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Since I've taken up so much bandwidth talking
about various backtesting that I am doing, I thought that I would show you an
equity curve generated by one of my trading systems.<SPAN
class=735282007-20062003> The equity curve in the attached .png file
was exported from AmiBroker.
<SPAN
class=735282007-20062003>
This particular system trades long only, $50,000
per trade and started in 1985. The last day of trading was two days
ago.
The final profit is $13.3 million, with no
pyramiding of profits. You can't see it here, but the percent
winners was 49.8% and the average profit per trade was $3,000.
A commission/slippage charge of 1% is applied to
the buy and sell transactions.
There is only one set of parameters across all
14,000 stocks (active and extinct) and the system uses a simple EMA crossover of
the VLIC for market timing. Every stock gets looked at every
trading day to see if it satisfies the necessary criteria.
When I create the data (MetaStock format) for the extinct stocks, I pad out the
price information through to the current date in order for AddToComposite to
work properly.
All filtering is based on actual prices and actual
volume on the day. The value in my volume column always contains the
actual (not backadjusted) volume and I store the actual closing price in the
open interest field. I set the open interest column to
zero to tell the system to exit a position one day before an extinct
stock ceases trading.
All trades are executed at the next day's opening
price after a signal is triggered.
I have tried to think of every question one might
ask, but that is probably an impossible task.
<FONT face=Arial
size=2>
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