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Results are very poor on DOW30 from Jan 02 till now, so I don't
see the problem. Tested both weekly and daily bars
nand
--- In amibroker@xxxxxxxxxxxxxxx, Stewart <stewart@xxxx> wrote:
> Hi All,
>
> I was experimenting with a system, similiar to the one below. I'm
getting very unrealistic results, and I can't figure out why.
> I don't believe the system is forward looking, does anyone else
have an idea?
> Thanks,
>
> Stewart
>
> System:
>
> Buy = C > Ref(C,-1) ;
>
> Sell= C < Ref(C,-1) ;
>
> Short= C < Ref(C,-1) ;
>
> Cover = C > Ref(C,-1);
>
> ApplyStop(Optimize( "Type", 1, 0, 3, 1 ),Optimize( "Mode", 1,0, 1,
1 ) ,Optimize( "Amount", 0, 0, 3, 1 ),1,1);
>
> Equity(1);
>
>
>
> The system settings are:
>
> Settings
>
> Initial Equity: 10000 Periodicity/Positions: Daily/Long
Short
> Commissions: 0.01 per share Annual interest rate: 5.00%
> Range: 99 days Apply to: Filter
> Include Filter Exclude Filter
> Market - Market -
> Group - Group Indicies
> Sector - Sector -
> Industry - Industry -
> Watch list Main Universe 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
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