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[amibroker] Re: C vs (H+L)/2



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For evaluation purposes I took the basket of my selection of favorite Robeco
funds and evaluated them against the system I currently use.
Backtesting over 1 year. Optimized till I found the best set of parameters.
By lack of another name I named your formula’s platform 1, 2 and 3.
2 and 3 clearly give better results ocmpared to 1 although the difference
between 2 and 3 is not that great.
Generally I found for my basket Y=3 or 2 giving the best result.

To study the outcome I have attached the respective reports.

Willem jan


Message: 14
   Date: Thu, 10 Jul 2003 19:07:30 -0000
   From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
Subject: Re: C vs (H+L)/2 [part two]

Willem,
sorry for the delay, the day was not easy.
We may apply DEMA smoothing many times with two main results : The
amplitude increment and the phase transition to the right.
The cascade phase transition can immitate the impulse of ^NDX changes
to other markets.
Y=5 is fine for the long term NDX study, Y=8 for DAX, Y=10 for FCHI
etc.
For indicator builder or AA window use the example

N="^NDX";
O=Foreign(N,"O");H=Foreign(N,"H");L=Foreign(N,"L");C=Foreign(N,"C");
T1=5;R0=RSIA(C,T1)-RSIA((H+L),T1);

t0=50;R0=DEMA(R0,T0);

// Apply cascade smoothing
R1=DEMA(R0,T0);
R2=DEMA(R1,T0);Plot(R2,"",1,8);
R3=DEMA(R2,T0);
R4=DEMA(R3,T0);Plot(R4,"",4,8);
R5=DEMA(R4,T0);
R6=DEMA(R5,T0);Plot(R6,"",7,8);
R7=DEMA(R6,T0);
R8=DEMA(R7,T0);Plot(R8,"",5,8);
R9=DEMA(R8,T0);
R10=DEMA(R9,T0);Plot(R10,"",2,8);
// Select smoothing level
Y=Optimize("Y",10,0,10,1);
R=IIf(Y==0,R0,
IIf(Y==1,R1,
IIf(Y==2,R2,
IIf(Y==3,R3,
IIf(Y==4,R4,
IIf(Y==5,R5,
IIf(Y==6,R6,
IIf(Y==7,R7,
IIf(Y==8,R8,
IIf(Y==9,R9,R10))))))))));
// Select trading bars
X=Optimize("X",28,5,30,1);
Buy=Cross(0,R);Buy=ExRemSpan(Buy,X);Sell=Ref(Buy,-X);
Plot(R,"",9,8);

to investigate the rhytm of ^NDX affection to other markets.
Dimitris Tsokakis

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Title: AmiBroker System Test Report




  
  
    Settings
  
     
  
    Initial Equity:
    3500
    
    Periodicity/Positions:
    Daily/Long 
  
    Commissions:
    4.00 per trade
    
    Annual interest rate:
    0.00%
  
    Range:
    12/05/2001 00:00:00 - 12/07/2003
    
    Apply to:
    Filter
  
    Include Filter
     
    
    Exclude Filter
     
  
    Market
    -
    
    Market
    -
  
    Group
    -
    
    Group
    -
  
    Sector
    -
    
    Sector
    -
  
    Industry
    -
    
    Industry
    -
  
    Watch list
    Robeco Select
    
    Watch list
    -
  
    Index
    -
    
    Index
    -
  
    Favourite
    -
    
    Favourite
    -
  
    Margin requirement:
    100
    
    Futures mode:
    No
  
    Def. round lot size:
    0
    
    Def. Tick Size
    1
  
    Drawdowns based on:
    High/Low prices
    
     
     
  
    Long trades
  
    Buy price:
    Open
    
    Sell price:
    Open
  
    Buy delay:
    1
    
    Sell delay:
    1
  
    Short trades
  
    Short price:
    Open
    
    Cover price:
    Open
  
    Short delay:
    1
    
    Cover delay:
    1
  
    Stops
  
    Maximum loss:
    disabled
    
    Profit target:
    disabled
  
    Value:
    0.00
    
    Value:
    0.00
  
    Exit at stop?
    no
    
    Exit at stop?
    no
  
     
  
    Trailing stop:
    disabled
    
     
     
  
    Value:
    0.00
    
     
     
  
    Exit at stop?
    no
    
     
     


  
  
    Formula/*Message: 5 
   Date: Mon, 7 Jul 2003 10:45:19 +0300 
   From: "Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx> 
   Subject: C vs (H+L)/2*/ 
 
Vers=1; 
Swtch=2; 
 
t0=27; 
T1=36; 
x=40; 
TBCheck=252; 	//range for optimization; one year is approx. 255 trading days 
LstB=0;              	//number of bars from last bar to start optimization and backtesting 
 
t0=Optimize("t0",t0,25,30,1); 
T1=Optimize("T1",T1,30,45,2); 
R0=RSIa(C,T1)-RSIa((H+L),T1);Plot(R0,"",1,2); 
R0=DEMA(R0,T0); 
R1=DEMA(R0,T0); 
R2=DEMA(R1,T0); 
R3=DEMA(R2,T0); 
R4=DEMA(R3,T0); 
R5=DEMA(R4,T0); 
R=R5; 
Plot(R,"",2,8); 
X=Optimize("X",x,35,45,1); 
Buy=Cross(0,R); 
Buy=ExRemSpan(Buy,X); 
Sell=Ref(Buy,-X); 
Short=Sell; 
Cover=Buy; 
 
Buy = ExRem( Buy, Sell ); Sell = ExRem( Sell, Buy ); Short = ExRem( Short, Cover ); Cover = ExRem( Cover, Short );  
buybars = BarsSince( Buy );sellbars = BarsSince( Sell );coverbars = BarsSince( Cover );shortbars = BarsSince( Short ); 
 
MarginDeposit=3500; 
PositionSize=MarginDeposit; 
Equity(1); 
//e=Equity(0,1,1300)-Equity(0,1,0); 
e=Equity(0,-1,50)-PositionSize; 
e1=Equity(0,-1,25)-PositionSize; 
e2=Equity(0,-1,75)-PositionSize; 
e3=Equity(0,-1,100)-PositionSize; 
et=Equity(1,-1,PositionSize); 
GraphXSpace=5; 
 
TB=LstB+TBCheck;    
CurBar = Cum(1);TotalBars = LastValue( CurBar ); 
inrange = CurBar >= TotalBars -TB AND CurBar <= TotalBars- LstB; 
Buy = Buy AND inrange;Sell = Sell AND inrange;Short = Short AND inrange;Cover = Cover AND inrange; 
Filter=CurBar >= TotalBars -TB AND CurBar <= TotalBars- LstB AND Buy OR Sell; 
 
AlertIf( Short AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 3,2,4 ); 
AlertIf( Buy AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 1,2,4 ); 
AlertIf( Sell AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 2,2,4 ); 
AlertIf( Cover AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 4,2,4 ); 
 
PlotShapes(IIf(Sell==1,shapeDownArrow,shapeNone),colorRed,Layer=0,yposition=0,Offset=5); //Short 
PlotShapes(IIf(Buy==1,shapeUpArrow,shapeNone),colorGreen,Layer=0,yposition=0,Offset=-10); //BUY 
PlotShapes(IIf(Short==1,shapeSmallDownTriangle,shapeNone),colorRed,Layer=0,yposition=0,Offset=5); //Sell 
PlotShapes(IIf(Cover==1,shapeSmallUpTriangle,shapeNone),colorDarkGreen,Layer=0,yposition=0,Offset=-10); // Cover 
 
Plot(3, /* defines the height of the ribbon in percent of pane width */"Ribbon",IIf( buybars<sellbars,colorGreen ,colorBlack),/*choose color */styleOwnScale|styleArea|styleNoLabel, -0.5, 100 ); 
 
Title =Name() + " C vs (H+L)/2; "+"; Version: " +WriteVal(Vers,format=1.0)+"    "+"Bars: "+WriteVal(TBCheck,format=1.0)+EncodeColor(colorBlack)+";\nEquity:"+"\nTotal ("+WriteVal(TBCheck,format=1.0)+" bars): €  "+EncodeColor(colorDarkBlue)+WriteVal(Et,format=1)+EncodeColor(colorBlack)+";\nToday                  €      "+EncodeColor(colorBlue)+WriteVal(e1,format=1.0)+EncodeColor(colorBlack)+";\nLast 2 days         : €     "+EncodeColor(colorBlue)+WriteVal(e,format=1.0)+EncodeColor(colorBlack)+";\nLast 3 days         : €     "+EncodeColor(colorBlue)+WriteVal(e2,format=1.0)+EncodeColor(colorBlack)+";\nLast 4 days         : €     "+EncodeColor(colorBlue)+WriteVal(e3,format=1.0)+";\nAlerts are "+WriteIf(Swtch==1,"ON","OUT");


  
  
    Overall performance summary
  
     
  
    Total net profit:
    2702.50
     
    Total commissions paid:
    32.00
  
    Return on account:
    15.44 % 
     
    Open position gain/loss
    2158.66
  
    Buy&Hold profit:
    -7957.32
     
    Bars (avg. days) in test:
    2755 (789)
  
    Buy&Hold % return:
    -45.47%
     
    System to Buy&Hold index:
    133.96%
  
     
  
    Annual system % return:
    6.87%
     
    Annual B&H % return:
    -24.46%
  
     
  
    System drawdown:
    -645.55
     
    B&H drawdown:
    -2940.84
  
    Max. system drawdown:
    -944.19
     
    B&H max. drawdown:
    -3450.99
  
    Max. system % drawdown:
    -22.05%
     
    B&H max. % drawdown:
    -86.04%
  
    Max. trade drawdown:
    -944.19
     
     
     
  
    Max. trade % drawdown:
    -22.05%
     
     
     
  
    Trade drawdown:
    -645.55
     
     
     
  
     
  
    Total number of trades:
    4
     
    Percent profitable:
    25.0%
  
    Number winning trades:
    1
     
    Number losing trades:
    3
  
    Profit of winners:
    1226.72
     
    Loss of losers:
    -698.88
  
    Total # of bars in winners:
    41
     
    Total # of bars in losers:
    123
  
    Commissions paid in winners:
    8.00
     
    Commissions paid in losers:
    24.00
  
     
  
    Largest winning trade:
    1226.72
     
    Largest losing trade:
    -562.80
  
    # of bars in largest winner:
    41
     
    # bars in largest loser:
    41
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    1226.72
     
    Average losing trade:
    -232.96
  
    Avg. # of bars in winners:
    41.0
     
    Avg. # bars in losers:
    41.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    1
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    2484
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    9.8%
     
    Risk adjusted ann. return:
    69.83%
  
    Ratio avg win/avg loss:
    5.27
     
    Avg. trade (win & loss):
    131.96
  
    Profit factor:
    1.76
     
    
    



  
  
    Performance for RGZSCHI 
  
     
  
    Total net profit:
    94.09
     
    Total commissions paid:
    8.00
  
    Return on account:
    2.69 % 
     
    Open position gain/loss
    218.18
  
    Buy&Hold profit:
    -1233.06
     
    Bars (days) in test:
    550 (789)
  
    Buy&Hold % return:
    -35.23%
     
    System to Buy&Hold index:
    107.63%
  
     
  
    Annual system % return:
    1.23%
     
    Annual B&H % return:
    -18.20%
  
     
  
    System drawdown:
    -272.69
     
    B&H drawdown:
    -1854.34
  
    Max. system drawdown:
    -425.30
     
    B&H max. drawdown:
    -2211.22
  
    Max. system % drawdown:
    -11.64%
     
    B&H max. % drawdown:
    -57.33%
  
    Max. trade drawdown:
    -425.30
     
     
     
  
    Max. trade % drawdown:
    -11.64%
     
     
     
  
    Trade drawdown:
    -272.69
     
     
     
  
     
  
    Total number of trades:
    1
     
    Percent profitable:
    0.0%
  
    Number winning trades:
    0
     
    Number losing trades:
    1
  
    Profit of winners:
    0.00
     
    Loss of losers:
    -128.09
  
    Total # of bars in winners:
    0
     
    Total # of bars in losers:
    41
  
    Commissions paid in winners:
    0.00
     
    Commissions paid in losers:
    8.00
  
     
  
    Largest winning trade:
    0.00
     
    Largest losing trade:
    -128.09
  
    # of bars in largest winner:
    0
     
    # bars in largest loser:
    41
  
    Commission paid in largest winner:
    0.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    N/A
     
    Average losing trade:
    -128.09
  
    Avg. # of bars in winners:
    N/A
     
    Avg. # bars in losers:
    41.0
  
    Avg. commission paid in winner:
    N/A
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    0
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    503
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    8.5%
     
    Risk adjusted ann. return:
    14.45%
  
    Ratio avg win/avg loss:
    N/A
     
    Avg. trade (win & loss):
    -128.09
  
    Profit factor:
    0.00
     
    
    



  
  
    Trade list for RGZSCHI 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    24.0000
    06/01/2003
    13.9900
    0.0000
    3500.0000
  
    Long
    06/01/2003
    13.9900
    03/03/2003
    13.5100
    -128.0857
    3371.9143
  
    Out
    03/03/2003
    13.5100
    04/07/2003
    14.6100
    0.0000
    3371.9143
  
    Open Long
    04/07/2003
    14.6100
    11/07/2003
    15.5900
    222.1792
    3594.0935


  
  
    Performance for RGZSCT 
  
     
  
    Total net profit:
    439.44
     
    Total commissions paid:
    8.00
  
    Return on account:
    12.56 % 
     
    Open position gain/loss
    443.44
  
    Buy&Hold profit:
    -2612.75
     
    Bars (days) in test:
    552 (789)
  
    Buy&Hold % return:
    -74.65%
     
    System to Buy&Hold index:
    116.82%
  
     
  
    Annual system % return:
    5.62%
     
    Annual B&H % return:
    -47.00%
  
     
  
    System drawdown:
    -162.79
     
    B&H drawdown:
    -2940.84
  
    Max. system drawdown:
    -944.19
     
    B&H max. drawdown:
    -3450.99
  
    Max. system % drawdown:
    -22.05%
     
    B&H max. % drawdown:
    -86.04%
  
    Max. trade drawdown:
    -944.19
     
     
     
  
    Max. trade % drawdown:
    -22.05%
     
     
     
  
    Trade drawdown:
    -162.79
     
     
     
  
     
  
    Total number of trades:
    1
     
    Percent profitable:
    0.0%
  
    Number winning trades:
    0
     
    Number losing trades:
    1
  
    Profit of winners:
    0.00
     
    Loss of losers:
    -8.00
  
    Total # of bars in winners:
    0
     
    Total # of bars in losers:
    41
  
    Commissions paid in winners:
    0.00
     
    Commissions paid in losers:
    8.00
  
     
  
    Largest winning trade:
    0.00
     
    Largest losing trade:
    -8.00
  
    # of bars in largest winner:
    0
     
    # bars in largest loser:
    41
  
    Commission paid in largest winner:
    0.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    N/A
     
    Average losing trade:
    -8.00
  
    Avg. # of bars in winners:
    N/A
     
    Avg. # bars in losers:
    41.0
  
    Avg. commission paid in winner:
    N/A
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    0
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    481
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    12.9%
     
    Risk adjusted ann. return:
    43.72%
  
    Ratio avg win/avg loss:
    N/A
     
    Avg. trade (win & loss):
    -8.00
  
    Profit factor:
    0.00
     
    
    



  
  
    Trade list for RGZSCT 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    11.6500
    31/12/2002
    2.1500
    0.0000
    3500.0000
  
    Long
    31/12/2002
    2.1500
    26/02/2003
    2.1500
    -8.0000
    3492.0000
  
    Out
    26/02/2003
    2.1500
    02/06/2003
    2.6300
    0.0000
    3492.0000
  
    Open Long
    02/06/2003
    2.6300
    11/07/2003
    2.9700
    447.4371
    3939.4371


  
  
    Performance for RGZSEB 
  
     
  
    Total net profit:
    2171.32
     
    Total commissions paid:
    8.00
  
    Return on account:
    62.04 % 
     
    Open position gain/loss
    940.60
  
    Buy&Hold profit:
    -1767.17
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -50.49%
     
    System to Buy&Hold index:
    222.87%
  
     
  
    Annual system % return:
    25.02%
     
    Annual B&H % return:
    -27.76%
  
     
  
    System drawdown:
    -291.67
     
    B&H drawdown:
    -2442.41
  
    Max. system drawdown:
    -408.33
     
    B&H max. drawdown:
    -3128.84
  
    Max. system % drawdown:
    -10.08%
     
    B&H max. % drawdown:
    -74.72%
  
    Max. trade drawdown:
    -408.33
     
     
     
  
    Max. trade % drawdown:
    -10.08%
     
     
     
  
    Trade drawdown:
    -291.67
     
     
     
  
     
  
    Total number of trades:
    1
     
    Percent profitable:
    100.0%
  
    Number winning trades:
    1
     
    Number losing trades:
    0
  
    Profit of winners:
    1226.72
     
    Loss of losers:
    0.00
  
    Total # of bars in winners:
    41
     
    Total # of bars in losers:
    0
  
    Commissions paid in winners:
    8.00
     
    Commissions paid in losers:
    0.00
  
     
  
    Largest winning trade:
    1226.72
     
    Largest losing trade:
    0.00
  
    # of bars in largest winner:
    41
     
    # bars in largest loser:
    0
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    0.00
  
     
  
    Average winning trade:
    1226.72
     
    Average losing trade:
    N/A
  
    Avg. # of bars in winners:
    41.0
     
    Avg. # bars in losers:
    N/A
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    N/A
  
    Max consec. winners:
    1
     
    Max consec. losers:
    0
  
     
  
    Bars out of the market:
    472
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    14.3%
     
    Risk adjusted ann. return:
    174.49%
  
    Ratio avg win/avg loss:
    N/A
     
    Avg. trade (win & loss):
    1226.72
  
    Profit factor:
    N/A
     
    
    



  
  
    Trade list for RGZSEB 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    10.9500
    01/10/2002
    3.6000
    0.0000
    3500.0000
  
    Long
    01/10/2002
    3.6000
    26/11/2002
    4.8700
    1226.7222
    4726.7222
  
    Out
    26/11/2002
    4.8700
    21/05/2003
    4.2800
    0.0000
    4726.7222
  
    Open Long
    21/05/2003
    4.2800
    11/07/2003
    5.4400
    944.5980
    5671.3202


  
  
    Performance for RGZSJAP 
  
     
  
    Total net profit:
    0.00
     
    Total commissions paid:
    0.00
  
    Return on account:
    0.00 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -1581.36
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -45.18%
     
    System to Buy&Hold index:
    100.00%
  
     
  
    Annual system % return:
    0.00%
     
    Annual B&H % return:
    -24.28%
  
     
  
    System drawdown:
    0.00
     
    B&H drawdown:
    -1921.36
  
    Max. system drawdown:
    0.00
     
    B&H max. drawdown:
    -2071.96
  
    Max. system % drawdown:
    0.00%
     
    B&H max. % drawdown:
    -56.75%
  
    Max. trade drawdown:
    0.00
     
     
     
  
    Max. trade % drawdown:
    0.00%
     
     
     
  
    Trade drawdown:
    0.00
     
     
     
  
     
  
    Total number of trades:
    0
     
    Percent profitable:
    N/A 
  
    Number winning trades:
    0
     
    Number losing trades:
    0
  
    Profit of winners:
    0.00
     
    Loss of losers:
    0.00
  
    Total # of bars in winners:
    0
     
    Total # of bars in losers:
    0
  
    Commissions paid in winners:
    0.00
     
    Commissions paid in losers:
    0.00
  
     
  
    Largest winning trade:
    0.00
     
    Largest losing trade:
    0.00
  
    # of bars in largest winner:
    0
     
    # bars in largest loser:
    0
  
    Commission paid in largest winner:
    0.00
     
    Commission paid in largest loser:
    0.00
  
     
  
    Average winning trade:
    N/A
     
    Average losing trade:
    N/A
  
    Avg. # of bars in winners:
    N/A
     
    Avg. # bars in losers:
    N/A
  
    Avg. commission paid in winner:
    N/A
     
    Avg. commission paid in loser:
    N/A
  
    Max consec. winners:
    0
     
    Max consec. losers:
    0
  
     
  
    Bars out of the market:
    550
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    0.2%
     
    Risk adjusted ann. return:
    0.00%
  
    Ratio avg win/avg loss:
    N/A
     
    Avg. trade (win & loss):
    N/A
  
    Profit factor:
    N/A
     
    
    



  
  
    Trade list for RGZSJAP 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    54.5500
    11/07/2003
    30.0000
    0.0000
    3500.0000


  
  
    Performance for RGZSPOL 
  
     
  
    Total net profit:
    -2.35
     
    Total commissions paid:
    8.00
  
    Return on account:
    -0.07 % 
     
    Open position gain/loss
    556.44
  
    Buy&Hold profit:
    -762.99
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -21.80%
     
    System to Buy&Hold index:
    99.69%
  
     
  
    Annual system % return:
    -0.03%
     
    Annual B&H % return:
    -10.75%
  
     
  
    System drawdown:
    -645.55
     
    B&H drawdown:
    -1440.80
  
    Max. system drawdown:
    -645.55
     
    B&H max. drawdown:
    -1686.26
  
    Max. system % drawdown:
    -18.44%
     
    B&H max. % drawdown:
    -45.02%
  
    Max. trade drawdown:
    -645.55
     
     
     
  
    Max. trade % drawdown:
    -18.44%
     
     
     
  
    Trade drawdown:
    -645.55
     
     
     
  
     
  
    Total number of trades:
    1
     
    Percent profitable:
    0.0%
  
    Number winning trades:
    0
     
    Number losing trades:
    1
  
    Profit of winners:
    0.00
     
    Loss of losers:
    -562.80
  
    Total # of bars in winners:
    0
     
    Total # of bars in losers:
    41
  
    Commissions paid in winners:
    0.00
     
    Commissions paid in losers:
    8.00
  
     
  
    Largest winning trade:
    0.00
     
    Largest losing trade:
    -562.80
  
    # of bars in largest winner:
    0
     
    # bars in largest loser:
    41
  
    Commission paid in largest winner:
    0.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    N/A
     
    Average losing trade:
    -562.80
  
    Avg. # of bars in winners:
    N/A
     
    Avg. # bars in losers:
    41.0
  
    Avg. commission paid in winner:
    N/A
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    0
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    478
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    13.2%
     
    Risk adjusted ann. return:
    -0.23%
  
    Ratio avg win/avg loss:
    N/A
     
    Avg. trade (win & loss):
    -562.80
  
    Profit factor:
    0.00
     
    
    



  
  
    Trade list for RGZSPOL 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    47.0000
    04/12/2002
    37.4100
    0.0000
    3500.0000
  
    Long
    04/12/2002
    37.4100
    04/02/2003
    31.4800
    -562.7982
    2937.2018
  
    Out
    04/02/2003
    31.4800
    29/05/2003
    30.9100
    0.0000
    2937.2018
  
    Open Long
    29/05/2003
    30.9100
    11/07/2003
    36.8500
    560.4443
    3497.6461

Title: AmiBroker System Test Report




  
  
    Settings
  
     
  
    Initial Equity:
    3500
    
    Periodicity/Positions:
    Daily/Long 
  
    Commissions:
    4.00 per trade
    
    Annual interest rate:
    0.00%
  
    Range:
    12/05/2001 00:00:00 - 12/07/2003
    
    Apply to:
    Filter
  
    Include Filter
     
    
    Exclude Filter
     
  
    Market
    -
    
    Market
    -
  
    Group
    -
    
    Group
    -
  
    Sector
    -
    
    Sector
    -
  
    Industry
    -
    
    Industry
    -
  
    Watch list
    Robeco Select
    
    Watch list
    -
  
    Index
    -
    
    Index
    -
  
    Favourite
    -
    
    Favourite
    -
  
    Margin requirement:
    100
    
    Futures mode:
    No
  
    Def. round lot size:
    0
    
    Def. Tick Size
    1
  
    Drawdowns based on:
    High/Low prices
    
     
     
  
    Long trades
  
    Buy price:
    Open
    
    Sell price:
    Open
  
    Buy delay:
    1
    
    Sell delay:
    1
  
    Short trades
  
    Short price:
    Open
    
    Cover price:
    Open
  
    Short delay:
    1
    
    Cover delay:
    1
  
    Stops
  
    Maximum loss:
    disabled
    
    Profit target:
    disabled
  
    Value:
    0.00
    
    Value:
    0.00
  
    Exit at stop?
    no
    
    Exit at stop?
    no
  
     
  
    Trailing stop:
    disabled
    
     
     
  
    Value:
    0.00
    
     
     
  
    Exit at stop?
    no
    
     
     


  
  
    Formula/*Message: 5 
   Date: Mon, 7 Jul 2003 10:45:19 +0300 
   From: "Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx> 
   Subject: C vs (H+L)/2 II   */ 
 
Vers=1; 
Swtch=2; 
 
t0=16; 
T1=21; 
x=21; 
TBCheck=252; 	//range for optimization; one year is approx. 255 trading days 
LstB=0;              	//number of bars from last bar to start optimization and backtesting 
 
t0=Optimize("t0",t0,10,20,1); 
T1=Optimize("T1",T1,15,25,2); 
 
R0=RSIa(C,T1)-RSIa((H+L),T1);Plot(R0,"",1,1); 
R0=DEMA(R0,T0); 
R1=DEMA(R0,T0); 
R2=DEMA(R1,T0); 
R3=DEMA(R2,T0); 
R4=DEMA(R3,T0); 
R5=DEMA(R4,T0); 
R=R5;Plot(R,"",2,8); 
X=Optimize("X",x,10,35,1); 
Buy=Cross(0,R) OR Ref(R,-1)==HHV(R,3); 
Buy=ExRemSpan(Buy,X); 
Sell=Ref(Buy,-X); 
Short=Sell;Cover=Buy; 
 
 
Buy = ExRem( Buy, Sell ); Sell = ExRem( Sell, Buy ); Short = ExRem( Short, Cover ); Cover = ExRem( Cover, Short );  
buybars = BarsSince( Buy );sellbars = BarsSince( Sell );coverbars = BarsSince( Cover );shortbars = BarsSince( Short ); 
 
MarginDeposit=3500; 
PositionSize=MarginDeposit; 
Equity(1); 
//e=Equity(0,1,1300)-Equity(0,1,0); 
e=Equity(0,-1,50)-PositionSize; 
e1=Equity(0,-1,25)-PositionSize; 
e2=Equity(0,-1,75)-PositionSize; 
e3=Equity(0,-1,100)-PositionSize; 
et=Equity(1,-1,PositionSize); 
GraphXSpace=5; 
 
TB=LstB+TBCheck;    
CurBar = Cum(1);TotalBars = LastValue( CurBar ); 
inrange = CurBar >= TotalBars -TB AND CurBar <= TotalBars- LstB; 
Buy = Buy AND inrange;Sell = Sell AND inrange;Short = Short AND inrange;Cover = Cover AND inrange; 
Filter=CurBar >= TotalBars -TB AND CurBar <= TotalBars- LstB AND Buy OR Sell; 
 
AlertIf( Short AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 3,2,4 ); 
AlertIf( Buy AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 1,2,4 ); 
AlertIf( Sell AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 2,2,4 ); 
AlertIf( Cover AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 4,2,4 ); 
 
PlotShapes(IIf(Sell==1,shapeDownArrow,shapeNone),colorRed,Layer=0,yposition=0,Offset=5); //Short 
PlotShapes(IIf(Buy==1,shapeUpArrow,shapeNone),colorGreen,Layer=0,yposition=0,Offset=-10); //BUY 
PlotShapes(IIf(Short==1,shapeSmallDownTriangle,shapeNone),colorRed,Layer=0,yposition=0,Offset=5); //Sell 
PlotShapes(IIf(Cover==1,shapeSmallUpTriangle,shapeNone),colorDarkGreen,Layer=0,yposition=0,Offset=-10); // Cover 
 
Plot(3, /* defines the height of the ribbon in percent of pane width */"Ribbon",IIf( buybars<sellbars,colorGreen ,colorBlack),/*choose color */styleOwnScale|styleArea|styleNoLabel, -0.5, 100 ); 
 
Title =Name() + " C vs (H+L)/2 II"+"; Version: " +WriteVal(Vers,format=1.0)+"    "+"Bars: "+WriteVal(TBCheck,format=1.0)+EncodeColor(colorBlack)+";\nEquity:"+"\nTotal ("+WriteVal(TBCheck,format=1.0)+" bars): €  "+EncodeColor(colorDarkBlue)+WriteVal(Et,format=1)+EncodeColor(colorBlack)+";\nToday                  €      "+EncodeColor(colorBlue)+WriteVal(e1,format=1.0)+EncodeColor(colorBlack)+";\nLast 2 days         : €     "+EncodeColor(colorBlue)+WriteVal(e,format=1.0)+EncodeColor(colorBlack)+";\nLast 3 days         : €     "+EncodeColor(colorBlue)+WriteVal(e2,format=1.0)+EncodeColor(colorBlack)+";\nLast 4 days         : €     "+EncodeColor(colorBlue)+WriteVal(e3,format=1.0)+";\nAlerts are "+WriteIf(Swtch==1,"ON","OUT");


  
  
    Overall performance summary
  
     
  
    Total net profit:
    4473.50
     
    Total commissions paid:
    200.00
  
    Return on account:
    25.56 % 
     
    Open position gain/loss
    1202.36
  
    Buy&Hold profit:
    -7957.32
     
    Bars (avg. days) in test:
    2755 (789)
  
    Buy&Hold % return:
    -45.47%
     
    System to Buy&Hold index:
    156.22%
  
     
  
    Annual system % return:
    11.11%
     
    Annual B&H % return:
    -24.46%
  
     
  
    System drawdown:
    -556.94
     
    B&H drawdown:
    -2940.84
  
    Max. system drawdown:
    -1140.27
     
    B&H max. drawdown:
    -3450.99
  
    Max. system % drawdown:
    -27.92%
     
    B&H max. % drawdown:
    -86.04%
  
    Max. trade drawdown:
    -1019.68
     
     
     
  
    Max. trade % drawdown:
    -25.68%
     
     
     
  
    Trade drawdown:
    -950.79
     
     
     
  
     
  
    Total number of trades:
    25
     
    Percent profitable:
    60.0%
  
    Number winning trades:
    15
     
    Number losing trades:
    10
  
    Profit of winners:
    4771.68
     
    Loss of losers:
    -1512.54
  
    Total # of bars in winners:
    330
     
    Total # of bars in losers:
    220
  
    Commissions paid in winners:
    120.00
     
    Commissions paid in losers:
    80.00
  
     
  
    Largest winning trade:
    882.35
     
    Largest losing trade:
    -283.59
  
    # of bars in largest winner:
    22
     
    # bars in largest loser:
    22
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    318.11
     
    Average losing trade:
    -151.25
  
    Avg. # of bars in winners:
    22.0
     
    Avg. # bars in losers:
    22.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    3
     
    Max consec. losers:
    3
  
     
  
    Bars out of the market:
    2163
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    21.5%
     
    Risk adjusted ann. return:
    51.68%
  
    Ratio avg win/avg loss:
    2.10
     
    Avg. trade (win & loss):
    130.37
  
    Profit factor:
    3.15
     
    
    



  
  
    Performance for RGZSCHI 
  
     
  
    Total net profit:
    -84.51
     
    Total commissions paid:
    40.00
  
    Return on account:
    -2.41 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -1233.06
     
    Bars (days) in test:
    550 (789)
  
    Buy&Hold % return:
    -35.23%
     
    System to Buy&Hold index:
    93.15%
  
     
  
    Annual system % return:
    -1.12%
     
    Annual B&H % return:
    -18.20%
  
     
  
    System drawdown:
    -514.91
     
    B&H drawdown:
    -1854.34
  
    Max. system drawdown:
    -815.05
     
    B&H max. drawdown:
    -2211.22
  
    Max. system % drawdown:
    -21.45%
     
    B&H max. % drawdown:
    -57.33%
  
    Max. trade drawdown:
    -516.50
     
     
     
  
    Max. trade % drawdown:
    -14.75%
     
     
     
  
    Trade drawdown:
    -418.50
     
     
     
  
     
  
    Total number of trades:
    5
     
    Percent profitable:
    40.0%
  
    Number winning trades:
    2
     
    Number losing trades:
    3
  
    Profit of winners:
    453.52
     
    Loss of losers:
    -538.03
  
    Total # of bars in winners:
    44
     
    Total # of bars in losers:
    66
  
    Commissions paid in winners:
    16.00
     
    Commissions paid in losers:
    24.00
  
     
  
    Largest winning trade:
    274.70
     
    Largest losing trade:
    -213.43
  
    # of bars in largest winner:
    22
     
    # bars in largest loser:
    22
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    226.76
     
    Average losing trade:
    -179.34
  
    Avg. # of bars in winners:
    22.0
     
    Avg. # bars in losers:
    22.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    1
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    440
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    20.0%
     
    Risk adjusted ann. return:
    -5.62%
  
    Ratio avg win/avg loss:
    1.26
     
    Avg. trade (win & loss):
    -16.90
  
    Profit factor:
    0.84
     
    
    



  
  
    Trade list for RGZSCHI 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    24.0000
    16/09/2002
    14.0300
    0.0000
    3500.0000
  
    Long
    16/09/2002
    14.0300
    15/10/2002
    13.4300
    -157.6791
    3342.3209
  
    Out
    15/10/2002
    13.4300
    31/10/2002
    13.3600
    0.0000
    3342.3209
  
    Long
    31/10/2002
    13.3600
    29/11/2002
    14.4900
    274.6963
    3617.0172
  
    Out
    29/11/2002
    14.4900
    04/02/2003
    13.6300
    0.0000
    3617.0172
  
    Long
    04/02/2003
    13.6300
    05/03/2003
    12.8300
    -213.4292
    3403.5880
  
    Out
    05/03/2003
    12.8300
    02/04/2003
    12.8500
    0.0000
    3403.5880
  
    Long
    02/04/2003
    12.8500
    07/05/2003
    12.2500
    -166.9225
    3236.6655
  
    Out
    07/05/2003
    12.2500
    26/05/2003
    13.3400
    0.0000
    3236.6655
  
    Long
    26/05/2003
    13.3400
    24/06/2003
    14.1100
    178.8239
    3415.4894
  
    Out
    24/06/2003
    14.1100
    11/07/2003
    15.5900
    0.0000
    3415.4894


  
  
    Performance for RGZSCT 
  
     
  
    Total net profit:
    1892.28
     
    Total commissions paid:
    40.00
  
    Return on account:
    54.07 % 
     
    Open position gain/loss
    414.64
  
    Buy&Hold profit:
    -2612.75
     
    Bars (days) in test:
    552 (789)
  
    Buy&Hold % return:
    -74.65%
     
    System to Buy&Hold index:
    172.42%
  
     
  
    Annual system % return:
    22.13%
     
    Annual B&H % return:
    -47.00%
  
     
  
    System drawdown:
    -556.94
     
    B&H drawdown:
    -2940.84
  
    Max. system drawdown:
    -1140.27
     
    B&H max. drawdown:
    -3450.99
  
    Max. system % drawdown:
    -27.92%
     
    B&H max. % drawdown:
    -86.04%
  
    Max. trade drawdown:
    -1019.68
     
     
     
  
    Max. trade % drawdown:
    -25.68%
     
     
     
  
    Trade drawdown:
    -950.79
     
     
     
  
     
  
    Total number of trades:
    5
     
    Percent profitable:
    80.0%
  
    Number winning trades:
    4
     
    Number losing trades:
    1
  
    Profit of winners:
    1757.23
     
    Loss of losers:
    -283.59
  
    Total # of bars in winners:
    88
     
    Total # of bars in losers:
    22
  
    Commissions paid in winners:
    32.00
     
    Commissions paid in losers:
    8.00
  
     
  
    Largest winning trade:
    882.35
     
    Largest losing trade:
    -283.59
  
    # of bars in largest winner:
    22
     
    # bars in largest loser:
    22
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    439.31
     
    Average losing trade:
    -283.59
  
    Avg. # of bars in winners:
    22.0
     
    Avg. # bars in losers:
    22.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    3
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    433
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    21.6%
     
    Risk adjusted ann. return:
    102.67%
  
    Ratio avg win/avg loss:
    1.55
     
    Avg. trade (win & loss):
    294.73
  
    Profit factor:
    6.20
     
    
    



  
  
    Trade list for RGZSCT 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    11.6500
    26/07/2002
    2.7000
    0.0000
    3500.0000
  
    Long
    26/07/2002
    2.7000
    26/08/2002
    3.0100
    393.8518
    3893.8518
  
    Out
    26/08/2002
    3.0100
    17/09/2002
    2.5400
    0.0000
    3893.8518
  
    Long
    17/09/2002
    2.5400
    16/10/2002
    2.3400
    -283.5906
    3610.2611
  
    Out
    16/10/2002
    2.3400
    30/10/2002
    2.2800
    0.0000
    3610.2611
  
    Long
    30/10/2002
    2.2800
    28/11/2002
    2.8600
    882.3508
    4492.6119
  
    Out
    28/11/2002
    2.8600
    31/01/2003
    2.1900
    0.0000
    4492.6119
  
    Long
    31/01/2003
    2.1900
    03/03/2003
    2.2000
    7.9817
    4500.5936
  
    Out
    03/03/2003
    2.2000
    01/04/2003
    2.1100
    0.0000
    4500.5936
  
    Long
    01/04/2003
    2.1100
    05/05/2003
    2.4000
    473.0430
    4973.6367
  
    Out
    05/05/2003
    2.4000
    01/07/2003
    2.6500
    0.0000
    4973.6367
  
    Open Long
    01/07/2003
    2.6500
    11/07/2003
    2.9700
    418.6414
    5392.2781


  
  
    Performance for RGZSEB 
  
     
  
    Total net profit:
    1762.91
     
    Total commissions paid:
    32.00
  
    Return on account:
    50.37 % 
     
    Open position gain/loss
    466.95
  
    Buy&Hold profit:
    -1767.17
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -50.49%
     
    System to Buy&Hold index:
    199.76%
  
     
  
    Annual system % return:
    20.77%
     
    Annual B&H % return:
    -27.76%
  
     
  
    System drawdown:
    -395.89
     
    B&H drawdown:
    -2442.41
  
    Max. system drawdown:
    -462.74
     
    B&H max. drawdown:
    -3128.84
  
    Max. system % drawdown:
    -12.27%
     
    B&H max. % drawdown:
    -74.72%
  
    Max. trade drawdown:
    -422.88
     
     
     
  
    Max. trade % drawdown:
    -11.99%
     
     
     
  
    Trade drawdown:
    -395.89
     
     
     
  
     
  
    Total number of trades:
    4
     
    Percent profitable:
    75.0%
  
    Number winning trades:
    3
     
    Number losing trades:
    1
  
    Profit of winners:
    1335.95
     
    Loss of losers:
    -43.99
  
    Total # of bars in winners:
    66
     
    Total # of bars in losers:
    22
  
    Commissions paid in winners:
    24.00
     
    Commissions paid in losers:
    8.00
  
     
  
    Largest winning trade:
    529.42
     
    Largest losing trade:
    -43.99
  
    # of bars in largest winner:
    22
     
    # bars in largest loser:
    22
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    445.32
     
    Average losing trade:
    -43.99
  
    Avg. # of bars in winners:
    22.0
     
    Avg. # bars in losers:
    22.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    3
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    443
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    19.6%
     
    Risk adjusted ann. return:
    105.96%
  
    Ratio avg win/avg loss:
    10.12
     
    Avg. trade (win & loss):
    322.99
  
    Profit factor:
    30.37
     
    
    



  
  
    Trade list for RGZSEB 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    10.9500
    30/07/2002
    3.8900
    0.0000
    3500.0000
  
    Long
    30/07/2002
    3.8900
    28/08/2002
    3.8500
    -43.9899
    3456.0101
  
    Out
    28/08/2002
    3.8500
    01/11/2002
    4.1800
    0.0000
    3456.0101
  
    Long
    01/11/2002
    4.1800
    02/12/2002
    4.8300
    529.4179
    3985.4280
  
    Out
    02/12/2002
    4.8300
    11/03/2003
    3.6300
    0.0000
    3985.4280
  
    Long
    11/03/2003
    3.6300
    09/04/2003
    4.0100
    358.3913
    4343.8193
  
    Out
    09/04/2003
    4.0100
    11/04/2003
    3.9900
    0.0000
    4343.8193
  
    Long
    11/04/2003
    3.9900
    15/05/2003
    4.5100
    448.1405
    4791.9599
  
    Out
    15/05/2003
    4.5100
    16/06/2003
    4.7900
    0.0000
    4791.9599
  
    Open Long
    16/06/2003
    4.7900
    11/07/2003
    5.4400
    470.9479
    5262.9078


  
  
    Performance for RGZSJAP 
  
     
  
    Total net profit:
    232.00
     
    Total commissions paid:
    48.00
  
    Return on account:
    6.63 % 
     
    Open position gain/loss
    320.77
  
    Buy&Hold profit:
    -1581.36
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -45.18%
     
    System to Buy&Hold index:
    114.67%
  
     
  
    Annual system % return:
    3.01%
     
    Annual B&H % return:
    -24.28%
  
     
  
    System drawdown:
    -482.16
     
    B&H drawdown:
    -1921.36
  
    Max. system drawdown:
    -482.16
     
    B&H max. drawdown:
    -2071.96
  
    Max. system % drawdown:
    -13.78%
     
    B&H max. % drawdown:
    -56.75%
  
    Max. trade drawdown:
    -268.15
     
     
     
  
    Max. trade % drawdown:
    -7.66%
     
     
     
  
    Trade drawdown:
    -268.15
     
     
     
  
     
  
    Total number of trades:
    6
     
    Percent profitable:
    33.3%
  
    Number winning trades:
    2
     
    Number losing trades:
    4
  
    Profit of winners:
    288.55
     
    Loss of losers:
    -381.32
  
    Total # of bars in winners:
    44
     
    Total # of bars in losers:
    88
  
    Commissions paid in winners:
    16.00
     
    Commissions paid in losers:
    32.00
  
     
  
    Largest winning trade:
    269.93
     
    Largest losing trade:
    -130.98
  
    # of bars in largest winner:
    22
     
    # bars in largest loser:
    22
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    144.27
     
    Average losing trade:
    -95.33
  
    Avg. # of bars in winners:
    22.0
     
    Avg. # bars in losers:
    22.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    1
     
    Max consec. losers:
    3
  
     
  
    Bars out of the market:
    406
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    26.3%
     
    Risk adjusted ann. return:
    11.45%
  
    Ratio avg win/avg loss:
    1.51
     
    Avg. trade (win & loss):
    -15.46
  
    Profit factor:
    0.76
     
    
    



  
  
    Trade list for RGZSJAP 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    54.5500
    30/08/2002
    34.7200
    0.0000
    3500.0000
  
    Long
    30/08/2002
    34.7200
    30/09/2002
    33.5000
    -130.9840
    3369.0160
  
    Out
    30/09/2002
    33.5000
    04/10/2002
    31.7500
    0.0000
    3369.0160
  
    Long
    04/10/2002
    31.7500
    04/11/2002
    30.7600
    -113.0496
    3255.9664
  
    Out
    04/11/2002
    30.7600
    08/11/2002
    30.6100
    0.0000
    3255.9664
  
    Long
    08/11/2002
    30.6100
    09/12/2002
    30.0800
    -64.3758
    3191.5906
  
    Out
    09/12/2002
    30.0800
    20/12/2002
    28.7700
    0.0000
    3191.5906
  
    Long
    20/12/2002
    28.7700
    24/01/2003
    29.0100
    18.6243
    3210.2149
  
    Out
    24/01/2003
    29.0100
    05/03/2003
    27.2000
    0.0000
    3210.2149
  
    Long
    05/03/2003
    27.2000
    03/04/2003
    26.6500
    -72.9126
    3137.3023
  
    Out
    03/04/2003
    26.6500
    26/05/2003
    25.0600
    0.0000
    3137.3023
  
    Long
    26/05/2003
    25.0600
    24/06/2003
    27.2800
    269.9256
    3407.2279
  
    Out
    24/06/2003
    27.2800
    25/06/2003
    27.3600
    0.0000
    3407.2279
  
    Open Long
    25/06/2003
    27.3600
    11/07/2003
    30.0000
    324.7675
    3731.9954


  
  
    Performance for RGZSPOL 
  
     
  
    Total net profit:
    670.83
     
    Total commissions paid:
    40.00
  
    Return on account:
    19.17 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -762.99
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -21.80%
     
    System to Buy&Hold index:
    187.92%
  
     
  
    Annual system % return:
    8.45%
     
    Annual B&H % return:
    -10.75%
  
     
  
    System drawdown:
    -100.44
     
    B&H drawdown:
    -1440.80
  
    Max. system drawdown:
    -474.98
     
    B&H max. drawdown:
    -1686.26
  
    Max. system % drawdown:
    -12.24%
     
    B&H max. % drawdown:
    -45.02%
  
    Max. trade drawdown:
    -413.57
     
     
     
  
    Max. trade % drawdown:
    -10.85%
     
     
     
  
    Trade drawdown:
    -305.69
     
     
     
  
     
  
    Total number of trades:
    5
     
    Percent profitable:
    80.0%
  
    Number winning trades:
    4
     
    Number losing trades:
    1
  
    Profit of winners:
    936.43
     
    Loss of losers:
    -265.61
  
    Total # of bars in winners:
    88
     
    Total # of bars in losers:
    22
  
    Commissions paid in winners:
    32.00
     
    Commissions paid in losers:
    8.00
  
     
  
    Largest winning trade:
    395.77
     
    Largest losing trade:
    -265.61
  
    # of bars in largest winner:
    22
     
    # bars in largest loser:
    22
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    234.11
     
    Average losing trade:
    -265.61
  
    Avg. # of bars in winners:
    22.0
     
    Avg. # bars in losers:
    22.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    2
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    441
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    20.0%
     
    Risk adjusted ann. return:
    42.33%
  
    Ratio avg win/avg loss:
    0.88
     
    Avg. trade (win & loss):
    134.17
  
    Profit factor:
    3.53
     
    
    



  
  
    Trade list for RGZSPOL 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    47.0000
    06/09/2002
    29.6200
    0.0000
    3500.0000
  
    Long
    06/09/2002
    29.6200
    07/10/2002
    29.9500
    30.9939
    3530.9939
  
    Out
    07/10/2002
    29.9500
    01/11/2002
    34.7200
    0.0000
    3530.9939
  
    Long
    01/11/2002
    34.7200
    02/12/2002
    36.6000
    181.5158
    3712.5098
  
    Out
    02/12/2002
    36.6000
    05/02/2003
    30.5700
    0.0000
    3712.5098
  
    Long
    05/02/2003
    30.5700
    06/03/2003
    28.3200
    -265.6055
    3446.9043
  
    Out
    06/03/2003
    28.3200
    02/04/2003
    27.8300
    0.0000
    3446.9043
  
    Long
    02/04/2003
    27.8300
    06/05/2003
    31.0900
    395.7696
    3842.6739
  
    Out
    06/05/2003
    31.0900
    05/06/2003
    31.3400
    0.0000
    3842.6739
  
    Long
    05/06/2003
    31.3400
    04/07/2003
    34.3500
    328.1517
    4170.8256
  
    Out
    04/07/2003
    34.3500
    11/07/2003
    36.8500
    0.0000
    4170.8256

Title: AmiBroker System Test Report




  
  
    Settings
  
     
  
    Initial Equity:
    3500
    
    Periodicity/Positions:
    Daily/Long 
  
    Commissions:
    4.00 per trade
    
    Annual interest rate:
    0.00%
  
    Range:
    12/05/2001 00:00:00 - 12/07/2003
    
    Apply to:
    Filter
  
    Include Filter
     
    
    Exclude Filter
     
  
    Market
    -
    
    Market
    -
  
    Group
    -
    
    Group
    -
  
    Sector
    -
    
    Sector
    -
  
    Industry
    -
    
    Industry
    -
  
    Watch list
    Robeco Select
    
    Watch list
    -
  
    Index
    -
    
    Index
    -
  
    Favourite
    -
    
    Favourite
    -
  
    Margin requirement:
    100
    
    Futures mode:
    No
  
    Def. round lot size:
    0
    
    Def. Tick Size
    1
  
    Drawdowns based on:
    High/Low prices
    
     
     
  
    Long trades
  
    Buy price:
    Open
    
    Sell price:
    Open
  
    Buy delay:
    1
    
    Sell delay:
    1
  
    Short trades
  
    Short price:
    Open
    
    Cover price:
    Open
  
    Short delay:
    1
    
    Cover delay:
    1
  
    Stops
  
    Maximum loss:
    disabled
    
    Profit target:
    disabled
  
    Value:
    0.00
    
    Value:
    0.00
  
    Exit at stop?
    no
    
    Exit at stop?
    no
  
     
  
    Trailing stop:
    disabled
    
     
     
  
    Value:
    0.00
    
     
     
  
    Exit at stop?
    no
    
     
     


  
  
    Formula/*Message: 5 
   Date: Mon, 7 Jul 2003 10:45:19 +0300 
   From: "Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx> 
   Subject: C vs (H+L)/2  III  */ 
 
Vers=1; 
Swtch=2; 
 
Y=3; 
 
t0=21; 
T1=10; 
x=16; 
 
TBCheck=772; 	//range for optimization; one year is approx. 255 trading days 
LstB=0;              	//number of bars from last bar to start optimization and backtesting 
 
t0=Optimize("t0",t0,10,25,1); 
T1=Optimize("T1",T1,10,25,2); 
 
R0=RSIa(C,T1)-RSIa((H+L),T1); 
R0=DEMA(R0,T0); 
 
// Apply cascade smoothing 
R1=DEMA(R0,T0); 
R2=DEMA(R1,T0);Plot(R2,"",1,8); 
R3=DEMA(R2,T0); 
R4=DEMA(R3,T0);Plot(R4,"",4,8); 
R5=DEMA(R4,T0); 
R6=DEMA(R5,T0);Plot(R6,"",7,8); 
R7=DEMA(R6,T0); 
R8=DEMA(R7,T0);Plot(R8,"",5,8); 
R9=DEMA(R8,T0); 
R10=DEMA(R9,T0);Plot(R10,"",2,8); 
// Select smoothing level 
Y=Optimize("Y",y,0,3,1); 
R=IIf(Y==0,R0, 
IIf(Y==1,R1, 
IIf(Y==2,R2, 
IIf(Y==3,R3, 
IIf(Y==4,R4, 
IIf(Y==5,R5, 
IIf(Y==6,R6, 
IIf(Y==7,R7, 
IIf(Y==8,R8, 
IIf(Y==9,R9,R10)))))))))); 
// Select trading bars  
 
X=Optimize("X",X,10,30,2); 
Buy=Cross(0,R); 
Buy=ExRemSpan(Buy,X); 
Sell=Ref(Buy,-X); 
Short=Sell;Cover=Buy; 
Plot(R,"",9,8); 
 
 
 
Buy = ExRem( Buy, Sell ); Sell = ExRem( Sell, Buy ); Short = ExRem( Short, Cover ); Cover = ExRem( Cover, Short );  
buybars = BarsSince( Buy );sellbars = BarsSince( Sell );coverbars = BarsSince( Cover );shortbars = BarsSince( Short ); 
 
MarginDeposit=3500; 
PositionSize=MarginDeposit; 
Equity(1); 
//e=Equity(0,1,1300)-Equity(0,1,0); 
e=Equity(0,-1,50)-PositionSize; 
e1=Equity(0,-1,25)-PositionSize; 
e2=Equity(0,-1,75)-PositionSize; 
e3=Equity(0,-1,100)-PositionSize; 
et=Equity(1,-1,PositionSize); 
GraphXSpace=5; 
 
TB=LstB+TBCheck;    
CurBar = Cum(1);TotalBars = LastValue( CurBar ); 
inrange = CurBar >= TotalBars -TB AND CurBar <= TotalBars- LstB; 
Buy = Buy AND inrange;Sell = Sell AND inrange;Short = Short AND inrange;Cover = Cover AND inrange; 
Filter=CurBar >= TotalBars -TB AND CurBar <= TotalBars- LstB AND Buy OR Sell; 
 
AlertIf( Short AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 3,2,4 ); 
AlertIf( Buy AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 1,2,4 ); 
AlertIf( Sell AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 2,2,4 ); 
AlertIf( Cover AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 4,2,4 ); 
 
PlotShapes(IIf(Sell==1,shapeDownArrow,shapeNone),colorRed,Layer=0,yposition=0,Offset=5); //Short 
PlotShapes(IIf(Buy==1,shapeUpArrow,shapeNone),colorGreen,Layer=0,yposition=0,Offset=-10); //BUY 
PlotShapes(IIf(Short==1,shapeSmallDownTriangle,shapeNone),colorRed,Layer=0,yposition=0,Offset=5); //Sell 
PlotShapes(IIf(Cover==1,shapeSmallUpTriangle,shapeNone),colorDarkGreen,Layer=0,yposition=0,Offset=-10); // Cover 
 
Plot(3, /* defines the height of the ribbon in percent of pane width */"Ribbon",IIf( buybars<sellbars,colorGreen ,colorBlack),/*choose color */styleOwnScale|styleArea|styleNoLabel, -0.5, 100 ); 
 
Title =Name() + " C vs (H+L)/2 III"+"; Version: " +WriteVal(Vers,format=1.0)+"    "+"Bars: "+WriteVal(TBCheck,format=1.0)+EncodeColor(colorBlack)+";\nEquity:"+"\nTotal ("+WriteVal(TBCheck,format=1.0)+" bars): €  "+EncodeColor(colorDarkBlue)+WriteVal(Et,format=1)+EncodeColor(colorBlack)+";\nToday                  €      "+EncodeColor(colorBlue)+WriteVal(e1,format=1.0)+EncodeColor(colorBlack)+";\nLast 2 days         : €     "+EncodeColor(colorBlue)+WriteVal(e,format=1.0)+EncodeColor(colorBlack)+";\nLast 3 days         : €     "+EncodeColor(colorBlue)+WriteVal(e2,format=1.0)+EncodeColor(colorBlack)+";\nLast 4 days         : €     "+EncodeColor(colorBlue)+WriteVal(e3,format=1.0)+";\nAlerts are "+WriteIf(Swtch==1,"ON","OUT"); 
 
 
/*Close is NOT always in the middle of H, L distance. Some periods C is >(H+L)/2 AND some other C is < (H+L)/2. 
The difference 
 R0=RSIa(C,T1)-RSIa((H+L),T1);Plot(R0,"",1,1); 
for a fast period T1=5 is a measure of this property. 
The line is too noisy AND needs cascade smoothing [without significant delays] to reveal 
the interesting Signal. DEMA is the proper smoothing function, since it reduces the delay. 
A five-step smoothing would be like this 
R1=DEMA(R0,T0); 
R2=DEMA(R1,T0); 
R3=DEMA(R2,T0); 
R4=DEMA(R3,T0); 
R5=DEMA(R4,T0); 
for a period T0 around 50, the noise is totally removed AND the resulting curve is quite  
expressive. It crosses zero AND becomes negative during the important uptrends AND it 
is positive during bearish intervals. 
Buy=Cross(0,R); 
is a simplified Buy condition. 
Significant uptrends usually last more than 20 bars. After the first Peak AND the first 
retracement, the market gives some more potential, visualised from double peaks,  
divergences etc. These observations advise to avoid long positions for more than 40 bars 
[the bears will NOT disguise their feelings for long...] 
X=Optimize("X",28,20,40,1);Buy=ExRemSpan(Buy,X);Sell=Ref(Buy,-X); 
expresses the requirement to Sell 20 to 40 bars later. 
The extended smoothing can express the influence of a leader market, like ^NDX, to  
dependent markets like ^N225 OR ^GDAXI. 
^N225 is one of the most difficult markets, directionality is very poor AND many trading systems 
fail. 
Let us use ^NDX data, follow the above description AND apply it to ^N225. 
The project sounds a bit absurd but it is NOT.*/


  
  
    Overall performance summary
  
     
  
    Total net profit:
    5064.37
     
    Total commissions paid:
    216.00
  
    Return on account:
    28.94 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -7957.32
     
    Bars (avg. days) in test:
    2755 (789)
  
    Buy&Hold % return:
    -45.47%
     
    System to Buy&Hold index:
    163.64%
  
     
  
    Annual system % return:
    12.48%
     
    Annual B&H % return:
    -24.46%
  
     
  
    System drawdown:
    -235.36
     
    B&H drawdown:
    -2940.84
  
    Max. system drawdown:
    -938.32
     
    B&H max. drawdown:
    -3450.99
  
    Max. system % drawdown:
    -21.38%
     
    B&H max. % drawdown:
    -86.04%
  
    Max. trade drawdown:
    -904.06
     
     
     
  
    Max. trade % drawdown:
    -21.35%
     
     
     
  
    Trade drawdown:
    -813.65
     
     
     
  
     
  
    Total number of trades:
    27
     
    Percent profitable:
    70.4%
  
    Number winning trades:
    19
     
    Number losing trades:
    8
  
    Profit of winners:
    6670.72
     
    Loss of losers:
    -1606.35
  
    Total # of bars in winners:
    323
     
    Total # of bars in losers:
    136
  
    Commissions paid in winners:
    152.00
     
    Commissions paid in losers:
    64.00
  
     
  
    Largest winning trade:
    734.25
     
    Largest losing trade:
    -666.67
  
    # of bars in largest winner:
    17
     
    # bars in largest loser:
    17
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    351.09
     
    Average losing trade:
    -200.79
  
    Avg. # of bars in winners:
    17.0
     
    Avg. # bars in losers:
    17.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    7
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    2296
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    16.7%
     
    Risk adjusted ann. return:
    74.89%
  
    Ratio avg win/avg loss:
    1.75
     
    Avg. trade (win & loss):
    187.57
  
    Profit factor:
    4.15
     
    
    



  
  
    Performance for RGZSCHI 
  
     
  
    Total net profit:
    504.82
     
    Total commissions paid:
    40.00
  
    Return on account:
    14.42 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -1233.06
     
    Bars (days) in test:
    550 (789)
  
    Buy&Hold % return:
    -35.23%
     
    System to Buy&Hold index:
    140.94%
  
     
  
    Annual system % return:
    6.43%
     
    Annual B&H % return:
    -18.20%
  
     
  
    System drawdown:
    -222.29
     
    B&H drawdown:
    -1854.34
  
    Max. system drawdown:
    -540.65
     
    B&H max. drawdown:
    -2211.22
  
    Max. system % drawdown:
    -14.16%
     
    B&H max. % drawdown:
    -57.33%
  
    Max. trade drawdown:
    -525.83
     
     
     
  
    Max. trade % drawdown:
    -13.80%
     
     
     
  
    Trade drawdown:
    -386.58
     
     
     
  
     
  
    Total number of trades:
    5
     
    Percent profitable:
    60.0%
  
    Number winning trades:
    3
     
    Number losing trades:
    2
  
    Profit of winners:
    754.99
     
    Loss of losers:
    -250.17
  
    Total # of bars in winners:
    51
     
    Total # of bars in losers:
    34
  
    Commissions paid in winners:
    24.00
     
    Commissions paid in losers:
    16.00
  
     
  
    Largest winning trade:
    327.18
     
    Largest losing trade:
    -182.58
  
    # of bars in largest winner:
    17
     
    # bars in largest loser:
    17
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    251.66
     
    Average losing trade:
    -125.08
  
    Avg. # of bars in winners:
    17.0
     
    Avg. # bars in losers:
    17.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    2
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    465
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    15.5%
     
    Risk adjusted ann. return:
    41.61%
  
    Ratio avg win/avg loss:
    2.01
     
    Avg. trade (win & loss):
    100.96
  
    Profit factor:
    3.02
     
    
    



  
  
    Trade list for RGZSCHI 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    24.0000
    17/10/2001
    16.0500
    0.0000
    3500.0000
  
    Long
    17/10/2001
    16.0500
    08/11/2001
    17.1500
    231.8755
    3731.8755
  
    Out
    08/11/2001
    17.1500
    08/03/2002
    18.2100
    0.0000
    3731.8755
  
    Long
    08/03/2002
    18.2100
    02/04/2002
    17.9000
    -67.5825
    3664.2929
  
    Out
    02/04/2002
    17.9000
    13/06/2002
    16.8400
    0.0000
    3664.2929
  
    Long
    13/06/2002
    16.8400
    05/07/2002
    16.0000
    -182.5844
    3481.7086
  
    Out
    05/07/2002
    16.0000
    13/11/2002
    13.4000
    0.0000
    3481.7086
  
    Long
    13/11/2002
    13.4000
    05/12/2002
    14.6900
    327.1794
    3808.8880
  
    Out
    05/12/2002
    14.6900
    05/06/2003
    13.7300
    0.0000
    3808.8880
  
    Long
    05/06/2003
    13.7300
    27/06/2003
    14.5300
    195.9330
    4004.8210
  
    Out
    27/06/2003
    14.5300
    11/07/2003
    15.5900
    0.0000
    4004.8210


  
  
    Performance for RGZSCT 
  
     
  
    Total net profit:
    1257.78
     
    Total commissions paid:
    40.00
  
    Return on account:
    35.94 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -2612.75
     
    Bars (days) in test:
    552 (789)
  
    Buy&Hold % return:
    -74.65%
     
    System to Buy&Hold index:
    148.14%
  
     
  
    Annual system % return:
    15.26%
     
    Annual B&H % return:
    -47.00%
  
     
  
    System drawdown:
    -174.21
     
    B&H drawdown:
    -2940.84
  
    Max. system drawdown:
    -938.32
     
    B&H max. drawdown:
    -3450.99
  
    Max. system % drawdown:
    -21.35%
     
    B&H max. % drawdown:
    -86.04%
  
    Max. trade drawdown:
    -904.06
     
     
     
  
    Max. trade % drawdown:
    -21.35%
     
     
     
  
    Trade drawdown:
    -813.65
     
     
     
  
     
  
    Total number of trades:
    5
     
    Percent profitable:
    80.0%
  
    Number winning trades:
    4
     
    Number losing trades:
    1
  
    Profit of winners:
    1924.46
     
    Loss of losers:
    -666.67
  
    Total # of bars in winners:
    68
     
    Total # of bars in losers:
    17
  
    Commissions paid in winners:
    32.00
     
    Commissions paid in losers:
    8.00
  
     
  
    Largest winning trade:
    604.50
     
    Largest losing trade:
    -666.67
  
    # of bars in largest winner:
    17
     
    # bars in largest loser:
    17
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    481.11
     
    Average losing trade:
    -666.67
  
    Avg. # of bars in winners:
    17.0
     
    Avg. # bars in losers:
    17.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    2
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    467
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    15.4%
     
    Risk adjusted ann. return:
    99.11%
  
    Ratio avg win/avg loss:
    0.72
     
    Avg. trade (win & loss):
    251.56
  
    Profit factor:
    2.89
     
    
    



  
  
    Trade list for RGZSCT 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    11.6500
    16/05/2001
    11.0500
    0.0000
    3500.0000
  
    Long
    16/05/2001
    11.0500
    08/06/2001
    12.0000
    292.9049
    3792.9049
  
    Out
    08/06/2001
    12.0000
    05/11/2001
    6.0000
    0.0000
    3792.9049
  
    Long
    05/11/2001
    6.0000
    27/11/2001
    7.0500
    604.5001
    4397.4050
  
    Out
    27/11/2001
    7.0500
    10/09/2002
    2.7100
    0.0000
    4397.4050
  
    Long
    10/09/2002
    2.7100
    02/10/2002
    2.2000
    -666.6716
    3730.7335
  
    Out
    02/10/2002
    2.2000
    13/11/2002
    2.2900
    0.0000
    3730.7335
  
    Long
    13/11/2002
    2.2900
    05/12/2002
    2.6700
    572.7862
    4303.5197
  
    Out
    05/12/2002
    2.6700
    11/04/2003
    2.1200
    0.0000
    4303.5197
  
    Long
    11/04/2003
    2.1200
    08/05/2003
    2.4000
    454.2645
    4757.7842
  
    Out
    08/05/2003
    2.4000
    11/07/2003
    2.9700
    0.0000
    4757.7842


  
  
    Performance for RGZSEB 
  
     
  
    Total net profit:
    1208.78
     
    Total commissions paid:
    40.00
  
    Return on account:
    34.54 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -1767.17
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -50.49%
     
    System to Buy&Hold index:
    168.40%
  
     
  
    Annual system % return:
    14.71%
     
    Annual B&H % return:
    -27.76%
  
     
  
    System drawdown:
    -124.05
     
    B&H drawdown:
    -2442.41
  
    Max. system drawdown:
    -918.17
     
    B&H max. drawdown:
    -3128.84
  
    Max. system % drawdown:
    -21.38%
     
    B&H max. % drawdown:
    -74.72%
  
    Max. trade drawdown:
    -616.63
     
     
     
  
    Max. trade % drawdown:
    -15.39%
     
     
     
  
    Trade drawdown:
    -477.67
     
     
     
  
     
  
    Total number of trades:
    5
     
    Percent profitable:
    60.0%
  
    Number winning trades:
    3
     
    Number losing trades:
    2
  
    Profit of winners:
    1542.29
     
    Loss of losers:
    -333.51
  
    Total # of bars in winners:
    51
     
    Total # of bars in losers:
    34
  
    Commissions paid in winners:
    24.00
     
    Commissions paid in losers:
    16.00
  
     
  
    Largest winning trade:
    609.65
     
    Largest losing trade:
    -256.03
  
    # of bars in largest winner:
    17
     
    # bars in largest loser:
    17
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    514.10
     
    Average losing trade:
    -166.76
  
    Avg. # of bars in winners:
    17.0
     
    Avg. # bars in losers:
    17.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    2
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    466
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    15.4%
     
    Risk adjusted ann. return:
    95.36%
  
    Ratio avg win/avg loss:
    3.08
     
    Avg. trade (win & loss):
    241.76
  
    Profit factor:
    4.62
     
    
    



  
  
    Trade list for RGZSEB 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    10.9500
    01/11/2001
    5.9500
    0.0000
    3500.0000
  
    Long
    01/11/2001
    5.9500
    23/11/2001
    7.0000
    609.6472
    4109.6472
  
    Out
    23/11/2001
    7.0000
    05/04/2002
    6.3500
    0.0000
    4109.6472
  
    Long
    05/04/2002
    6.3500
    29/04/2002
    5.9000
    -256.0314
    3853.6158
  
    Out
    29/04/2002
    5.9000
    21/08/2002
    4.0300
    0.0000
    3853.6158
  
    Long
    21/08/2002
    4.0300
    12/09/2002
    3.9500
    -77.4790
    3776.1368
  
    Out
    12/09/2002
    3.9500
    12/11/2002
    4.0300
    0.0000
    3776.1368
  
    Long
    12/11/2002
    4.0300
    04/12/2002
    4.6600
    539.1461
    4315.2828
  
    Out
    04/12/2002
    4.6600
    09/04/2003
    4.0100
    0.0000
    4315.2828
  
    Long
    09/04/2003
    4.0100
    06/05/2003
    4.4700
    393.4959
    4708.7787
  
    Out
    06/05/2003
    4.4700
    11/07/2003
    5.4400
    0.0000
    4708.7787


  
  
    Performance for RGZSJAP 
  
     
  
    Total net profit:
    377.68
     
    Total commissions paid:
    40.00
  
    Return on account:
    10.79 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -1581.36
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -45.18%
     
    System to Buy&Hold index:
    123.88%
  
     
  
    Annual system % return:
    4.85%
     
    Annual B&H % return:
    -24.28%
  
     
  
    System drawdown:
    -235.36
     
    B&H drawdown:
    -1921.36
  
    Max. system drawdown:
    -463.82
     
    B&H max. drawdown:
    -2071.96
  
    Max. system % drawdown:
    -12.40%
     
    B&H max. % drawdown:
    -56.75%
  
    Max. trade drawdown:
    -372.93
     
     
     
  
    Max. trade % drawdown:
    -9.97%
     
     
     
  
    Trade drawdown:
    -218.99
     
     
     
  
     
  
    Total number of trades:
    5
     
    Percent profitable:
    40.0%
  
    Number winning trades:
    2
     
    Number losing trades:
    3
  
    Profit of winners:
    733.68
     
    Loss of losers:
    -356.00
  
    Total # of bars in winners:
    34
     
    Total # of bars in losers:
    51
  
    Commissions paid in winners:
    16.00
     
    Commissions paid in losers:
    24.00
  
     
  
    Largest winning trade:
    544.96
     
    Largest losing trade:
    -226.99
  
    # of bars in largest winner:
    17
     
    # bars in largest loser:
    17
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    366.84
     
    Average losing trade:
    -118.67
  
    Avg. # of bars in winners:
    17.0
     
    Avg. # bars in losers:
    17.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    1
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    466
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    15.4%
     
    Risk adjusted ann. return:
    31.47%
  
    Ratio avg win/avg loss:
    3.09
     
    Avg. trade (win & loss):
    75.54
  
    Profit factor:
    2.06
     
    
    



  
  
    Trade list for RGZSJAP 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    54.5500
    16/08/2001
    46.3500
    0.0000
    3500.0000
  
    Long
    16/08/2001
    46.3500
    07/09/2001
    43.4500
    -226.9858
    3273.0142
  
    Out
    07/09/2001
    43.4500
    26/09/2001
    39.1000
    0.0000
    3273.0142
  
    Long
    26/09/2001
    39.1000
    18/10/2001
    41.4500
    188.7159
    3461.7301
  
    Out
    18/10/2001
    41.4500
    04/03/2002
    40.7500
    0.0000
    3461.7301
  
    Long
    04/03/2002
    40.7500
    26/03/2002
    39.6500
    -101.4453
    3360.2847
  
    Out
    26/03/2002
    39.6500
    17/12/2002
    29.1900
    0.0000
    3360.2847
  
    Long
    17/12/2002
    29.1900
    14/01/2003
    29.0200
    -27.5700
    3332.7147
  
    Out
    14/01/2003
    29.0200
    17/06/2003
    26.7600
    0.0000
    3332.7147
  
    Long
    17/06/2003
    26.7600
    09/07/2003
    31.2000
    544.9617
    3877.6764
  
    Out
    09/07/2003
    31.2000
    11/07/2003
    30.0000
    0.0000
    3877.6764


  
  
    Performance for RGZSPOL 
  
     
  
    Total net profit:
    1715.31
     
    Total commissions paid:
    56.00
  
    Return on account:
    49.01 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -762.99
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -21.80%
     
    System to Buy&Hold index:
    324.81%
  
     
  
    Annual system % return:
    20.26%
     
    Annual B&H % return:
    -10.75%
  
     
  
    System drawdown:
    -91.35
     
    B&H drawdown:
    -1440.80
  
    Max. system drawdown:
    -382.43
     
    B&H max. drawdown:
    -1686.26
  
    Max. system % drawdown:
    -8.18%
     
    B&H max. % drawdown:
    -45.02%
  
    Max. trade drawdown:
    -291.67
     
     
     
  
    Max. trade % drawdown:
    -6.12%
     
     
     
  
    Trade drawdown:
    -150.25
     
     
     
  
     
  
    Total number of trades:
    7
     
    Percent profitable:
    100.0%
  
    Number winning trades:
    7
     
    Number losing trades:
    0
  
    Profit of winners:
    1715.31
     
    Loss of losers:
    0.00
  
    Total # of bars in winners:
    119
     
    Total # of bars in losers:
    0
  
    Commissions paid in winners:
    56.00
     
    Commissions paid in losers:
    0.00
  
     
  
    Largest winning trade:
    734.25
     
    Largest losing trade:
    0.00
  
    # of bars in largest winner:
    17
     
    # bars in largest loser:
    0
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    0.00
  
     
  
    Average winning trade:
    245.04
     
    Average losing trade:
    N/A
  
    Avg. # of bars in winners:
    17.0
     
    Avg. # bars in losers:
    N/A
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    N/A
  
    Max consec. winners:
    7
     
    Max consec. losers:
    0
  
     
  
    Bars out of the market:
    432
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    21.6%
     
    Risk adjusted ann. return:
    93.82%
  
    Ratio avg win/avg loss:
    N/A
     
    Avg. trade (win & loss):
    245.04
  
    Profit factor:
    N/A
     
    
    



  
  
    Trade list for RGZSPOL 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    47.0000
    25/09/2001
    30.6500
    0.0000
    3500.0000
  
    Long
    25/09/2001
    30.6500
    17/10/2001
    37.1500
    734.2515
    4234.2515
  
    Out
    17/10/2001
    37.1500
    05/11/2001
    39.6000
    0.0000
    4234.2515
  
    Long
    05/11/2001
    39.6000
    27/11/2001
    41.5000
    159.9294
    4394.1809
  
    Out
    27/11/2001
    41.5000
    11/02/2002
    45.3000
    0.0000
    4394.1809
  
    Long
    11/02/2002
    45.3000
    05/03/2002
    46.2000
    61.5365
    4455.7174
  
    Out
    05/03/2002
    46.2000
    08/05/2002
    40.7000
    0.0000
    4455.7174
  
    Long
    08/05/2002
    40.7000
    30/05/2002
    41.7500
    82.2948
    4538.0122
  
    Out
    30/05/2002
    41.7500
    01/10/2002
    29.3500
    0.0000
    4538.0122
  
    Long
    01/10/2002
    29.3500
    23/10/2002
    33.3700
    471.3865
    5009.3987
  
    Out
    23/10/2002
    33.3700
    05/03/2003
    27.9000
    0.0000
    5009.3987
  
    Long
    05/03/2003
    27.9000
    27/03/2003
    29.2800
    165.1184
    5174.5171
  
    Out
    27/03/2003
    29.2800
    10/04/2003
    30.1300
    0.0000
    5174.5171
  
    Long
    10/04/2003
    30.1300
    07/05/2003
    30.5500
    40.7886
    5215.3057
  
    Out
    07/05/2003
    30.5500
    11/07/2003
    36.8500
    0.0000
    5215.3057

Title: AmiBroker System Test Report




  
  
    Settings
  
     
  
    Initial Equity:
    3500
    
    Periodicity/Positions:
    Daily/Long 
  
    Commissions:
    4.00 per trade
    
    Annual interest rate:
    0.00%
  
    Range:
    12/05/2001 00:00:00 - 12/07/2003
    
    Apply to:
    Filter
  
    Include Filter
     
    
    Exclude Filter
     
  
    Market
    -
    
    Market
    -
  
    Group
    -
    
    Group
    -
  
    Sector
    -
    
    Sector
    -
  
    Industry
    -
    
    Industry
    -
  
    Watch list
    Robeco Select
    
    Watch list
    -
  
    Index
    -
    
    Index
    -
  
    Favourite
    -
    
    Favourite
    -
  
    Margin requirement:
    100
    
    Futures mode:
    No
  
    Def. round lot size:
    0
    
    Def. Tick Size
    1
  
    Drawdowns based on:
    High/Low prices
    
     
     
  
    Long trades
  
    Buy price:
    Open
    
    Sell price:
    Open
  
    Buy delay:
    1
    
    Sell delay:
    1
  
    Short trades
  
    Short price:
    Open
    
    Cover price:
    Open
  
    Short delay:
    1
    
    Cover delay:
    1
  
    Stops
  
    Maximum loss:
    disabled
    
    Profit target:
    disabled
  
    Value:
    0.00
    
    Value:
    0.00
  
    Exit at stop?
    no
    
    Exit at stop?
    no
  
     
  
    Trailing stop:
    disabled
    
     
     
  
    Value:
    0.00
    
     
     
  
    Exit at stop?
    no
    
     
     


  
  
    Formula/* CCT StochRSI Var Symetric Cross Overs**  
** Originally developed by Steve Karnish   
** http://www.cedarcreektrading.com  
** AFL translation by Tomasz Janeczko  
** Set scaling: Custom 0..100  
** Grid: 30/70 */  
Vers=1; 
Swtch=2; 
 
Period=8; 
period1=23; 
delta=15; 
TBCheck=252; //range for optimization 
LstB=0;              //number of bars from last bar to start optimization and backtesting 
 
Period = Optimize("Period", period,2,15,1);  
Period1 = Optimize("Period1", period1,10,40,1);  
delta=Optimize("Delta",delta,2,20,1); 
 
Buy = Cross(delta, TEMA((RSI(period)-LLV(RSI(period),period1))/ (HHV(RSI(period),period1)- (LLV(RSI(period),period1))),3)*100);  
Sell = Cross(TEMA((RSI(period)-LLV(RSI(period),period1))/ (HHV(RSI(period),period1)- (LLV(RSI(period),period1))),3)*100, 100-delta);  
  
Short = Sell; Cover = Buy;  
  
Buy = ExRem( Buy, Sell ); Sell = ExRem( Sell, Buy ); Short = ExRem( Short, Cover ); Cover = ExRem( Cover, Short );  
buybars = BarsSince( Buy );sellbars = BarsSince( Sell );coverbars = BarsSince( Cover );shortbars = BarsSince( Short ); 
 
MASTRSI=EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI(period),period)- (LLV(RSI(period),period))),3)*100; 
 
Equity(1); 
MarginDeposit=3500; 
PositionSize=MarginDeposit; 
 
//e=Equity(0,1,1300)-Equity(0,1,0); 
e=Equity(0,-1,50)-PositionSize; 
e1=Equity(0,-1,25)-PositionSize; 
e2=Equity(0,-1,75)-PositionSize; 
e3=Equity(0,-1,100)-PositionSize; 
et=Equity(1,-1,PositionSize); 
GraphXSpace=15; 
 
TB=LstB+TBCheck;    
CurBar = Cum(1);TotalBars = LastValue( CurBar ); 
inrange = CurBar >= TotalBars -TB AND CurBar <= TotalBars- LstB; 
Buy = Buy AND inrange;Sell = Sell AND inrange;Short = Short AND inrange;Cover = Cover AND inrange; 
Filter=CurBar >= TotalBars -TB AND CurBar <= TotalBars- LstB AND Buy OR Sell; 
 
AlertIf( Short AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 3,2,4 ); 
AlertIf( Buy AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 1,2,4 ); 
AlertIf( Sell AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 2,2,4 ); 
AlertIf( Cover AND Swtch==1,"SOUND C:\\Documents and Settings\\Administrator\\My Documents\\My Music\\Sounds\\rooster2.wav","Audio alert", 4,2,4 ); 
 
PlotShapes(IIf(Sell==1,shapeDownArrow,shapeNone),colorRed,Layer=0,yposition=MASTRSI,Offset=5); //Short 
PlotShapes(IIf(Buy==1,shapeUpArrow,shapeNone),colorGreen,Layer=0,yposition=MASTRSI,Offset=-10); //BUY 
PlotShapes(IIf(Short==1,shapeSmallDownTriangle,shapeNone),colorRed,Layer=0,yposition=MASTRSI,Offset=5); //Sell 
PlotShapes(IIf(Cover==1,shapeSmallUpTriangle,shapeNone),colorDarkGreen,Layer=0,yposition=MASTRSI,Offset=-10); // Cover 
 
Plot(3, /* defines the height of the ribbon in percent of pane width */"Ribbon",IIf( buybars<sellbars,colorGreen ,colorBlack),/*choose color */styleOwnScale|styleArea|styleNoLabel, -0.5, 100 ); 
 
Title =Name() + " CCT StochRSI; Version: " +WriteVal(Vers,format=1.0)+"    "+"Bars: "+WriteVal(TBCheck,format=1.0)+EncodeColor(colorBlack)+";\nEquity:"+"\nTotal ("+WriteVal(TBCheck,format=1.0)+" bars): €  "+EncodeColor(colorDarkBlue)+WriteVal(Et,format=1)+EncodeColor(colorBlack)+";\nToday                  €      "+EncodeColor(colorBlue)+WriteVal(e1,format=1.0)+EncodeColor(colorBlack)+";\nLast 2 days         : €     "+EncodeColor(colorBlue)+WriteVal(e,format=1.0)+EncodeColor(colorBlack)+";\nLast 3 days         : €     "+EncodeColor(colorBlue)+WriteVal(e2,format=1.0)+EncodeColor(colorBlack)+";\nLast 4 days         : €     "+EncodeColor(colorBlue)+WriteVal(e3,format=1.0)+";\nAlerts are "+WriteIf(Swtch==1,"ON","OUT"); 
 
Plot(MASTRSI,"RSIS",6,1); 
Plot(100-delta,"LimH",5,1); 
Plot(delta,"Liml",4,1);


  
  
    Overall performance summary
  
     
  
    Total net profit:
    7060.77
     
    Total commissions paid:
    360.00
  
    Return on account:
    40.35 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -7957.32
     
    Bars (avg. days) in test:
    2755 (789)
  
    Buy&Hold % return:
    -45.47%
     
    System to Buy&Hold index:
    188.73%
  
     
  
    Annual system % return:
    16.98%
     
    Annual B&H % return:
    -24.46%
  
     
  
    System drawdown:
    -378.18
     
    B&H drawdown:
    -2940.84
  
    Max. system drawdown:
    -1232.95
     
    B&H max. drawdown:
    -3450.99
  
    Max. system % drawdown:
    -27.29%
     
    B&H max. % drawdown:
    -86.04%
  
    Max. trade drawdown:
    -1232.95
     
     
     
  
    Max. trade % drawdown:
    -27.29%
     
     
     
  
    Trade drawdown:
    -1047.35
     
     
     
  
     
  
    Total number of trades:
    45
     
    Percent profitable:
    77.8%
  
    Number winning trades:
    35
     
    Number losing trades:
    10
  
    Profit of winners:
    8500.78
     
    Loss of losers:
    -1440.01
  
    Total # of bars in winners:
    363
     
    Total # of bars in losers:
    217
  
    Commissions paid in winners:
    280.00
     
    Commissions paid in losers:
    80.00
  
     
  
    Largest winning trade:
    790.00
     
    Largest losing trade:
    -405.73
  
    # of bars in largest winner:
    11
     
    # bars in largest loser:
    30
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    242.88
     
    Average losing trade:
    -144.00
  
    Avg. # of bars in winners:
    10.4
     
    Avg. # bars in losers:
    21.7
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    5
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    2175
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    21.1%
     
    Risk adjusted ann. return:
    80.64%
  
    Ratio avg win/avg loss:
    1.69
     
    Avg. trade (win & loss):
    156.91
  
    Profit factor:
    5.90
     
    
    



  
  
    Performance for RGZSCHI 
  
     
  
    Total net profit:
    815.96
     
    Total commissions paid:
    64.00
  
    Return on account:
    23.31 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -1233.06
     
    Bars (days) in test:
    550 (789)
  
    Buy&Hold % return:
    -35.23%
     
    System to Buy&Hold index:
    166.17%
  
     
  
    Annual system % return:
    10.18%
     
    Annual B&H % return:
    -18.20%
  
     
  
    System drawdown:
    -378.18
     
    B&H drawdown:
    -1854.34
  
    Max. system drawdown:
    -524.32
     
    B&H max. drawdown:
    -2211.22
  
    Max. system % drawdown:
    -14.38%
     
    B&H max. % drawdown:
    -57.33%
  
    Max. trade drawdown:
    -440.81
     
     
     
  
    Max. trade % drawdown:
    -12.37%
     
     
     
  
    Trade drawdown:
    -440.81
     
     
     
  
     
  
    Total number of trades:
    8
     
    Percent profitable:
    75.0%
  
    Number winning trades:
    6
     
    Number losing trades:
    2
  
    Profit of winners:
    1022.37
     
    Loss of losers:
    -206.42
  
    Total # of bars in winners:
    62
     
    Total # of bars in losers:
    48
  
    Commissions paid in winners:
    48.00
     
    Commissions paid in losers:
    16.00
  
     
  
    Largest winning trade:
    326.38
     
    Largest losing trade:
    -191.07
  
    # of bars in largest winner:
    12
     
    # bars in largest loser:
    34
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    170.40
     
    Average losing trade:
    -103.21
  
    Avg. # of bars in winners:
    10.3
     
    Avg. # bars in losers:
    24.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    4
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    440
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    20.0%
     
    Risk adjusted ann. return:
    50.90%
  
    Ratio avg win/avg loss:
    1.65
     
    Avg. trade (win & loss):
    101.99
  
    Profit factor:
    4.95
     
    
    



  
  
    Trade list for RGZSCHI 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    24.0000
    23/07/2002
    14.3700
    0.0000
    3500.0000
  
    Long
    23/07/2002
    14.3700
    31/07/2002
    14.6600
    62.6333
    3562.6333
  
    Out
    31/07/2002
    14.6600
    30/08/2002
    14.5300
    0.0000
    3562.6333
  
    Long
    30/08/2002
    14.5300
    16/10/2002
    13.7700
    -191.0693
    3371.5639
  
    Out
    16/10/2002
    13.7700
    14/11/2002
    13.4800
    0.0000
    3371.5639
  
    Long
    14/11/2002
    13.4800
    26/11/2002
    14.4500
    234.6126
    3606.1765
  
    Out
    26/11/2002
    14.4500
    16/12/2002
    14.2900
    0.0000
    3606.1765
  
    Long
    16/12/2002
    14.2900
    08/01/2003
    14.2600
    -15.3477
    3590.8288
  
    Out
    08/01/2003
    14.2600
    27/01/2003
    13.4200
    0.0000
    3590.8288
  
    Long
    27/01/2003
    13.4200
    19/02/2003
    13.8300
    98.9299
    3689.7587
  
    Out
    19/02/2003
    13.8300
    06/03/2003
    12.4500
    0.0000
    3689.7587
  
    Long
    06/03/2003
    12.4500
    19/03/2003
    13.3500
    245.0122
    3934.7709
  
    Out
    19/03/2003
    13.3500
    23/04/2003
    12.2600
    0.0000
    3934.7709
  
    Long
    23/04/2003
    12.2600
    30/04/2003
    12.4800
    54.8057
    3989.5766
  
    Out
    30/04/2003
    12.4800
    25/06/2003
    14.3400
    0.0000
    3989.5766
  
    Long
    25/06/2003
    14.3400
    10/07/2003
    15.7100
    326.3793
    4315.9559
  
    Out
    10/07/2003
    15.7100
    11/07/2003
    15.5900
    0.0000
    4315.9559


  
  
    Performance for RGZSCT 
  
     
  
    Total net profit:
    2668.33
     
    Total commissions paid:
    72.00
  
    Return on account:
    76.24 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -2612.75
     
    Bars (days) in test:
    552 (789)
  
    Buy&Hold % return:
    -74.65%
     
    System to Buy&Hold index:
    202.13%
  
     
  
    Annual system % return:
    29.97%
     
    Annual B&H % return:
    -47.00%
  
     
  
    System drawdown:
    -257.35
     
    B&H drawdown:
    -2940.84
  
    Max. system drawdown:
    -1232.95
     
    B&H max. drawdown:
    -3450.99
  
    Max. system % drawdown:
    -27.29%
     
    B&H max. % drawdown:
    -86.04%
  
    Max. trade drawdown:
    -1232.95
     
     
     
  
    Max. trade % drawdown:
    -27.29%
     
     
     
  
    Trade drawdown:
    -1047.35
     
     
     
  
     
  
    Total number of trades:
    9
     
    Percent profitable:
    77.8%
  
    Number winning trades:
    7
     
    Number losing trades:
    2
  
    Profit of winners:
    3149.88
     
    Loss of losers:
    -481.56
  
    Total # of bars in winners:
    72
     
    Total # of bars in losers:
    52
  
    Commissions paid in winners:
    56.00
     
    Commissions paid in losers:
    16.00
  
     
  
    Largest winning trade:
    790.00
     
    Largest losing trade:
    -405.73
  
    # of bars in largest winner:
    11
     
    # bars in largest loser:
    30
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    449.98
     
    Average losing trade:
    -240.78
  
    Avg. # of bars in winners:
    10.3
     
    Avg. # bars in losers:
    26.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    5
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    428
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    22.5%
     
    Risk adjusted ann. return:
    133.42%
  
    Ratio avg win/avg loss:
    1.87
     
    Avg. trade (win & loss):
    296.48
  
    Profit factor:
    6.54
     
    
    



  
  
    Trade list for RGZSCT 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    11.6500
    06/08/2002
    2.5000
    0.0000
    3500.0000
  
    Long
    06/08/2002
    2.5000
    20/08/2002
    3.0700
    789.9999
    4289.9999
  
    Out
    20/08/2002
    3.0700
    05/09/2002
    2.6400
    0.0000
    4289.9999
  
    Long
    05/09/2002
    2.6400
    16/10/2002
    2.3400
    -405.7275
    3884.2724
  
    Out
    16/10/2002
    2.3400
    13/11/2002
    2.2900
    0.0000
    3884.2724
  
    Long
    13/11/2002
    2.2900
    22/11/2002
    2.7500
    695.0568
    4579.3292
  
    Out
    22/11/2002
    2.7500
    09/12/2002
    2.5800
    0.0000
    4579.3292
  
    Long
    09/12/2002
    2.5800
    13/01/2003
    2.5300
    -75.8294
    4503.4998
  
    Out
    13/01/2003
    2.5300
    07/02/2003
    2.1400
    0.0000
    4503.4998
  
    Long
    07/02/2003
    2.1400
    19/02/2003
    2.2400
    155.5512
    4659.0511
  
    Out
    19/02/2003
    2.2400
    12/03/2003
    2.0100
    0.0000
    4659.0511
  
    Long
    12/03/2003
    2.0100
    17/03/2003
    2.1900
    305.4330
    4964.4840
  
    Out
    17/03/2003
    2.1900
    02/04/2003
    2.1000
    0.0000
    4964.4840
  
    Long
    02/04/2003
    2.1000
    24/04/2003
    2.3900
    475.3337
    5439.8177
  
    Out
    24/04/2003
    2.3900
    12/05/2003
    2.3700
    0.0000
    5439.8177
  
    Long
    12/05/2003
    2.3700
    29/05/2003
    2.5200
    213.5191
    5653.3369
  
    Out
    29/05/2003
    2.5200
    25/06/2003
    2.6100
    0.0000
    5653.3369
  
    Long
    25/06/2003
    2.6100
    09/07/2003
    3.0000
    514.9887
    6168.3255
  
    Out
    09/07/2003
    3.0000
    11/07/2003
    2.9700
    0.0000
    6168.3255


  
  
    Performance for RGZSEB 
  
     
  
    Total net profit:
    1981.31
     
    Total commissions paid:
    80.00
  
    Return on account:
    56.61 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -1767.17
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -50.49%
     
    System to Buy&Hold index:
    212.12%
  
     
  
    Annual system % return:
    23.06%
     
    Annual B&H % return:
    -27.76%
  
     
  
    System drawdown:
    -198.11
     
    B&H drawdown:
    -2442.41
  
    Max. system drawdown:
    -642.82
     
    B&H max. drawdown:
    -3128.84
  
    Max. system % drawdown:
    -12.92%
     
    B&H max. % drawdown:
    -74.72%
  
    Max. trade drawdown:
    -424.72
     
     
     
  
    Max. trade % drawdown:
    -9.90%
     
     
     
  
    Trade drawdown:
    -424.72
     
     
     
  
     
  
    Total number of trades:
    10
     
    Percent profitable:
    80.0%
  
    Number winning trades:
    8
     
    Number losing trades:
    2
  
    Profit of winners:
    2323.25
     
    Loss of losers:
    -341.94
  
    Total # of bars in winners:
    59
     
    Total # of bars in losers:
    42
  
    Commissions paid in winners:
    64.00
     
    Commissions paid in losers:
    16.00
  
     
  
    Largest winning trade:
    649.32
     
    Largest losing trade:
    -204.63
  
    # of bars in largest winner:
    10
     
    # bars in largest loser:
    21
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    290.41
     
    Average losing trade:
    -170.97
  
    Avg. # of bars in winners:
    7.4
     
    Avg. # bars in losers:
    21.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    4
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    450
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    18.3%
     
    Risk adjusted ann. return:
    125.81%
  
    Ratio avg win/avg loss:
    1.70
     
    Avg. trade (win & loss):
    198.13
  
    Profit factor:
    6.79
     
    
    



  
  
    Trade list for RGZSEB 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    10.9500
    25/07/2002
    3.7100
    0.0000
    3500.0000
  
    Long
    25/07/2002
    3.7100
    31/07/2002
    3.9200
    190.1132
    3690.1132
  
    Out
    31/07/2002
    3.9200
    06/09/2002
    3.5500
    0.0000
    3690.1132
  
    Long
    06/09/2002
    3.5500
    12/09/2002
    3.9500
    386.3663
    4076.4795
  
    Out
    12/09/2002
    3.9500
    24/09/2002
    3.6400
    0.0000
    4076.4795
  
    Long
    24/09/2002
    3.6400
    15/10/2002
    3.8100
    155.4614
    4231.9409
  
    Out
    15/10/2002
    3.8100
    13/11/2002
    4.1000
    0.0000
    4231.9409
  
    Long
    13/11/2002
    4.1000
    26/11/2002
    4.8700
    649.3171
    4881.2580
  
    Out
    26/11/2002
    4.8700
    06/12/2002
    4.4500
    0.0000
    4881.2580
  
    Long
    06/12/2002
    4.4500
    09/01/2003
    4.2000
    -204.6292
    4676.6288
  
    Out
    09/01/2003
    4.2000
    23/01/2003
    4.0600
    0.0000
    4676.6288
  
    Long
    23/01/2003
    4.0600
    20/02/2003
    3.9100
    -137.3102
    4539.3185
  
    Out
    20/02/2003
    3.9100
    12/03/2003
    3.6000
    0.0000
    4539.3185
  
    Long
    12/03/2003
    3.6000
    17/03/2003
    3.8800
    264.2224
    4803.5410
  
    Out
    17/03/2003
    3.8800
    12/05/2003
    4.2900
    0.0000
    4803.5410
  
    Long
    12/05/2003
    4.2900
    15/05/2003
    4.5100
    171.4874
    4975.0284
  
    Out
    15/05/2003
    4.5100
    21/05/2003
    4.2800
    0.0000
    4975.0284
  
    Long
    21/05/2003
    4.2800
    04/06/2003
    4.8100
    425.4110
    5400.4394
  
    Out
    04/06/2003
    4.8100
    02/07/2003
    5.1200
    0.0000
    5400.4394
  
    Long
    02/07/2003
    5.1200
    07/07/2003
    5.2500
    80.8673
    5481.3066
  
    Out
    07/07/2003
    5.2500
    11/07/2003
    5.4400
    0.0000
    5481.3066


  
  
    Performance for RGZSJAP 
  
     
  
    Total net profit:
    774.77
     
    Total commissions paid:
    72.00
  
    Return on account:
    22.14 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -1581.36
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -45.18%
     
    System to Buy&Hold index:
    148.99%
  
     
  
    Annual system % return:
    9.69%
     
    Annual B&H % return:
    -24.28%
  
     
  
    System drawdown:
    -157.80
     
    B&H drawdown:
    -1921.36
  
    Max. system drawdown:
    -227.99
     
    B&H max. drawdown:
    -2071.96
  
    Max. system % drawdown:
    -6.26%
     
    B&H max. % drawdown:
    -56.75%
  
    Max. trade drawdown:
    -227.99
     
     
     
  
    Max. trade % drawdown:
    -6.26%
     
     
     
  
    Trade drawdown:
    -187.33
     
     
     
  
     
  
    Total number of trades:
    9
     
    Percent profitable:
    77.8%
  
    Number winning trades:
    7
     
    Number losing trades:
    2
  
    Profit of winners:
    941.55
     
    Loss of losers:
    -166.78
  
    Total # of bars in winners:
    90
     
    Total # of bars in losers:
    32
  
    Commissions paid in winners:
    56.00
     
    Commissions paid in losers:
    16.00
  
     
  
    Largest winning trade:
    184.83
     
    Largest losing trade:
    -131.34
  
    # of bars in largest winner:
    18
     
    # bars in largest loser:
    19
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    134.51
     
    Average losing trade:
    -83.39
  
    Avg. # of bars in winners:
    12.9
     
    Avg. # bars in losers:
    16.0
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    4
     
    Max consec. losers:
    1
  
     
  
    Bars out of the market:
    429
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    22.1%
     
    Risk adjusted ann. return:
    43.77%
  
    Ratio avg win/avg loss:
    1.61
     
    Avg. trade (win & loss):
    86.09
  
    Profit factor:
    5.65
     
    
    



  
  
    Trade list for RGZSJAP 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    54.5500
    25/07/2002
    35.7100
    0.0000
    3500.0000
  
    Long
    25/07/2002
    35.7100
    12/08/2002
    35.4300
    -35.4432
    3464.5568
  
    Out
    12/08/2002
    35.4300
    04/09/2002
    32.5200
    0.0000
    3464.5568
  
    Long
    04/09/2002
    32.5200
    27/09/2002
    34.3300
    184.8306
    3649.3875
  
    Out
    27/09/2002
    34.3300
    09/10/2002
    30.1500
    0.0000
    3649.3875
  
    Long
    09/10/2002
    30.1500
    21/10/2002
    31.6500
    166.1294
    3815.5168
  
    Out
    21/10/2002
    31.6500
    14/11/2002
    29.6100
    0.0000
    3815.5168
  
    Long
    14/11/2002
    29.6100
    25/11/2002
    31.0800
    165.7588
    3981.2756
  
    Out
    25/11/2002
    31.0800
    09/12/2002
    30.0800
    0.0000
    3981.2756
  
    Long
    09/12/2002
    30.0800
    08/01/2003
    29.0200
    -131.3377
    3849.9379
  
    Out
    08/01/2003
    29.0200
    29/01/2003
    27.6000
    0.0000
    3849.9379
  
    Long
    29/01/2003
    27.6000
    21/02/2003
    27.9600
    37.6520
    3887.5899
  
    Out
    21/02/2003
    27.9600
    10/03/2003
    26.0100
    0.0000
    3887.5899
  
    Long
    10/03/2003
    26.0100
    21/03/2003
    27.1400
    144.0568
    4031.6467
  
    Out
    21/03/2003
    27.1400
    14/04/2003
    25.1700
    0.0000
    4031.6467
  
    Long
    14/04/2003
    25.1700
    07/05/2003
    25.6600
    60.1366
    4091.7833
  
    Out
    07/05/2003
    25.6600
    22/05/2003
    24.7400
    0.0000
    4091.7833
  
    Long
    22/05/2003
    24.7400
    06/06/2003
    26.0900
    182.9863
    4274.7696
  
    Out
    06/06/2003
    26.0900
    11/07/2003
    30.0000
    0.0000
    4274.7696


  
  
    Performance for RGZSPOL 
  
     
  
    Total net profit:
    820.42
     
    Total commissions paid:
    72.00
  
    Return on account:
    23.44 % 
     
    Open position gain/loss
    0.00
  
    Buy&Hold profit:
    -762.99
     
    Bars (days) in test:
    551 (789)
  
    Buy&Hold % return:
    -21.80%
     
    System to Buy&Hold index:
    207.53%
  
     
  
    Annual system % return:
    10.23%
     
    Annual B&H % return:
    -10.75%
  
     
  
    System drawdown:
    -208.24
     
    B&H drawdown:
    -1440.80
  
    Max. system drawdown:
    -400.46
     
    B&H max. drawdown:
    -1686.26
  
    Max. system % drawdown:
    -10.85%
     
    B&H max. % drawdown:
    -45.02%
  
    Max. trade drawdown:
    -400.46
     
     
     
  
    Max. trade % drawdown:
    -10.85%
     
     
     
  
    Trade drawdown:
    -294.07
     
     
     
  
     
  
    Total number of trades:
    9
     
    Percent profitable:
    77.8%
  
    Number winning trades:
    7
     
    Number losing trades:
    2
  
    Profit of winners:
    1063.73
     
    Loss of losers:
    -243.32
  
    Total # of bars in winners:
    80
     
    Total # of bars in losers:
    43
  
    Commissions paid in winners:
    56.00
     
    Commissions paid in losers:
    16.00
  
     
  
    Largest winning trade:
    249.17
     
    Largest losing trade:
    -142.54
  
    # of bars in largest winner:
    16
     
    # bars in largest loser:
    23
  
    Commission paid in largest winner:
    8.00
     
    Commission paid in largest loser:
    8.00
  
     
  
    Average winning trade:
    151.96
     
    Average losing trade:
    -121.66
  
    Avg. # of bars in winners:
    11.4
     
    Avg. # bars in losers:
    21.5
  
    Avg. commission paid in winner:
    8.00
     
    Avg. commission paid in loser:
    8.00
  
    Max consec. winners:
    5
     
    Max consec. losers:
    2
  
     
  
    Bars out of the market:
    428
     
    Interest earned:
    0.00
  
     
  
    Exposure:
    22.3%
     
    Risk adjusted ann. return:
    45.84%
  
    Ratio avg win/avg loss:
    1.25
     
    Avg. trade (win & loss):
    91.16
  
    Profit factor:
    4.37
     
    
    



  
  
    Trade list for RGZSPOL 
  
    Trade
    Entry date
    Entry price
    Exit date
    Exit price
    Net Profit
    Equity value
  
    Out
    14/05/2001
    47.0000
    09/09/2002
    30.5900
    0.0000
    3500.0000
  
    Long
    09/09/2002
    30.5900
    15/10/2002
    31.0800
    48.0640
    3548.0640
  
    Out
    15/10/2002
    31.0800
    11/11/2002
    33.9200
    0.0000
    3548.0640
  
    Long
    11/11/2002
    33.9200
    25/11/2002
    36.3000
    237.5780
    3785.6420
  
    Out
    25/11/2002
    36.3000
    10/12/2002
    36.4200
    0.0000
    3785.6420
  
    Long
    10/12/2002
    36.4200
    15/01/2003
    35.0200
    -142.5412
    3643.1008
  
    Out
    15/01/2003
    35.0200
    23/01/2003
    31.6900
    0.0000
    3643.1008
  
    Long
    23/01/2003
    31.6900
    19/02/2003
    30.8500
    -100.7738
    3542.3270
  
    Out
    19/02/2003
    30.8500
    04/03/2003
    28.8100
    0.0000
    3542.3270
  
    Long
    04/03/2003
    28.8100
    17/03/2003
    28.9000
    2.9337
    3545.2607
  
    Out
    17/03/2003
    28.9000
    12/05/2003
    30.2500
    0.0000
    3545.2607
  
    Long
    12/05/2003
    30.2500
    16/05/2003
    31.5000
    136.6281
    3681.8888
  
    Out
    16/05/2003
    31.5000
    21/05/2003
    30.3500
    0.0000
    3681.8888
  
    Long
    21/05/2003
    30.3500
    11/06/2003
    32.5800
    249.1666
    3931.0554
  
    Out
    11/06/2003
    32.5800
    16/06/2003
    31.8000
    0.0000
    3931.0554
  
    Long
    16/06/2003
    31.8000
    23/06/2003
    33.6800
    198.9184
    4129.9737
  
    Out
    23/06/2003
    33.6800
    03/07/2003
    34.0400
    0.0000
    4129.9737
  
    Long
    03/07/2003
    34.0400
    09/07/2003
    35.9700
    190.4430
    4320.4168
  
    Out
    09/07/2003
    35.9700
    11/07/2003
    36.8500
    0.0000
    4320.4168