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Gary and others,
1) I made a 800 bars test for RUT-X (r2k index) from Oct 2001 with
your afl using tc2000 (below). It seem to coincide with shorter
period test posted earlier.
The report I get for the same RUT-X mainly gives me zeros (below),
although I have followed your settings.
Would you suggest how to fix it/test some other situation?
2) It also showed a drawdown of -26% on Oct 28, 2002, in a backtest::
RUT-X, Out, 13.05.2002, 499.7200, 28.10.2002, 369.0100,
-26.2%, 0.00, 0.0%, 0, 0, 0, 117, 0.00%
But there is no trade like that in the Scan (below), RUTVOL buys low
on Oct 25, 2002 (??)
I do not understand this backtest.
3) Your afl code has added a RUTVOL indicator to the man AB window.
In my case it shows a red horizontal bar at 100,000 (initial equity,
I guess, although in the Settings it is 10,000). Is it supposed to
color code the buy (green) and cash (yellow) regions, as suggested by
the legend? It does not show it in my case.
Many thanks, - dalengo
Ticker,Trade,Date,Close,
RUT-X Buy 15.10.2001 430.09
RUT-X Sell 28.11.2001 453.70
RUT-X Buy 10.12.2001 474.18
RUT-X Sell 26.12.2001 490.19
RUT-X Buy 12.03.2002 498.90
RUT-X Sell 13.03.2002 495.45
RUT-X Buy 30.04.2002 510.67
RUT-X Sell 10.05.2002 492.73
RUT-X Buy 25.10.2002 372.64
RUT-X Sell 11.12.2002 393.88
RUT-X Buy 21.03.2003 376.23
RUT-X Sell 29.07.2003 473.60
RUT-X Buy 29.08.2003 497.42
RUT-X Sell 26.09.2003 485.29
RUT-X Buy 13.10.2003 527.57
RUT-X Sell 24.10.2003 506.43
RUT-X Buy 04.11.2003 538.87
RUT-X Sell 18.11.2003 521.68
AmiBroker System Test Report Overall performance summary
Total net profit:0.00 Total commissions paid:0.00
Return on account:0.00 % Open position gain/loss0.00
Buy&Hold profit:16073.34 Bars (avg. days) in test:553 (803)
Buy&Hold % return:16.07% System to Buy&Hold index:-100.00%
Annual system % return:0.00% Annual B&H % return:7.01%
System drawdown:0.00 B&H drawdown:-23166.00
Max. system drawdown:0.00 B&H max. drawdown:-39778.00
Max. system % drawdown:0.00% B&H max. % drawdown:-33.47%
Max. trade drawdown:0.00
Max. trade % drawdown:0.00%
Trade drawdown:0.00
Total number of trades:9 Percent profitable:0.0%
Number winning trades:0 Number losing trades:9
Profit of winners:0.00 Loss of losers:0.00
Total # of bars in winners:0 Total # of bars in losers:219
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:0.00
Avg. # of bars in winners:N/A Avg. # bars in losers:24.3
Avg. commission paid in winner:N/A Avg. commission paid in
loser:0.00
Max consec. winners:0 Max consec. losers:1
Bars out of the market:334 Interest earned:0.00
Exposure:39.6% Risk adjusted ann. return:0.00%
Ratio avg win/avg loss:N/A Avg. trade (win & loss):0.00
Profit factor:N/A
Performance for RUT-X
Total net profit:0.00 Total commissions paid:0.00
Return on account:0.00 % Open position gain/loss0.00
Buy&Hold profit:16073.34 Bars (days) in test:553 (803)
Buy&Hold % return:16.07% System to Buy&Hold index:-100.00%
Annual system % return:0.00% Annual B&H % return:7.01%
System drawdown:0.00 B&H drawdown:-23166.00
Max. system drawdown:0.00 B&H max. drawdown:-39778.00
Max. system % drawdown:0.00% B&H max. % drawdown:-33.47%
Max. trade drawdown:0.00
Max. trade % drawdown:0.00%
Trade drawdown:0.00
Total number of trades:9 Percent profitable:0.0%
Number winning trades:0 Number losing trades:9
Profit of winners:0.00 Loss of losers:0.00
Total # of bars in winners:0 Total # of bars in losers:219
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:0.00
Avg. # of bars in winners:N/A Avg. # bars in losers:24.3
Avg. commission paid in winner:N/A Avg. commission paid in
loser:0.00
Max consec. winners:0 Max consec. losers:1
Bars out of the market:334 Interest earned:0.00
Exposure:39.6% Risk adjusted ann. return:0.00%
Ratio avg win/avg loss:N/A Avg. trade (win & loss):0.00
Profit factor:N/A
Trade list for RUT-X
TradeEntry dateExit dateNet ProfitEquity value
Out10.09.200116.10.20010.00100000.00
Long16.10.200129.11.20010.00100000.00
Out29.11.200111.12.20010.00100000.00
Long11.12.200127.12.20010.00100000.00
Out27.12.200113.03.20020.00100000.00
Long13.03.200214.03.20020.00100000.00
Out14.03.200201.05.20020.00100000.00
Long01.05.200213.05.20020.00100000.00
Out13.05.200228.10.20020.00100000.00
Long28.10.200212.12.20020.00100000.00
Out12.12.200224.03.20030.00100000.00
Long24.03.200330.07.20030.00100000.00
Out30.07.200302.09.20030.00100000.00
Long02.09.200329.09.20030.00100000.00
Out29.09.200314.10.20030.00100000.00
Long14.10.200327.10.20030.00100000.00
Out27.10.200305.11.20030.00100000.00
Long05.11.200319.11.20030.00100000.00
Out19.11.200321.11.20030.00100000.00
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