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<SPAN
class=702205323-07062003>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: Phsst [mailto:phsst@xxxxxxxxx]
Sent: Saturday, June 07, 2003 3:24 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Fasttrack
/TradeCode - HeadsUpChuck,Not a
problem.In fact I almost feel like I owe you an apology for publishing
mybacktest results since I did it in a 'shoot from the hip'
fashionwithout really even understanding the 'HeadsUp' methodology,
ortailoring the filtering, delay and entry/exit stradegies. But it
appears that you are still interested enough to continue withthe
persuit.BTW... I have a pre-release version of ABPortReport if you want
totake a look at it. Complete re-design using some of your suggestions.I
have a couple of known windows type execution bugs, but could usesome 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 youobtained.> > To be
fair to the creator and users of the HeadsUp approach, Ibelieve that>
they do "jump the gun" and go in prior to the close on the day theyget
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@xxxx]> 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 preliminarybacktest 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 equitycurve 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/sellprice 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@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 appropriatefor
this> > style of trading.>
>> > I'd like to play with Fred's Portfolio
Trader AFL to compareresults.> >>
> 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@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 theHeadsup> > >
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
itproduced> > > 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@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, at> least
the> > > > "Score" portion. If
this is what you mean by "FastTracksignals",>
> > then> > > > let me
know and I will post it. Otherwise, the
phrase"FastTrack> > > > Signals" is
so broad that you would need to be morespecific 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 this>
board.> > > > Following CHasRichards and
his signals sometime I thoughtabout> >
> using> > > > Fasttrack/Trade
myself. Unfortunately I can only utiliseETFs and>
> > > Rydex/Profunds. This limitation (due to national tax
reasons)> makes> > >
> the use of the comlete fasttrack-system and
databaseuneconomical.> > >
>> > > > 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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