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A similar question for the period March11, 2002 till Oct8, 2002
The 88% of the N100 database have had negative profile [severe for
some stocks]
Your Equity seems unchanged.
O1=ValueWhen(DateNum()==1020311,O);
O2=ValueWhen(DateNum()==1021008,O);
Filter=O2/O1<1;
AddColumn(O2,"");
AddColumn(O1,"");
AddColumn(O2/O1,"");
The same for the bearish period March-Sept 2001.
Since you trade only long, it is hard to understand this performance.
Thank you for your probable reply, I have no more questions.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> 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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