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Chuck,
just one question: Your Equity is almost doubled in Jan2001.
>From my N100 database I see only 32% of the stocks better than +20%
Long profit[without commissions etc]
O2=ValueWhen(DateNum()==1010201,O);
O1=ValueWhen(DateNum()==1010102,O);
Filter=O2/O1>1.2;
AddColumn(O2,"");
AddColumn(O1,"");
AddColumn(O2/O1,"");
plus 33% losers.
What happened this Jan ?
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 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. The equity curve in the attached .png file
was
> exported from AmiBroker.
>
> 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.
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