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Delay0 results look at today's close, but also enter the trade on today's close, because that's
the closest approximation (right now, temporarily) I can make to trade on Open tomorrow. Delay1,
on the other hand, trades on tomorrow's Close. The results actually are pretty similar in both
(poor man's approximation of slippage, until it becomes available in PT mode).
I haven't been able to come up with a good short strategy based on similar logic that I'm using
here (which is based on looking at all 3 forces that drive a stock - market, industry and the
stock itself). As a result, the exposure is in 50% to 60% range. The test was run for 1/1/2001 to
9/30/2003.
Now I'm gonna run this with PTrader to make sure it also shows similar results, just as a sanity
check.
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> LOL ... uhhh okay ...
> --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> I tried to post the results but the file came out truncated...
With
> FOREX you can certainly get 100:1 levarage... You have to use
> techniques like pyramiding to counter drawdowns...
>
> Regards,
>
> Pal
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > I'm quite familiar with the math, the metrics and the terms
thanks.
> >
> > Assuming for a minute that you can get 100:1 leverage with
> futures,
> > which for most contracts you can't, but for the moment assuming
you
> > can, let's see then, a 1% DD and you're toast, a 2% DD and you're
> > house is toast as well.
> >
> > I wish you the best of luck in your adventures.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
> wrote:
> > > Hi,
> > >
> > > I don't have results for 5 or 6 years. I can produce results
for
> > > only 1 month when the simulated account expires and I need to
> open
> > a
> > > new simulated account every month.
> > >
> > > These results occur because of holding massive margined
positions
> > > under leverages of 100:1 (FOREX and Futures) and solid money-
> > > management techniques.... certainly not for the faint-
hearted...
> > > Fortune favors the brave...
> > >
> > > By keeping one's funds 100% invested at all times, it is very
> > > possible to achieve returns of 5000% or higher. If a $25 stock
> > moves
> > > $1, that's a gain of about 4%. 5 stocks, that is a gain of
20%.
> > It
> > > doesn't matter which direction it moves as long you are willing
> to
> > go
> > > long as well as go short...
> > >
> > > Let me interject a quick comment on leverage. If you are
trading
> > on
> > > Margin with your broker, you can trade twice your account
> balance.
> > > That is, if you have $100,000 in your account you can actually
> take
> > > $200,000 in positions in the market. So, a 10% gain in a fully
> > > margined account is like 20% in a non-margined account.
> > >
> > > The trick is to stay invested at all times and make CONSISTENT
> > > gains. We need to clear only 10% if we are trading on margin.
> > Every
> > > day a host of stocks make moves of 5%, 10% or more. 1 and 2%
> > movers
> > > are everywhere...
> > >
> > > I would be happy to post the results at the end of this
month....
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > > I'd like to see the equity curve and statistics for the past
5
> or
> > 6
> > > > years from an automated system where you're getting 20% per
> day.
> > > If
> > > > you could generate those kind of returns people would be
coming
> > out
> > > > of the woodwork to bankroll your trading. After all
beginning
> > with
> > > a
> > > > balance of $100k you'd have close to $10b after 3 months.
Then
> > of
> > > > course you'd need to ante up some fairly fat estimated tax
> > payment
> > > > for uncle.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand"
<palsanand@xxxx>
> > > wrote:
> > > > > Hi,
> > > > >
> > > > > To make a trading system profitable, we need a good money
> > > mangement
> > > > > system in-addition to a good signal detection, verification
> and
> > > > > interpretation system.
> > > > >
> > > > > I find it very difficult to automate good money management
> > > > > strategies. Sometimes, you have to enter the market at MOO
> > > > (previous
> > > > > session's close price), sometimes at High Of Day/Low Of Day
> > > etc.,
> > > > > Sometimes you have to Pyramid/Pillar your losing positions
> and
> > > then
> > > > > close out your losing positions at break even price.
> Sometimes
> > > you
> > > > > have to have wide stops, sometimes narrow stops, sometimes
no
> > > stops
> > > > > (combine options with the straight underlying instrument).
> > > > Sometimes
> > > > > the data is not accurate and so your back-testing results
are
> > > > bogus.
> > > > > It is just too complex to automate all of them. The best I
> can
> > > do
> > > > is
> > > > > to record my trades and co-relate with my trading report
from
> > my
> > > > > account.
> > > > >
> > > > > I do not believe the back-testing report created by the
> > > software.
> > > > I
> > > > > don't think it is prudent to base your trading just on
these
> > back-
> > > > > testing results. You have to test it in the real-world for
> > about
> > > 1
> > > > > year with real-world money-management strategies or atleast
a
> > > > > simulation account. It is a very slow process... one
needs
> a
> > > hell
> > > > > of a lot of patience, especially when you see your
simulation
> > > > account
> > > > > grossing returns of over 20% a day...
> > > > >
> > > > > Maybe the new portfolio tester...
> > > > >
> > > > > Regards,
> > > > >
> > > > > Pal
> > > > >
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx>
> > wrote:
> > > > > > > After all, the bottom line is to make money! And not to
> > > second
> > > > > > guess
> > > > > > > what you think might occur next. The market is always
> right!
> > > > > >
> > > > > > Amen!
> > > > > >
> > > > > > I have a random question. Speaking of making money,
> how/what
> > > kind
> > > > > of
> > > > > > profitable systems have people in this group developed
> using
> > > AB?
> > > > Do
> > > > > > we have any heavy hitters who've written systems showing
> > > > > _consistent_
> > > > > > 100+% return systems using AB? Anyone interested in
results
> > of
> > > > such
> > > > > a
> > > > > > quick survey?
> > > > > >
> > > > > > I myself am currently testing a system which shows
> following,
> > > > which
> > > > > > I'm in the process of confirming as I keep finding bugs
in
> > it :-
> > > > ) -
> > > > > >
> > > > > > Trading type: Stocks (only long plays)
> > > > > > Period: Short term, 2-5 days in a trade.
> > > > > > Avg annual return over last 5 years of data: Around 30%
> > > > > > Max system % drawdown: 20%
> > > > > >
> > > > > > I know its certainly not a high flying system by any
means,
> > but
> > > > at
> > > > > > the same time I also read everywhere that most traders
end
> up
> > > > > losing
> > > > > > money, so at least by that standard it sounds like a good
> one
> > > to
> > > > > > start with. :-)
> > > > > >
> > > > > > Would love to hear statistics from other experts here.
I'm
> > sure
> > > > > > there're lots of them...
> > > > > >
> > > > > > Jitu
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Joe"
> > > > > <run_for_your_life2003@xxxx>
> > > > > > wrote:
> > > > > > > Yeah, trust you signals because if they give you the
> wrong
> > > > signal
> > > > > > > you can only blame yourself for your mistakes.
> > > > > > > At the moment a lot of investors thinks this market
will
> > tank
> > > > in
> > > > > > > October! I still buy according to the signals on my
graph!
> > > > > > >
> > > > > > > Will the majority be fooled this month thinking a
> downmove
> > in
> > > > > > stocks
> > > > > > > and in reality happens in November. I buy my stocks
> > according
> > > > to
> > > > > my
> > > > > > > signals! Very rarely listen to news on television or
the
> > > > > newspaper
> > > > > > > and do a much better job on investing now.
> > > > > > >
> > > > > > > After all, the bottom line is to make money! And not to
> > > second
> > > > > > guess
> > > > > > > what you think might occur next. The market is always
> right!
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand"
> > > <palsanand@xxxx>
> > > > > > wrote:
> > > > > > > > Hi,
> > > > > > > >
> > > > > > > > READ NOTHING, LISTEN TO NO ONE, EXCEPT YOUR
SIGNALS...
> > > > SIGNALS
> > > > > > > TALK
> > > > > > > > TO YOU, SOMETIMES THEY SCREAM...
> > > > > > > >
> > > > > > > > LEARN TO BUY ON BEARISH NEWS AND SELL ON BULLISH NEWS
> > > > > > > >
> > > > > > > > Regards,
> > > > > > > >
> > > > > > > > Pal
> > > > > > > >
> > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand"
> > > > <palsanand@xxxx>
> > > > > > > wrote:
> > > > > > > > > Hi,
> > > > > > > > >
> > > > > > > > > THE TREND IS YOUR FRIEND BUT NOT WHEN IT IS GOING
TO
> > > END....
> > > > > > > > > CUT YOUR LOSSES SHORT & LET YOUR PROFITS RUN....
> > > > > > > > > THERE IS A TIME TO GO SHORT, A TIME TO GO LONG, AND
A
> > > TIME
> > > > TO
> > > > > > GO
> > > > > > > > > FISHING....
> > > > > > > > > BUY LOW, SELL HIGH....
> > > > > > > > > BUY EAGERLY, SELL RELUCTANTLY....
> > > > > > > > > YOU CAN'T CHERRY PICK SIGNALS, YOU HAVE TO TRADE
> EVERY
> > > DAMN
> > > > > ONE
> > > > > > > OF
> > > > > > > > > THEM....
> > > > > > > > >
> > > > > > > > > Regards,
> > > > > > > > >
> > > > > > > > > Pal
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Title: AmiBroker Portfolio Test Report
Portfolio Test statistics
Attention: this is an early beta version of the new
backtester released for TESTING ONLY. It may include bugs, inaccuracies and
other problems. Use at your own risk. Report bugs to <A
href="">bugs@xxxxxxxxxxxxx
All trades
Long trades
Short trades
Initial capital
100000.00
100000.00
100000.00
Ending capital
283817.11
283817.11
100000.00
Net Profit
183817.11
183817.11
0.00
Net Profit %
183.82 %
183.82 %
0.00 %
<TH
title="Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.">Exposure
%
57.86 %
57.86 %
0.00 %
Net Risk Adjusted Return
%
317.72 %
317.72 %
-1.#J %
Annual Return %
46.17 %
46.17 %
0.00 %
Risk Adjusted Return
%
79.81 %
79.81 %
-1.#J %
All trades
358
358 (100.00 %)
0 (0.00 %)
<TH
title="(Profit of winners + Loss of losers)/(number of trades)"> Avg.
Profit/Loss
513.46
513.46
-1.#J
<TH
title="(% Profit of winners + % Loss of losers)/(number of trades)"> Avg.
Profit/Loss %
3.23 %
3.23 %
-1.#J %
Avg. Bars Held
12.77
12.77
-1.#J
Winners
237 (66.20 %)
237 (66.20 %)
0 (0.00 %)
Total Profit
306048.30
306048.30
0.00
Avg. Profit
1291.34
1291.34
-1.#J
Avg.
Profit %
8.54 %
8.54 %
-1.#J %
Avg. Bars Held
11.84
11.84
-1.#J
Max. Consecutive
50
50
0
Largest win
6013.92
6013.92
0.00
# bars in largest win
22
22
0
Losers
121 (33.80 %)
121 (33.80 %)
0 (0.00 %)
Total Loss
-122231.19
-122231.19
0.00
Avg. Loss
-1010.18
-1010.18
-1.#J
Avg. Loss
%
-7.19 %
-7.19 %
-1.#J %
Avg. Bars Held
14.61
14.61
-1.#J
Max. Consecutive
10
10
0
Largest loss
-7827.20
-7827.20
0.00
# bars in largest loss
18
18
0
<TH
title="The largest peak to valley decline experienced in any single trade">Max.
trade drawdown
-9680.00
-9680.00
0.00
<TH
title="The largest peak to valley percentage decline experienced in any single trade">Max.
trade % drawdown
-62.24 %
-62.24 %
0.00 %
<TH
title="The largest peak to valley decline experienced in portfolio equity">Max.
system drawdown
-28434.95
-28434.95
0.00
<TH
title="The largest peak to valley percentage decline experienced in portfolio equity">Max.
system % drawdown
-19.41 %
-19.41 %
0.00 %
Recovery Factor
6.46
6.46
-1.#J
<TH
title="Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
2.38
2.38
-1.#J
<TH
title="Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
4.11
4.11
-1.#J
Profit Factor
2.50
2.50
1.#R
Payoff Ratio
1.28
1.28
1.#R
<TH
title="Standard error measures chopiness of equity line. The lower the better.">Standard
Error
25492.78
25492.78
0.00
<TH
title="Measure of the relation between the risk inherent in a trading the system compared to its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its standard error. ">Risk-Reward
Ratio
1.80
1.80
-1.#J
<TH
title="Square root of sum of squared drawdowns divided by number of bars">Ulcer
Index
7.86
7.86
0.00
Ulcer
Performance Index
5.19
5.19
-1.#J
<TH
title="Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent.">Sharpe
Ratio of trades
1.28
1.28
0.00
K-Ratio
1.43
1.43
-1.#J
Title: AmiBroker Portfolio Test Report
Portfolio Test statistics
Attention: this is an early beta version of the new
backtester released for TESTING ONLY. It may include bugs, inaccuracies and
other problems. Use at your own risk. Report bugs to <A
href="">bugs@xxxxxxxxxxxxx
All trades
Long trades
Short trades
Initial capital
100000.00
100000.00
100000.00
Ending capital
309507.77
309507.77
100000.00
Net Profit
209507.77
209507.77
0.00
Net Profit %
209.51 %
209.51 %
0.00 %
<TH
title="Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.">Exposure
%
58.15 %
58.15 %
0.00 %
Net Risk Adjusted Return
%
360.28 %
360.28 %
-1.#J %
Annual Return %
50.85 %
50.85 %
0.00 %
Risk Adjusted Return
%
87.45 %
87.45 %
-1.#J %
All trades
339
339 (100.00 %)
0 (0.00 %)
<TH
title="(Profit of winners + Loss of losers)/(number of trades)"> Avg.
Profit/Loss
618.02
618.02
-1.#J
<TH
title="(% Profit of winners + % Loss of losers)/(number of trades)"> Avg.
Profit/Loss %
3.68 %
3.68 %
-1.#J %
Avg. Bars Held
13.41
13.41
-1.#J
Winners
231 (68.14 %)
231 (68.14 %)
0 (0.00 %)
Total Profit
325301.51
325301.51
0.00
Avg. Profit
1408.23
1408.23
-1.#J
Avg.
Profit %
8.93 %
8.93 %
-1.#J %
Avg. Bars Held
13.17
13.17
-1.#J
Max. Consecutive
26
26
0
Largest win
7134.30
7134.30
0.00
# bars in largest win
8
8
0
Losers
108 (31.86 %)
108 (31.86 %)
0 (0.00 %)
Total Loss
-115793.74
-115793.74
0.00
Avg. Loss
-1072.16
-1072.16
-1.#J
Avg. Loss
%
-7.57 %
-7.57 %
-1.#J %
Avg. Bars Held
13.92
13.92
-1.#J
Max. Consecutive
16
16
0
Largest loss
-8930.24
-8930.24
0.00
# bars in largest loss
17
17
0
<TH
title="The largest peak to valley decline experienced in any single trade">Max.
trade drawdown
-10426.64
-10426.64
0.00
<TH
title="The largest peak to valley percentage decline experienced in any single trade">Max.
trade % drawdown
-62.26 %
-62.26 %
0.00 %
<TH
title="The largest peak to valley decline experienced in portfolio equity">Max.
system drawdown
-24104.05
-24104.05
0.00
<TH
title="The largest peak to valley percentage decline experienced in portfolio equity">Max.
system % drawdown
-19.76 %
-19.76 %
0.00 %
Recovery Factor
8.69
8.69
-1.#J
<TH
title="Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
2.57
2.57
-1.#J
<TH
title="Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
4.43
4.43
-1.#J
Profit Factor
2.81
2.81
1.#R
Payoff Ratio
1.31
1.31
1.#R
<TH
title="Standard error measures chopiness of equity line. The lower the better.">Standard
Error
29871.31
29871.31
0.00
<TH
title="Measure of the relation between the risk inherent in a trading the system compared to its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its standard error. ">Risk-Reward
Ratio
1.87
1.87
-1.#J
<TH
title="Square root of sum of squared drawdowns divided by number of bars">Ulcer
Index
8.21
8.21
0.00
Ulcer
Performance Index
5.54
5.54
-1.#J
<TH
title="Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent.">Sharpe
Ratio of trades
1.34
1.34
0.00
K-Ratio
1.48
1.48
-1.#J
|