%
System drawdown:
-321.69
B&H drawdown:
-439.56
Max. system drawdown:
-2567.42
B&H max. drawdown:
-1972.08
Max. system % drawdown:
-12.45%
B&H max. % drawdown:
-14.54%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2484.13
Total number of trades:
54
Percent profitable:
94.4%
Number winning trades:
51
Number losing trades:
3
Profit of winners:
23203.07
Loss of losers:
-90.49
Total # of bars in winners:
51
Total # of bars in losers:
3
Commissions paid in winners:
2423.81
Commissions paid in losers:
121.32
Largest winning trade:
1781.76
Largest losing trade:
-47.33
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
61.44
Commission paid in largest loser:
47.33
Average winning trade:
454.96
Average losing trade:
-30.16
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
47.53
Avg. commission paid in loser:
40.44
Max consec. winners:
19
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
215.56
Exposure:
96.3%
Risk adjusted ann. return:
24378.80%
Ratio avg win/avg loss:
15.08
Avg. trade (win & loss):
428.01
Profit factor:
256.42
Performance for BRCM
Total net profit:
24109.15
Total commissions paid:
2525.42
Return on account:
241.09 %
Open position gain/loss
0.00
Buy&Hold profit:
-461.66
Bars (days) in test:
56 (80)
Buy&Hold % return:
-4.62%
System to Buy&Hold index:
5322.23%
Annual system % return:
26891.26%
Annual B&H % return:
-19.40%
System drawdown:
0.00
B&H drawdown:
-1996.88
Max. system drawdown:
-1905.40
B&H max. drawdown:
-3471.64
Max. system % drawdown:
-13.50%
B&H max. % drawdown:
-31.25%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2028.32
Total number of trades:
56
Percent profitable:
96.4%
Number winning trades:
54
Number losing trades:
2
Profit of winners:
23978.37
Loss of losers:
-87.88
Total # of bars in winners:
54
Total # of bars in losers:
2
Commissions paid in winners:
2401.32
Commissions paid in losers:
124.10
Largest winning trade:
1843.34
Largest losing trade:
-80.64
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
54.22
Commission paid in largest loser:
80.64
Average winning trade:
444.04
Average losing trade:
-43.94
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
44.47
Avg. commission paid in loser:
62.05
Max consec. winners:
32
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
218.66
Exposure:
96.4%
Risk adjusted ann. return:
27077.84%
Ratio avg win/avg loss:
10.11
Avg. trade (win & loss):
426.62
Profit factor:
272.84
Performance for CCU
Total net profit:
7069.93
Total commissions paid:
650.88
Return on account:
70.70 %
Open position gain/loss
0.00
Buy&Hold profit:
-81.01
Bars (days) in test:
56 (80)
Buy&Hold % return:
-0.81%
System to Buy&Hold index:
8827.40%
Annual system % return:
1046.98%
Annual B&H % return:
-3.64%
System drawdown:
-358.56
B&H drawdown:
-2576.32
Max. system drawdown:
-1530.34
B&H max. drawdown:
-2576.32
Max. system % drawdown:
-10.08%
B&H max. % drawdown:
-25.76%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-959.20
Total number of trades:
56
Percent profitable:
71.4%
Number winning trades:
40
Number losing trades:
16
Profit of winners:
7084.78
Loss of losers:
-159.30
Total # of bars in winners:
40
Total # of bars in losers:
16
Commissions paid in winners:
473.21
Commissions paid in losers:
177.67
Largest winning trade:
485.48
Largest losing trade:
-13.92
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
12.72
Commission paid in largest loser:
13.92
Average winning trade:
177.12
Average losing trade:
-9.96
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
11.83
Avg. commission paid in loser:
11.10
Max consec. winners:
6
Max consec. losers:
2
Bars out of the market:
2
Interest earned:
144.44
Exposure:
96.4%
Risk adjusted ann. return:
1040.53%
Ratio avg win/avg loss:
17.79
Avg. trade (win & loss):
123.67
Profit factor:
44.48
Performance for CMVT
Total net profit:
24476.23
Total commissions paid:
3496.94
Return on account:
244.76 %
Open position gain/loss
0.00
Buy&Hold profit:
3251.69
Bars (days) in test:
56 (80)
Buy&Hold % return:
32.52%
System to Buy&Hold index:
652.72%
Annual system % return:
28242.22%
Annual B&H % return:
261.30%
System drawdown:
-91.49
B&H drawdown:
-1778.88
Max. system drawdown:
-3095.84
B&H max. drawdown:
-1870.44
Max. system % drawdown:
-8.82%
B&H max. % drawdown:
-18.58%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2318.22
Total number of trades:
56
Percent profitable:
94.6%
Number winning trades:
53
Number losing trades:
3
Profit of winners:
24383.09
Loss of losers:
-138.48
Total # of bars in winners:
53
Total # of bars in losers:
3
Commissions paid in winners:
3300.38
Commissions paid in losers:
196.56
Largest winning trade:
1559.06
Largest losing trade:
-57.17
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
71.14
Commission paid in largest loser:
57.17
Average winning trade:
460.06
Average losing trade:
-46.16
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
62.27
Avg. commission paid in loser:
65.52
Max consec. winners:
22
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
231.62
Exposure:
96.4%
Risk adjusted ann. return:
28398.04%
Ratio avg win/avg loss:
9.97
Avg. trade (win & loss):
432.94
Profit factor:
176.08
Performance for DCLK
Total net profit:
34932.55
Total commissions paid:
5719.27
Return on account:
349.33 %
Open position gain/loss
0.00
Buy&Hold profit:
4245.06
Bars (days) in test:
56 (80)
Buy&Hold % return:
42.45%
System to Buy&Hold index:
722.90%
Annual system % return:
94809.55%
Annual B&H % return:
402.45%
System drawdown:
0.00
B&H drawdown:
-792.30
Max. system drawdown:
-4575.59
B&H max. drawdown:
-2105.85
Max. system % drawdown:
-12.11%
B&H max. % drawdown:
-16.09%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-5410.08
Total number of trades:
56
Percent profitable:
89.3%
Number winning trades:
50
Number losing trades:
6
Profit of winners:
35097.51
Loss of losers:
-416.01
Total # of bars in winners:
50
Total # of bars in losers:
6
Commissions paid in winners:
5006.78
Commissions paid in losers:
712.49
Largest winning trade:
2904.33
Largest losing trade:
-166.46
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
143.42
Commission paid in largest loser:
166.46
Average winning trade:
701.95
Average losing trade:
-69.33
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
100.14
Avg. commission paid in loser:
118.75
Max consec. winners:
20
Max consec. losers:
2
Bars out of the market:
2
Interest earned:
251.05
Exposure:
96.4%
Risk adjusted ann. return:
95836.85%
Ratio avg win/avg loss:
10.12
Avg. trade (win & loss):
619.31
Profit factor:
84.37
Performance for FD
Total net profit:
10442.75
Total commissions paid:
996.67
Return on account:
104.43 %
Open position gain/loss
0.00
Buy&Hold profit:
2245.19
Bars (days) in test:
54 (80)
Buy&Hold % return:
22.45%
System to Buy&Hold index:
365.12%
Annual system % return:
2511.17%
Annual B&H % return:
151.97%
System drawdown:
-134.94
B&H drawdown:
-903.06
Max. system drawdown:
-1795.66
B&H max. drawdown:
-1307.88
Max. system % drawdown:
-9.35%
B&H max. % drawdown:
-12.69%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1776.60
Total number of trades:
54
Percent profitable:
81.5%
Number winning trades:
44
Number losing trades:
10
Profit of winners:
10437.92
Loss of losers:
-164.82
Total # of bars in winners:
44
Total # of bars in losers:
10
Commissions paid in winners:
795.65
Commissions paid in losers:
201.02
Largest winning trade:
704.26
Largest losing trade:
-23.69
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
21.50
Commission paid in largest loser:
23.69
Average winning trade:
237.23
Average losing trade:
-16.48
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
18.08
Avg. commission paid in loser:
20.10
Max consec. winners:
25
Max consec. losers:
2
Bars out of the market:
2
Interest earned:
169.65
Exposure:
96.3%
Risk adjusted ann. return:
2506.59%
Ratio avg win/avg loss:
14.39
Avg. trade (win & loss):
190.24
Profit factor:
63.33
Performance for GLG
Total net profit:
25068.78
Total commissions paid:
3388.92
Return on account:
250.69 %
Open position gain/loss
0.00
Buy&Hold profit:
-2556.81
Bars (days) in test:
54 (80)
Buy&Hold % return:
-25.57%
System to Buy&Hold index:
1080.47%
Annual system % return:
30533.78%
Annual B&H % return:
-74.00%
System drawdown:
-44.90
B&H drawdown:
-4062.13
Max. system drawdown:
-4186.05
B&H max. drawdown:
-3859.53
Max. system % drawdown:
-15.45%
B&H max. % drawdown:
-39.19%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-4132.24
Total number of trades:
54
Percent profitable:
87.0%
Number winning trades:
47
Number losing trades:
7
Profit of winners:
25337.84
Loss of losers:
-498.67
Total # of bars in winners:
47
Total # of bars in losers:
7
Commissions paid in winners:
2890.25
Commissions paid in losers:
498.67
Largest winning trade:
1873.09
Largest losing trade:
-105.89
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
85.46
Commission paid in largest loser:
105.89
Average winning trade:
539.10
Average losing trade:
-71.24
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
61.49
Avg. commission paid in loser:
71.24
Max consec. winners:
13
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
229.61
Exposure:
96.3%
Risk adjusted ann. return:
30768.86%
Ratio avg win/avg loss:
7.57
Avg. trade (win & loss):
459.98
Profit factor:
50.81
Performance for GSF
Total net profit:
14421.45
Total commissions paid:
1349.26
Return on account:
144.21 %
Open position gain/loss
0.00
Buy&Hold profit:
-896.29
Bars (days) in test:
54 (80)
Buy&Hold % return:
-8.96%
System to Buy&Hold index:
1709.02%
Annual system % return:
5777.69%
Annual B&H % return:
-34.85%
System drawdown:
-182.63
B&H drawdown:
-1450.40
Max. system drawdown:
-1063.31
B&H max. drawdown:
-1562.88
Max. system % drawdown:
-7.76%
B&H max. % drawdown:
-15.43%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1314.50
Total number of trades:
54
Percent profitable:
81.5%
Number winning trades:
44
Number losing trades:
10
Profit of winners:
14442.97
Loss of losers:
-205.64
Total # of bars in winners:
44
Total # of bars in losers:
10
Commissions paid in winners:
1077.72
Commissions paid in losers:
271.54
Largest winning trade:
752.27
Largest losing trade:
-37.15
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
32.47
Commission paid in largest loser:
37.15
Average winning trade:
328.25
Average losing trade:
-20.56
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
24.49
Avg. commission paid in loser:
27.15
Max consec. winners:
9
Max consec. losers:
2
Bars out of the market:
2
Interest earned:
184.13
Exposure:
96.3%
Risk adjusted ann. return:
5792.75%
Ratio avg win/avg loss:
15.96
Avg. trade (win & loss):
263.65
Profit factor:
70.23
Performance for MCD
Total net profit:
14461.74
Total commissions paid:
1931.40
Return on account:
144.62 %
Open position gain/loss
0.00
Buy&Hold profit:
988.26
Bars (days) in test:
54 (80)
Buy&Hold % return:
9.88%
System to Buy&Hold index:
1363.35%
Annual system % return:
5822.07%
Annual B&H % return:
53.72%
System drawdown:
-54.60
B&H drawdown:
-2056.60
Max. system drawdown:
-1692.17
B&H max. drawdown:
-2111.20
Max. system % drawdown:
-8.05%
B&H max. % drawdown:
-21.03%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1691.10
Total number of trades:
54
Percent profitable:
83.3%
Number winning trades:
45
Number losing trades:
9
Profit of winners:
14496.13
Loss of losers:
-208.35
Total # of bars in winners:
45
Total # of bars in losers:
9
Commissions paid in winners:
1620.98
Commissions paid in losers:
310.42
Largest winning trade:
1033.52
Largest losing trade:
-47.57
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
43.82
Commission paid in largest loser:
47.57
Average winning trade:
322.14
Average losing trade:
-23.15
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
36.02
Avg. commission paid in loser:
34.49
Max consec. winners:
15
Max consec. losers:
2
Bars out of the market:
2
Interest earned:
173.96
Exposure:
96.3%
Risk adjusted ann. return:
5848.97%
Ratio avg win/avg loss:
13.92
Avg. trade (win & loss):
264.59
Profit factor:
69.58
Performance for MXIM
Total net profit:
10169.11
Total commissions paid:
692.47
Return on account:
101.69 %
Open position gain/loss
0.00
Buy&Hold profit:
3175.04
Bars (days) in test:
54 (80)
Buy&Hold % return:
31.75%
System to Buy&Hold index:
220.28%
Annual system % return:
2355.46%
Annual B&H % return:
251.86%
System drawdown:
-524.47
B&H drawdown:
-562.59
Max. system drawdown:
-1667.82
B&H max. drawdown:
-2115.00
Max. system % drawdown:
-11.98%
B&H max. % drawdown:
-16.43%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1169.28
Total number of trades:
54
Percent profitable:
98.1%
Number winning trades:
53
Number losing trades:
1
Profit of winners:
10023.45
Loss of losers:
-8.88
Total # of bars in winners:
53
Total # of bars in losers:
1
Commissions paid in winners:
677.26
Commissions paid in losers:
15.22
Largest winning trade:
647.61
Largest losing trade:
-8.88
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
16.97
Commission paid in largest loser:
15.22
Average winning trade:
189.12
Average losing trade:
-8.88
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
12.78
Avg. commission paid in loser:
15.22
Max consec. winners:
44
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
154.54
Exposure:
96.3%
Risk adjusted ann. return:
2358.12%
Ratio avg win/avg loss:
21.30
Avg. trade (win & loss):
185.45
Profit factor:
1129.14
Performance for NTAP
Total net profit:
31833.22
Total commissions paid:
3597.22
Return on account:
318.33 %
Open position gain/loss
0.00
Buy&Hold profit:
3126.49
Bars (days) in test:
54 (80)
Buy&Hold % return:
31.26%
System to Buy&Hold index:
918.18%
Annual system % return:
68400.03%
Annual B&H % return:
245.98%
System drawdown:
-442.08
B&H drawdown:
-1768.32
Max. system drawdown:
-5497.14
B&H max. drawdown:
-3143.68
Max. system % drawdown:
-19.46%
B&H max. % drawdown:
-28.49%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-5657.53
Total number of trades:
54
Percent profitable:
92.6%
Number winning trades:
50
Number losing trades:
4
Profit of winners:
31790.80
Loss of losers:
-223.80
Total # of bars in winners:
50
Total # of bars in losers:
4
Commissions paid in winners:
3335.64
Commissions paid in losers:
261.58
Largest winning trade:
2314.83
Largest losing trade:
-104.71
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
77.59
Commission paid in largest loser:
104.71
Average winning trade:
635.82
Average losing trade:
-55.95
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
66.71
Avg. commission paid in loser:
65.39
Max consec. winners:
19
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
266.21
Exposure:
96.3%
Risk adjusted ann. return:
68988.77%
Ratio avg win/avg loss:
11.36
Avg. trade (win & loss):
584.57
Profit factor:
142.05
Performance for NTES
Total net profit:
35070.78
Total commissions paid:
3004.30
Return on account:
350.71 %
Open position gain/loss
0.00
Buy&Hold profit:
3579.01
Bars (days) in test:
54 (80)
Buy&Hold % return:
35.79%
System to Buy&Hold index:
879.90%
Annual system % return:
96149.04%
Annual B&H % return:
303.84%
System drawdown:
-540.94
B&H drawdown:
-4770.90
Max. system drawdown:
-7836.86
B&H max. drawdown:
-4678.83
Max. system % drawdown:
-23.35%
B&H max. % drawdown:
-47.11%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-7332.78
Total number of trades:
54
Percent profitable:
92.6%
Number winning trades:
50
Number losing trades:
4
Profit of winners:
35026.32
Loss of losers:
-235.04
Total # of bars in winners:
50
Total # of bars in losers:
4
Commissions paid in winners:
2726.98
Commissions paid in losers:
277.32
Largest winning trade:
2176.51
Largest losing trade:
-86.76
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
63.24
Commission paid in largest loser:
86.76
Average winning trade:
700.53
Average losing trade:
-58.76
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
54.54
Avg. commission paid in loser:
69.33
Max consec. winners:
19
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
279.50
Exposure:
96.3%
Risk adjusted ann. return:
97050.20%
Ratio avg win/avg loss:
11.92
Avg. trade (win & loss):
644.28
Profit factor:
149.02
Performance for OVTI
Total net profit:
16317.54
Total commissions paid:
1585.68
Return on account:
163.18 %
Open position gain/loss
0.00
Buy&Hold profit:
12327.33
Bars (days) in test:
54 (80)
Buy&Hold % return:
123.27%
System to Buy&Hold index:
32.37%
Annual system % return:
8167.40%
Annual B&H % return:
3804.52%
System drawdown:
-234.97
B&H drawdown:
-311.55
Max. system drawdown:
-2500.01
B&H max. drawdown:
-2834.10
Max. system % drawdown:
-14.46%
B&H max. % drawdown:
-15.95%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2760.60
Total number of trades:
54
Percent profitable:
88.9%
Number winning trades:
48
Number losing trades:
6
Profit of winners:
16296.38
Loss of losers:
-172.67
Total # of bars in winners:
48
Total # of bars in losers:
6
Commissions paid in winners:
1400.54
Commissions paid in losers:
185.14
Largest winning trade:
960.60
Largest losing trade:
-36.36
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
34.10
Commission paid in largest loser:
36.36
Average winning trade:
339.51
Average losing trade:
-28.78
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
29.18
Avg. commission paid in loser:
30.86
Max consec. winners:
11
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
193.82
Exposure:
96.3%
Risk adjusted ann. return:
8196.81%
Ratio avg win/avg loss:
11.80
Avg. trade (win & loss):
298.59
Profit factor:
94.38
Performance for SKM
Total net profit:
6128.12
Total commissions paid:
1475.11
Return on account:
61.28 %
Open position gain/loss
0.00
Buy&Hold profit:
137.81
Bars (days) in test:
54 (80)
Buy&Hold % return:
1.38%
System to Buy&Hold index:
4346.83%
Annual system % return:
785.32%
Annual B&H % return:
6.44%
System drawdown:
-164.43
B&H drawdown:
-3265.11
Max. system drawdown:
-1749.78
B&H max. drawdown:
-3429.54
Max. system % drawdown:
-15.03%
B&H max. % drawdown:
-33.88%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-620.55
Total number of trades:
54
Percent profitable:
81.5%
Number winning trades:
44
Number losing trades:
10
Profit of winners:
6245.77
Loss of losers:
-258.82
Total # of bars in winners:
44
Total # of bars in losers:
10
Commissions paid in winners:
1186.90
Commissions paid in losers:
288.22
Largest winning trade:
384.90
Largest losing trade:
-34.32
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
34.73
Commission paid in largest loser:
34.32
Average winning trade:
141.95
Average losing trade:
-25.88
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
26.97
Avg. commission paid in loser:
28.82
Max consec. winners:
17
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
141.16
Exposure:
96.3%
Risk adjusted ann. return:
779.38%
Ratio avg win/avg loss:
5.48
Avg. trade (win & loss):
110.87
Profit factor:
24.13
Performance for XLNX
Total net profit:
14620.96
Total commissions paid:
1242.82
Return on account:
146.21 %
Open position gain/loss
0.00
Buy&Hold profit:
3390.28
Bars (days) in test:
54 (80)
Buy&Hold % return:
33.90%
System to Buy&Hold index:
331.26%
Annual system % return:
5999.99%
Annual B&H % return:
278.86%
System drawdown:
-168.42
B&H drawdown:
-1067.65
Max. system drawdown:
-1533.92
B&H max. drawdown:
-2410.40
Max. system % drawdown:
-8.66%
B&H max. % drawdown:
-18.30%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1795.50
Total number of trades:
54
Percent profitable:
90.7%
Number winning trades:
49
Number losing trades:
5
Profit of winners:
14482.64
Loss of losers:
-44.83
Total # of bars in winners:
49
Total # of bars in losers:
5
Commissions paid in winners:
1132.39
Commissions paid in losers:
110.42
Largest winning trade:
882.31
Largest losing trade:
-21.48
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
27.29
Commission paid in largest loser:
21.48
Average winning trade:
295.56
Average losing trade:
-8.97
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
23.11
Avg. commission paid in loser:
22.08
Max consec. winners:
15
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
183.15
Exposure:
96.3%
Risk adjusted ann. return:
6018.59%
Ratio avg win/avg loss:
32.96
Avg. trade (win & loss):
267.37
Profit factor:
323.03
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=gkavanagh@xxxxxxxxxxxxx
href="">Graham
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 19, 2003 11:29
AM
Subject: RE: [amibroker] Help -
Unrealistic Results
<SPAN
>What results are you getting, what
market/stocks, what are your trade settings, what time frame for the
backtest
<SPAN
>
<FONT face="Times New Roman" color=teal
size=3><SPAN
>Cheers,<FONT
color=teal size=3><SPAN
>Graham
<FONT
face="Times New Roman" color=#339966 size=2><SPAN
><A
href=""><SPAN
>http://groups.msn.com/ASXShareTrading
<FONT
face="Times New Roman" color=#339966 size=2><SPAN
><A
href=""><SPAN
>http://groups.msn.com/FMSAustralia
<SPAN
>-----Original
Message-----From: Stewart
[mailto:stewart@xxxxxxxxxxxxxxxx] <SPAN
>Sent: Saturday, 19 April 2003 5:20
PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: [amibroker] Help - Unrealistic
Results
<FONT face="Times New Roman"
size=3>
<SPAN
>Hi All,
<FONT face="Times New Roman"
size=2>
<SPAN
>I was experimenting with a
system, similiar to the one below. I'm getting very unrealistic results, and I
can't figure out why.
<SPAN
>I don't believe the system is
forward looking, does anyone else have an idea?
<SPAN
>Thanks,
<SPAN
>Stewart
<SPAN
>System:
<FONT face="Times New Roman"
size=1>Buy<FONT
size=1> = <SPAN
>C > <SPAN
>Ref(<SPAN
>C,-<SPAN
>1) ;
<SPAN
>Sell<FONT
size=1>= <SPAN
>C < <SPAN
>Ref(<SPAN
>C,-<SPAN
>1) ;
<SPAN
>Short<FONT
size=1>= <SPAN
>C < <SPAN
>Ref(<SPAN
>C,-<SPAN
>1) ;
<SPAN
>Cover<FONT
size=1> = <SPAN
>C > <SPAN
>Ref(<SPAN
>C,-<SPAN
>1);
<FONT face="Times New Roman" color=blue
size=1><SPAN
>ApplyStop<FONT
size=1>(<SPAN
>Optimize( <SPAN
>"Type", <SPAN
>1, <SPAN
>0, <SPAN
>3, <SPAN
>1 ),<SPAN
>Optimize( <SPAN
>"Mode", <SPAN
>1,<SPAN
>0, <SPAN
>1, <SPAN
>1 ) ,<SPAN
>Optimize( <SPAN
>"Amount", <SPAN
>0, <SPAN
>0, <SPAN
>3, <SPAN
>1 ),<SPAN
>1,<SPAN
>1);
<FONT face="Times New Roman" color=blue
size=1>Equity<FONT
size=1>(<SPAN
>1);
<SPAN
>
<SPAN
>The system settings
are:
<TABLE class=MsoNormalTable
cellPadding=0 width="100%" border=0>
<TD
bgColor=#cccccc colSpan=5>
<FONT
face="Times New Roman" size=2><SPAN
>Settings
<TD
colSpan=5>
<FONT
face="Times New Roman" size=2><SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Initial
Equity:
<TD
>
<SPAN
>10000
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Periodicity/Positions:
<TD
>
<SPAN
>Daily/Long Short
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Commissions:
<TD
>
<SPAN
>0.01 per share
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Annual interest
rate:
<TD
>
<SPAN
>5.00%
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Range:
<TD
>
<SPAN
>99 days
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Apply
to:
<TD
>
<SPAN
>Filter
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Include
Filter
<TD
>
<SPAN
>
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Exclude
Filter
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Market
<TD
>
<SPAN
>-
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Market
<TD
>
<SPAN
>-
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Group
<TD
>
<SPAN
>-
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Group
<TD
>
<SPAN
>Indicies
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Sector
<TD
>
<SPAN
>-
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Sector
<TD
>
<SPAN
>-
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Industry
<TD
>
<SPAN
>-
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Industry
<TD
>
<SPAN
>-
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Watch
list
<TD
>
<SPAN
>Main Universe
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Watch
list
<TD
>
<SPAN
>-
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Index
<TD
>
<SPAN
>-
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Index
<TD
>
<SPAN
>Yes
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Favourite
<TD
>
<SPAN
>-
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Favourite
<TD
>
<SPAN
>-
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Margin
requirement:
<TD
>
<SPAN
>75
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Futures
mode:
<TD
>
<SPAN
>No
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Def. round lot
size:
<TD
>
<SPAN
>1
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Def. Tick
Size
<TD
>
<SPAN
>1
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Drawdowns based
on:
<TD
>
<SPAN
>Close prices
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>
<TD
>
<SPAN
>
<TD
colSpan=5>
<FONT
face="Times New Roman" size=2><SPAN
>Long
trades
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Buy
price:
<TD
>
<SPAN
>Open
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Sell
price:
<TD
>
<SPAN
>Close
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Buy
delay:
<TD
>
<SPAN
>1
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Sell
delay:
<TD
>
<SPAN
>0
<TD
colSpan=5>
<FONT
face="Times New Roman" size=2><SPAN
>Short
trades
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Short
price:
<TD
>
<SPAN
>Open
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Cover
price:
<TD
>
<SPAN
>Close
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Short
delay:
<TD
>
<SPAN
>1
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Cover
delay:
<TD
>
<SPAN
>0
<TD
colSpan=5>
<FONT
face="Times New Roman" size=2><SPAN
>Stops
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Maximum
loss:
<TD
>
<SPAN
>disabled
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Profit
target:
<TD
>
<SPAN
>disabled
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Value:
<TD
>
<SPAN
>15.00
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Value:
<TD
>
<SPAN
>0.00
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Exit at
stop?
<TD
>
<SPAN
>yes
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Exit at
stop?
<TD
>
<SPAN
>no
<TD
colSpan=5>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Trailing
stop:
<TD
>
<SPAN
>disabled
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Value:
<TD
>
<SPAN
>10.00
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>Exit at
stop?
<TD
>
<SPAN
>yes
<TD
>
<SPAN
>
<TD
>
<FONT
face="Times New Roman" size=2><SPAN
>
<TD
>
<SPAN
>
<SPAN
>
<FONT face="Times New Roman"
size=2><SPAN
><FONT
face="Courier New" size=2>Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<SPAN
><FONT
face="Courier New">Send SUGGESTIONS to
suggest@xxxxxxxxxxxxx<FONT
face="Courier New">-----------------------------------------<FONT
face="Courier New">Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)<FONT
face="Courier New">--------------------------------------------<FONT
face="Courier New">Check group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html<FONT
size=2> <FONT
face="Courier New" size=2>Your use of Yahoo!
Groups is subject to the Yahoo!
Terms of Service.<SPAN
>
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
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Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
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Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
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