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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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