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I checked... my buy and sell delay setting was = 0. When writing my
own AFL backtests, I control the delays myself, so I generally don't
pay too much attention to some of the parameterized settings.
When I ran HeadsUp and saw the enormous capital requirements I never
even considered wasting time looking at the equity curve. My backtest
was a simple 'kick the tires' run to see if the stradegy was worthy of
further study. The 75% profitable trades figure looked interesting.
Figured I'd wait until I got around to tidying up the filtering,
entry/exit stradegy in an effort to see if it might be a viable 'real'
trading system.
As far as duplicating our results, seems unlikely since we have
different databases, but if you would like a copy of the exact trades
generated on my db then let me know.
Sorry if I led you to believe that my backtest of HeadsUp revealed the
'mother of all stradegies'. I was just sharing preliminary backtest data.
One final thing, always doubt the stats presented by others. That does
not mean that they are out to mislead you... it just means that they
may be looking at something differently than you, or more importantly,
looking FOR something different than you might be looking for.
Regards... Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Phsst.... HELP!
>
> I ran the HeadsUp AFL and ended up with the worst looking equity curve I
> have seen in quite some time.
>
> So, I tried to figure what I may have done differently from you.
>
> Then, just for kicks, I set the buy and sell delay = 0. Ah ha....
> excellent results comparible to yours.
>
> Leaving the question... what settings did you use for buy/sell price and
> delay?
>
> I want to believe the stats you submitted, but I sure can't
reproduce them.
>
> I'm looking forward to hearing from you as I was already spending my
> anticipated profits.
>
> Cheers
> -----Original Message-----
> From: Phsst [mailto:phsst@x...]
> Sent: Friday, June 06, 2003 5:10 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Fasttrack /TradeCode - HeadsUp
>
>
> 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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