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I downloaded HeadsUp and backtested it against entire QP2 stock
database from Jan 1, 2003 to present.
Results (as measured by my own homebrew Portfolio Report):
Date: 06/06/2003 Report on: C:\Test\HeadsUp.csv
LONG TRADES
First Trade Jan 2 2003
Last Trade Jun 5 2003
Days in Test 154
# Trades 15,578
% Profitable 72.43%
Net P/L 4,186,042
Rate of Annual Return 62.43%
Avg Profit / Winner 512
Avg Days Held - Winners 22
Avg Loss / Loser 369
Avg Days Held - Losers 42
Avg PositionSize 5,559
Avg Market Exposure 15,675,008
Max Market Exposure 23,936,722
Initial Equity 500,000
Lowest Account Value 500,000
Maximum Account Value 4,686,042
Ending Account Value 4,686,042
Max DD as a % of Account Value .62%
NOTES:
% Profitable a very respectable 72.43%
# Trades - Excessive
RAR - 62.43% - Not eye-popping
Holding period - I'd want to reduce holding period for losers
Losers were held almost twice as long as winners
Max DD calculated on 'end of trade basis'... not appropriate for this
style of trading.
I'd like to play with Fred's Portfolio Trader AFL to compare results.
HeadsUp shows promise, but I'd want to adapt it to my own trading style.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Rick: sorry.I see you were asking about the Backtest
> Report..unfortunately I did this work a long time ago and did not save
> the report.
>
>
>
> Ken
>
>
>
> -----Original Message-----
> From: Rick Parsons [mailto:RickParsons@x...]
> Sent: Friday, June 06, 2003 10:11 AM
> To: amibroker@xxxx
> Subject: RE: [amibroker] Re: Fasttrack /TradeCode
>
>
>
> Ken,
>
>
>
> Could you post your backtest system report?
>
>
>
> Rick
>
> -----Original Message-----
> From: Ken Close [mailto:closeks@x...]
> Sent: Tuesday, June 03, 2003 5:06 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: Fasttrack /TradeCode
>
> Sam and others: I have uploaded the "Score" portion of the Headsup
> system into the Files area (actually the upload process looks "stuck"
> and may be because of my note about the Files area being full).
>
> For the non-FastTrack users, the headsup code (which is implemented from
> within the Trade program-an array processor used with FastTrack) is a
> comprehensive system that looks at and reports many statistics on funds
> (or stocks) to buy based on Rel Strength and a number of other factors,
> including "Turtle" signals for buying, selling, and holding. Additional
> market statistics are also reported. Many people follow this system and
> do quite well.
>
> The "Score" code which I am attempting to upload is just one part of the
> system and the common usage is to buy stocks or funds when their
> "Score", as reported by this code, is at "6" (1 to 6 scale). I did some
> backtesting using the score as an oscillator and found it produced
> profitable results when buys were issued at low score values and sell
> signals issued at high score values, the opposite way the tool is used
> within the common "Headsup" system.
>
> Not selling this and I doubt almost any of you will look at it, but for
> the few who do, the above is simply some background in order to give you
> some context of where the code came from.
>
> Ken
>
> PS: It looks like the AFL file was indeed uploaded and is listed under
> "Headsup Score".
>
> -----Original Message-----
> From: Sam Levy [mailto:slevy1220@x...]
> Sent: Tuesday, June 03, 2003 7:50 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Fasttrack /TradeCode
>
> I would be very appreciative if you would post your "Headsup" code.
> Many thanks.
>
> Sam Levy
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> > Frank:
> >
> > I have programmed the "Headsup" signal into Amibroker, at least the
> > "Score" portion. If this is what you mean by "FastTrack signals",
> then
> > let me know and I will post it. Otherwise, the phrase "FastTrack
> > Signals" is so broad that you would need to be more specific in
> order to
> > get a meaningful reply.
> >
> > Ken
> >
> >
> > -----Original Message-----
> > From: frankphd_us [mailto:Dr-Frank@x...]
> > Sent: Monday, June 02, 2003 2:17 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Fasttrack /TradeCode
> >
> > I noticed there are quite a couple of fasttrack users on this board.
> > Following CHasRichards and his signals sometime I thought about
> using
> > Fasttrack/Trade myself. Unfortunately I can only utilise ETFs and
> > Rydex/Profunds. This limitation (due to national tax reasons) makes
> > the use of the comlete fasttrack-system and database uneconomical.
> >
> > Therefore I considered emulating the Fasttrack Signals with
> Amibroker
> > or excel. Anybody having done that before?? I only know of a
> > translation to wealthlab-code.
> >
> > Thanx
> >
> > frankphd_us
> >
> >
> >
> >
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