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PureBytes Links
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Check bar-by-bar results for one of the stocks by hand.
--- In amibroker@xxxxxxxxxxxxxxx, Stewart <stewart@xxxx> wrote:
> Same system from 12/01/01 until 12/18/02
>
> and it's not the DOW30...
>
> Overall performance summary
>
> Total net profit: 26744941.70 Total commissions paid: 4022369.00
> Return on account: 16715.59 % Open position gain/loss 0.00
> Buy&Hold profit: 151825.82 Bars (avg. days) in test: 4175 (379)
> Buy&Hold % return: 94.89% System to Buy&Hold index: 17515.54%
>
> Annual system % return: 13815.40% Annual B&H % return: 90.15%
>
> System drawdown: -4865.28 B&H drawdown: -11113.40
> Max. system drawdown: -980377.19 B&H max. drawdown: -41108.56
> Max. system % drawdown: -49.75% B&H max. % drawdown: -111.76%
> Max. trade drawdown: 0.00
> Max. trade % drawdown: 0.00%
> Trade drawdown: -1136542.07
>
> Total number of trades: 2891 Percent profitable: 85.9%
> Number winning trades: 2483 Number losing trades: 408
> Profit of winners: 26966283.09 Loss of losers: -445636.77
> Total # of bars in winners: 2483 Total # of bars in losers: 408
> Commissions paid in winners: 3337699.52 Commissions paid in
losers:
> 684669.49
>
> Largest winning trade: 1601231.93 Largest losing trade:
-51825.19
> # of bars in largest winner: 1 # bars in largest loser: 1
> Commission paid in largest winner: 66718.01 Commission paid in
> largest loser: 51825.19
>
> Average winning trade: 10860.36 Average losing trade: -1092.25
> Avg. # of bars in winners: 1.0 Avg. # bars in losers: 1.0
> Avg. commission paid in winner: 1344.22 Avg. commission paid in
> loser: 1678.11
> Max consec. winners: 57 Max consec. losers: 12
>
> Bars out of the market: 1307 Interest earned: 224295.37
>
> Exposure: 68.7% Risk adjusted ann. return: 19948.67%
> Ratio avg win/avg loss: 9.94 Avg. trade (win & loss): 9173.52
> Profit factor: 60.51
>
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