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Minor details ... 2.5% margin ?!
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> I did not notice that 'HeadsUp' was intended for MF's.
>
> And yes, I can run the backtest for over 10 years if you want.
>
> But the market exposure on the posted HeadsUp backtest is so absurd
> that I don't know what a full 10+ year backtest would tell you.
>
> Phsst
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > 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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