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I don't
really have an explanation for why it did so well in January 2001, nor do I
really care. The system basically buys what it thinks are the most
oversold stocks each time the market turns up. "Turning up" is
simply defined as the 4-bar EMA of VLIC crosses the 11-bar EMA. It
dumps the whole basket when the market turns down (crosses the other
way). It does hang on to individual stocks after the downtrend cross
as long as they continue to go down.
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One
reason why it may have done so well in January, 2001 is that more stocks than
usual met the oversold criteria when the buy signal was triggered on 27
December, 2000.
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I have
attached a trade listing. Perhaps you can tell me what happened?
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I don't
look at charts or individual stocks. I look at equity curves and
drawdown figures. If they look right, I blindly trade it (every
single trade).
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BTW, I
use a 40% fixed stop in every transaction.
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Friday, June 20, 2003 5:43
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Longterm equity chartChuck,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.Send
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Attachment:
tradelist.xls
Attachment:
Description: "Description: MS-Excel spreadsheet"
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