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Chuck,
Not a problem.
In fact I almost feel like I owe you an apology for publishing my
backtest results since I did it in a 'shoot from the hip' fashion
without really even understanding the 'HeadsUp' methodology, or
tailoring the filtering, delay and entry/exit stradegies.
But it appears that you are still interested enough to continue with
the persuit.
BTW... I have a pre-release version of ABPortReport if you want to
take a look at it. Complete re-design using some of your suggestions.
I have a couple of known windows type execution bugs, but could use
some Alpha testing. Drop me a line if interested.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Phsst...
>
> 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.
>
> 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.
>
> 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.
>
> I will continue to work with it to see if I can use it for funds.
>
> Thanks for getting me started on the project.
>
> Cheers
> -----Original Message-----
> From: Phsst [mailto:phsst@x...]
> Sent: Saturday, June 07, 2003 9:15 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Fasttrack /TradeCode - HeadsUp
>
>
> 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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