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Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.02 per share
Annual interest rate:
0.00%
Range:
12/1/2001 00:00:00 - 12/18/2002
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
1
Def. Tick Size
0
Drawdowns based on:
High/Low 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:
2.00
Value:
4.00
Exit at stop?
yes
Exit at stop?
yes
Trailing stop:
disabled
Value:
2.00
Exit at stop?
yes
FormulaBuy = 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);
Overall performance summary
Total net profit:
-8922.02
Total commissions paid:
2894.44
Return on account:
-89.22 %
Open position gain/loss
52.65
Buy&Hold profit:
-4791.28
Bars (avg. days) in test:
264 (381)
Buy&Hold % return:
-47.91%
System to Buy&Hold index:
-86.21%
Annual system % return:
-88.16%
Annual B&H % return:
-46.47%
System drawdown:
-9098.28
B&H drawdown:
-6311.76
Max. system drawdown:
-9235.30
B&H max. drawdown:
-8517.34
Max. system % drawdown:
-91.10%
B&H max. % drawdown:
-69.77%
Max. trade drawdown:
-1724.58
Max. trade % drawdown:
-21.32%
Trade drawdown:
-1644.18
Total number of trades:
262
Percent profitable:
43.5%
Number winning trades:
114
Number losing trades:
148
Profit of winners:
17932.98
Loss of losers:
-26909.27
Total # of bars in winners:
221
Total # of bars in losers:
235
Commissions paid in winners:
1251.56
Commissions paid in losers:
1642.88
Largest winning trade:
709.17
Largest losing trade:
-1656.24
# of bars in largest winner:
2
# bars in largest loser:
2
Commission paid in largest winner:
12.28
Commission paid in largest loser:
16.08
Average winning trade:
157.31
Average losing trade:
-181.82
Avg. # of bars in winners:
1.9
Avg. # bars in losers:
1.6
Avg. commission paid in winner:
10.98
Avg. commission paid in loser:
11.10
Max consec. winners:
6
Max consec. losers:
10
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.6%
Risk adjusted ann. return:
-88.50%
Ratio avg win/avg loss:
0.87
Avg. trade (win & loss):
-34.26
Profit factor:
0.67
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