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After several enjoyable months with Amibroker I have yet to find a system
which reliably produces good winning backtests. Does such a system exist? I know
it's possible to datamine a winning system over a given period, but how about a
'general' winner?
Here's my question: Can anyone reveal a system which is a winner on the
^NDX over the period 1/Jan/1997 to 9/May/2003. All trades (long & short) at
the open with a 1 day delay (open+1), allow 0.5% commission for slippage,
initial equity $10,000 and no position size. All stops disabled.
Here's my best shot, basically a double MA of Chaikin Money Flow. Not a bad
return compared to Buy & Hold, but a drawdown that will make Fred faint and
the buy/sell arrows on the chart seem poorly placed. Surely we can do better
than this?
Any takers?
Steve
<IMG alt="" hspace=0 src="jpg00160.jpg"
align=baseline border=0>
Title: AmiBroker System Test Report
Formula
Le=Optimize("lgth",49,33,65,2);
fst=Optimize("fst",5,5,13,2);
snd=Optimize("snd",6,6,20,2);
Buy=MA(MA(Sum(((( C-L )-( H-C )) / ( H-L ))*V, Le) / Sum(V,Le),fst),snd)>0;
Sell=MA(MA(Sum(((( C-L )-( H-C )) / ( H-L ))*V, Le) / Sum(V,Le),fst),snd)<0;
Short=MA(MA(Sum(((( C-L )-( H-C )) / ( H-L ))*V, Le) / Sum(V,Le),fst),snd)<0;
Cover=MA(MA(Sum(((( C-L )-( H-C )) / ( H-L ))*V, Le) / Sum(V,Le),fst),snd)>0;
Performance for ^NDX
Total net profit:
94601.30
Total commissions paid:
7472.65
Return on account:
946.01 %
Open position gain/loss
8389.64
Buy&Hold profit:
3612.13
Bars (days) in test:
1598 (2319)
Buy&Hold % return:
36.12%
System to Buy&Hold index:
2518.99%
Annual system % return:
44.70%
Annual B&H % return:
4.97%
System drawdown:
-1500.18
B&H drawdown:
-511.09
Max. system drawdown:
-29173.50
B&H max. drawdown:
-48711.83
Max. system % drawdown:
-53.53%
B&H max. % drawdown:
-83.07%
Max. trade drawdown:
-21832.19
Max. trade % drawdown:
-53.53%
Trade drawdown:
-10030.61
Total number of trades:
18
Percent profitable:
61.1%
Number winning trades:
11
Number losing trades:
7
Profit of winners:
100401.13
Loss of losers:
-14665.76
Total # of bars in winners:
1292
Total # of bars in losers:
295
Commissions paid in winners:
4360.72
Commissions paid in losers:
3111.93
Largest winning trade:
28070.22
Largest losing trade:
-6569.65
# of bars in largest winner:
399
# bars in largest loser:
42
Commission paid in largest winner:
307.93
Commission paid in largest loser:
1003.44
Average winning trade:
9127.38
Average losing trade:
-2095.11
Avg. # of bars in winners:
117.5
Avg. # bars in losers:
42.1
Avg. commission paid in winner:
396.43
Avg. commission paid in loser:
444.56
Max consec. winners:
5
Max consec. losers:
2
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
44.73%
Ratio avg win/avg loss:
4.36
Avg. trade (win & loss):
4763.08
Profit factor:
6.85
Attachment:
Description: ""
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