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--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 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.
>
> 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.
>
> I have attached a trade listing. Perhaps you can tell me what
happened?
How should I know what happened to your system. I do not even
recognise the term VLIC...
Anyway, thank you for your reply, we could talk better with AFL code.
Have a nice day !!
Dimitris Tsokakis
> 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).
>
> BTW, I use a 40% fixed stop in every transaction.
>
>
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Friday, June 20, 2003 5:43 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Longterm equity chart
>
>
> 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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