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Stewart, the code you have produces this on DOW30 starting
Jan 2002 till last friday, and that is why I can't see the
"too good to be true" porblem.
nand
AmiBroker System Test ReportOverall performance summary
Total net profit:-145877.35 Total commissions paid:80031.44
Return on account:-48.63 % Open position gain/loss-36.07
Buy&Hold profit:-53466.63 Bars (avg. days) in test:9780 (471)
Buy&Hold % return:-17.82% System to Buy&Hold index:-172.84%
Annual system % return:-40.32% Annual B&H % return:-14.11%
System drawdown:-8609.98 B&H drawdown:-8267.70
Max. system drawdown:-10253.87 B&H max. drawdown:-8682.99
Max. system % drawdown:-86.17% B&H max. % drawdown:-83.36%
Max. trade drawdown:-5122.56
Max. trade % drawdown:-57.37%
Trade drawdown:-4563.20
Total number of trades:9654 Percent profitable:44.4%
Number winning trades:4287 Number losing trades:5367
Profit of winners:561880.48 Loss of losers:-707815.48
Total # of bars in winners:8253 Total # of bars in losers:8367
Commissions paid in winners:35548.72 Commissions paid in
losers:44482.72
Largest winning trade:2173.05 Largest losing trade:-3556.80
# of bars in largest winner:2 # bars in largest loser:2
Commission paid in largest winner:19.80 Commission paid in
largest
loser:4.56
Average winning trade:131.07 Average losing trade:-131.88
Avg. # of bars in winners:1.9 Avg. # bars in losers:1.6
Avg. commission paid in winner:8.29 Avg. commission paid in
loser:8.29
Max consec. winners:10 Max consec. losers:13
Bars out of the market:31 Interest earned:0.00
Exposure:99.7% Risk adjusted ann. return:-40.45%
Ratio avg win/avg loss:0.99 Avg. trade (win & loss):-15.12
Profit factor:0.79
--- In amibroker@xxxxxxxxxxxxxxx, "nkis22" <nkishor@xxxx> wrote:
> Not to me, not unrealistic, cos most systems lose a
> a lot and so does what u have coded.
>
> For unrelaistic means an outrageously high profit, which is
> typical of forward looking codes.
>
>
> nand
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Stewart <stewart@xxxx> wrote:
> > this doesn't look unrealistic?
> >
> >
> > ----- Original Message -----
> > From: "nkis22" <nkishor@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, April 19, 2003 4:31 PM
> > Subject: [amibroker] Re: Help - Unrealistic Results
> >
> >
> > > 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
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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
> http://docs.yahoo.com/info/terms/
> > >
> > >
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