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My original question, buried deep down in that thread Pal pointed to, was this -
Do we have any heavy hitters on this list who've written systems showing _consistent_ 100+%
return systems using AB? Anyone interested in results of such a quick survey?
And no, not expecting code. Just curious to know what kind of systems have people written, what
they trade, etc., and more especially do the systems work in real life?
Jitu
PS: Since my last post, I was able to come up with a decent short strategy that flows well with my
long strategy. Results are attached. Couple of dips in my equity plot that I don't seem to be able
to shake off successfully (without sacrifising the performance elsewhere). Results are from
1/1/2000 to 9/30/2003, trading stocks only, both long and short.
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen" <psytek@xxxx> wrote:
> Thank you, read your post... have you looked at e-Minis?
>
> herman
>
> -----Original Message-----
> From: palsanand [mailto:palsanand@x...]
> Sent: Tuesday, October 07, 2003 9:49 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: partial results - full results gets truncated
>
>
> Hi,
>
> I did not post the code because, it is proprietary. I can only
> discuss the strategy and publish results.
>
> It is related with this:
>
> http://groups.yahoo.com/group/amibroker/message/49277
>
> Regards,
>
> Pal
> --- In amibroker@xxxxxxxxxxxxxxx, "John" <jea55129@xxxx> wrote:
> > Herman,
> >
> > The code was never posted. Here is where it all begins.
> > < http://groups.yahoo.com/group/amibroker/message/49226 >
> >
> > John
> > --- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
> > <psytek@xxxx> wrote:
> > > Congratulations, but what is this all about?
> > >
> > > Was a system description or the system code posted before... i
> must
> > have
> > > missed it, could somebody repost it?
> > >
> > > many thanks,
> > >
> > > herman.
> > > -----Original Message-----
> > > From: Pal Anand [mailto:palsanand@x...]
> > > Sent: Monday, October 06, 2003 10:57 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] partial results - full results gets
> truncated
> > >
> > >
> > > 03/14/2003, 02:30
> > > PnL
> > > Profit/loss of trade
> > > 00639262
> > > 1,241.85
> > > 7,131.42
> > >
> > > 03/14/2003, 03:31
> > > PnL
> > > Profit/loss of trade
> > > 00649935
> > > 0.00
> > > 7,131.42
> > >
> > > 03/14/2003, 03:31
> > > PnL
> > > Profit/loss of trade
> > > 00649928
> > > -21.00
> > > 7,110.42
> > >
> > > 03/14/2003, 03:57
> > > PnL
> > > Profit/loss of trade
> > > 00649938
> > > 0.00
> > > 7,110.42
> > >
> > > 03/14/2003, 11:03
> > > PnL
> > > Profit/loss of trade
> > > 00649956
> > > -576.08
> > > 6,534.34
> > >
> > > 03/14/2003, 11:03
> > > PnL
> > > Profit/loss of trade
> > > 00644549
> > > 232.95
> > > 6,767.29
> > >
> > > 03/14/2003, 11:03
> > > PnL
> > > Profit/loss of trade
> > > 00650251
> > > 525.00
> > > 7,292.29
> > >
> > > 03/14/2003, 11:03
> > > PnL
> > > Profit/loss of trade
> > > 00650345
> > > 20.21
> > > 7,312.50
> > >
> > > 03/17/2003, 17:02
> > > Intr
> > > Interest fee
> > > 00654274
> > > -30.00
> > > 7,282.50
> > >
> > > 03/17/2003, 17:02
> > > Intr
> > > Interest fee
> > > 00654273
> > > -30.00
> > > 7,252.50
> > >
> > > 03/18/2003, 17:04
> > > Intr
> > > Interest fee
> > > 00654274
> > > -30.00
> > > 7,222.50
> > >
> > > 03/18/2003, 17:04
> > > Intr
> > > Interest fee
> > > 00654273
> > > -30.00
> > > 7,192.50
> > >
> > > 03/19/2003, 01:06
> > > PnL
> > > Profit/loss of trade
> > > 00654273
> > > 6,900.00
> > > 14,092.50
> > >
> > > 03/19/2003, 01:07
> > > PnL
> > > Profit/loss of trade
> > > 00654274
> > > 3,588.73
> > > 17,681.23
> > >
> > > Total
> > > 17,681.23
> > >
> > >
> > >
> > >
> > >
> > > A C C O U N T S U M M A R Y
> > >
> > >
> > > Beginning Balance
> > > 0.00
> > >
> > > Comm
> > > Trading commission
> > > 0.00
> > >
> > > Intr
> > > Interest fee
> > > -265.00
> > >
> > > PnL
> > > Profit/loss of trade
> > > 12,946.23
> > >
> > > Depos
> > > Deposit
> > > 5,000.00
> > >
> > > Withd
> > > Withdrawal
> > > 0.00
> > >
> > >
> > > Ending Balance
> > > 17,681.23
> > >
> > >
> > > Floating Profit/Loss
> > > 0.00
> > >
> > >
> > > Equity
> > > 17,681.23
> > >
> > >
> > > Necessary margin
> > > 0.00
> > >
> > >
> > > Usable margin
> > > 17,681.23
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
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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
1232078.43
770221.02
561857.40
Net Profit
1132078.43
670221.02
461857.40
Net Profit %
1132.08 %
670.22 %
461.86 %
<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
%
94.97 %
101.63 %
48.45 %
Net Risk Adjusted Return
%
1192.04 %
659.48 %
953.17 %
Annual Return %
95.43 %
72.41 %
58.49 %
Risk Adjusted Return
%
100.49 %
71.25 %
120.72 %
All trades
661
443 (67.02 %)
218 (32.98 %)
<TH
title="(Profit of winners + Loss of losers)/(number of trades)"> Avg.
Profit/Loss
1712.68
1512.91
2118.61
<TH
title="(% Profit of winners + % Loss of losers)/(number of trades)"> Avg.
Profit/Loss %
2.15 %
1.32 %
3.83 %
Avg. Bars Held
7.93
6.76
10.29
Winners
400 (60.51 %)
237 (35.85 %)
163 (24.66 %)
Total Profit
2365620.28
1513036.20
852584.08
Avg. Profit
5914.05
6384.12
5230.58
Avg.
Profit %
7.65 %
7.54 %
7.80 %
Avg. Bars Held
8.01
7.27
9.09
Max. Consecutive
29
13
30
Largest win
37020.59
37020.59
21043.58
# bars in largest win
5
5
24
Losers
261 (39.49 %)
206 (31.16 %)
55 (8.32 %)
Total Loss
-1233541.85
-842815.17
-390726.68
Avg. Loss
-4726.21
-4091.34
-7104.12
Avg. Loss
%
-6.29 %
-5.85 %
-7.93 %
Avg. Bars Held
7.80
6.18
13.85
Max. Consecutive
14
14
6
Largest loss
-48256.20
-48256.20
-28527.13
# bars in largest loss
7
7
15
<TH
title="The largest peak to valley decline experienced in any single trade">Max.
trade drawdown
-40159.79
-40159.79
-22751.69
<TH
title="The largest peak to valley percentage decline experienced in any single trade">Max.
trade % drawdown
-44.21 %
-44.21 %
-37.98 %
<TH
title="The largest peak to valley decline experienced in portfolio equity">Max.
system drawdown
-199906.68
-145226.05
-119900.66
<TH
title="The largest peak to valley percentage decline experienced in portfolio equity">Max.
system % drawdown
-35.47 %
-61.82 %
-28.23 %
Recovery Factor
5.66
4.62
3.85
<TH
title="Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
2.69
1.17
2.07
<TH
title="Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
2.83
1.15
4.28
Profit Factor
1.92
1.80
2.18
Payoff Ratio
1.25
1.56
0.74
<TH
title="Standard error measures chopiness of equity line. The lower the better.">Standard
Error
89934.44
99999.11
58090.88
<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
3.06
1.13
2.79
<TH
title="Square root of sum of squared drawdowns divided by number of bars">Ulcer
Index
11.86
26.55
10.26
Ulcer
Performance Index
7.59
2.52
5.18
<TH
title="Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent.">Sharpe
Ratio of trades
1.22
0.75
2.08
K-Ratio
3.32
1.23
Attachment:
Description: " 3.02"
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