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The direct relation of tb with the system
performance is obvious from the att. gif.BTW, for the results I Explored a
group of favorites with the code
function IIR2( input, f0, f1, f2 ){
result[ 0 ] = input[ 0 ]; result[ 1 ] = input[ 1 ]; for( i
= 2; i < BarCount; i++ ) { result[ i ] = f0 *
input[ i ] + f1 * result[ i - 1 ] +
f2 * result[ i - 2 ]; } return
result;}C1=Foreign("^VIX","C");C1=C;RED=IIR2( C1, 0.2, 1.4, -0.6
);k=0.6;//
Optimize("k",0.6,0.1,2,0.1);LINE=IIR2(C1,0.2-0.01*K,1.4+0.01*K,-0.6);Buy=Cross(LINE,RED);Sell=Cross(RED,LINE);E1=Equity(1,0);dd=40;MA1=MA(E1,dd);tb=100*Cum(E1<MA(E1,dd))/Cum(1);Filter=1;AddColumn(E1,"E1");AddColumn(tb,"tb
%");// VIX,K=0.6, +614% END JULY, 2003
For ^VIX we have had 67 trades since Jan2000.
The system is not slow and the attempt to apply MA Equity exit would protect
from a probable great damage,
but, it would cause a significant decrease of the
sweet profits [I use 0.5% commission in settings]
Dimitris Tsokakis
From: <A
href=""><IMG alt="" border=0 height=12
src="" width=12>
"DIMITRIS TSOKAKIS" <<A
href="">TSOKAKIS@xxxx>
Date:
Tue Aug 19, 2003 9:31 am<FONT
size=+0>Subject: Re: TJ & Group New Portfolio Manager - Equity
Drawdown Management
Just one note : This equity improvement is good for slow
systems [less than 10 trades per year]. For medium or fast systems you have
many expenses due to exit/reentry commissions.It is also my personal
advice : If the equity line of your favorite system falls below its 30/40
day MA, it is better to stay out. The system looks good for you, promissing
perhaps, but, you are going to pay some money for this preference !!Now,
when you check a new system, take a look to the percentage of the time your
Equity was below its MA. It is expressed
astb=100*cum(Equity()<MA(Equity(),30))/cum(1);If it is >50%,
forget the system and move quickly to the next step.Between 30% and 50%
there are some slight chances to win, if you apply with discipline the exit
rules [we all know this is the most difficult part, we usually want to stay
one more day...]For tb<30%, you are in front of an interesting trading
idea and you have reasons to make further investigation. When we are below
our Equity MA, we usually make some small additional mistakes. It would
be better to avoid them ASAP...Dimitris Tsokakis--- In <A
href="">amibroker@xxxxxxxxxxxxxxx,
"Anthony Faragasso" <<A
href="">ajf1111@xxxx>
wrote:> Jim,> > I found a post related to your
topic.> > Message # 21807.....
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online?u=dtsokakis&m=g&t=0
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