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[amibroker] Re: Fasttrack /TradeCode - HeadsUp



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It was really intended for MF's and a 5 month test on daily data is 
hardly indicative of anything, is it ?

--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> 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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