|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial color=#0000ff
size=2>Phsst...
<FONT face=Arial color=#0000ff
size=2>
When I
said "similar" results, I think that it's fair to say that the percentage
winners should be expected to be near enough to the same.
<FONT face=Arial color=#0000ff
size=2>
I
wasn't doubting your integrity or ability by any means. I was just
disappointed that I couldn't even come close to the results you
obtained.
<FONT face=Arial color=#0000ff
size=2>
To be
fair to the creator and users of the HeadsUp approach, I believe that they do
"jump the gun" and go in prior to the close on the day they get the
signal. That's acceptable with a half-dozen mutual funds. IMO,
however, it isn't feasible with a basket of a hundred or more
stocks.
<FONT face=Arial color=#0000ff
size=2>
I will
continue to work with it to see if I can use it for funds.
<FONT face=Arial color=#0000ff
size=2>
Thanks
for getting me started on the project.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Cheers
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, June 07, 2003 9:15
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Fasttrack /TradeCode - HeadsUpI checked... my buy and
sell delay setting was = 0. When writing myown AFL backtests, I control
the delays myself, so I generally don'tpay too much attention to some of
the parameterized settings.When I ran HeadsUp and saw the enormous
capital requirements I nevereven considered wasting time looking at the
equity curve. My backtestwas a simple 'kick the tires' run to see if the
stradegy was worthy offurther 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 havedifferent databases, but if you would like a copy of
the exact tradesgenerated 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 doesnot mean that
they are out to mislead you... it just means that theymay 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'treproduce them.> > I'm looking forward to
hearing from you as I was already spending my> anticipated
profits.> > Cheers> -----Original
Message-----> From: Phsst
[mailto:phsst@xxxx]> 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 tradingstyle.> >
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 didnot
save> > the report.>
>> >> >>
> Ken> >> >>
>> > -----Original Message----->
> From: Rick Parsons [mailto:RickParsons@xxxx]> >
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@xxxx]> > 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 isimplemented from> > within the Trade
program-an array processor used with FastTrack)is a>
> comprehensive system that looks at and reports many statisticson
funds> > (or stocks) to buy based on Rel Strength and a
number of otherfactors,> > including "Turtle"
signals for buying, selling, and holding. Additional>
> market statistics are also reported. Many people follow
thissystem and> > do quite well.>
>> > The "Score" code which I am attempting to upload
is just onepart 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). Idid
some> > backtesting using the score as an oscillator and
found it produced> > profitable results when buys were
issued at low score values andsell> > signals issued
at high score values, the opposite way the toolis 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 togive you> >
some context of where the code came from.>
>> > Ken> >>
> PS: It looks like the AFL file was indeed uploaded and is
listedunder> > "Headsup Score".>
>> > -----Original Message----->
> From: Sam Levy [mailto:slevy1220@xxxx]> > 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, atleast
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@xxxx]> > > 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
thisboard.> > > 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> >
>> > >> >
>> > >> > > Send BUG
REPORTS to bugs@xxxx> > > Send SUGGESTIONS to
suggest@xxxx> > >
-----------------------------------------> > > Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> > > (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> > -------------------------------------------->
> > Check group FAQ at:> > > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> >> > > Your use of Yahoo! Groups is subject
to> > > <A
href="">http://docs.yahoo.com/info/terms/>
>> >> >>
> Send BUG REPORTS to bugs@xxxx> > Send SUGGESTIONS
to suggest@xxxx> >
-----------------------------------------> > Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> > (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> --------------------------------------------> >
Check group FAQ at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>> > Your use of Yahoo! Groups is subject
to> > <A
href="">http://docs.yahoo.com/info/terms/>
>> >> >>
>> >> > Send BUG REPORTS to
bugs@xxxx> > Send SUGGESTIONS to
suggest@xxxx> >
-----------------------------------------> > Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> > (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> --------------------------------------------> >
Check group FAQ at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>> > Your use of Yahoo! Groups is subject to the
Yahoo!> > <<A
href="">http://docs.yahoo.com/info/terms/>
Terms of Service.> >>
>> >> >>
>> >> > Yahoo! Groups
Sponsor> >> >>
>> >> >>
><<A
href="">http://rd.yahoo.com/M=247865.3355058.4641699.1261774/D=egroupweb/S=1705>
>632198:HM/A=1482387/R=0/SIG=16np42623/*http:/ads.x10.com/?bHlhaG9vaG0xLm>
>Rhd=1054908892%3eM=247865.3355058.4641699.1261774/D=egroupweb/S=17056321>
>98:HM/A=1482387/R=1=1054908892%3eM=247865.3355058.4641699.1261774/D=egro>
> upweb/S=1705632198:HM/A=1482387/R=2>>
>> >> >>
><<A
href="">http://us.adserver.yahoo.com/l?M=247865.3355058.4641699.1261774/D=egrou>
> pmail/S=:HM/A=1482387/rand=140838573>>
>> >> > Send BUG REPORTS to
bugs@xxxx> > Send SUGGESTIONS to
suggest@xxxx> >
-----------------------------------------> > Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> > (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> --------------------------------------------> >
Check group FAQ at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>> > Your use of Yahoo! Groups is subject to the
Yahoo!> > <<A
href="">http://docs.yahoo.com/info/terms/>
Terms of Service.> >
> Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > Send BUG
REPORTS to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
-----------------------------------------> Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group
FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms
of Service.Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|