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Dimitris, thanks for posting this!
Like Dave, I couldn't get as good results as you
got--with the regular Backtester, Yahoo EOD, and 4.49.0. (While close to
you on drawdown and %winners, I got nowhere near 350% return (my Return on
Account was 158%).
I am attaching those results and my
settings file, in the hopes that you can suggest how I can more closely
replicate your return. (I suspect, like Dave, that it is a difference
in commissions; I use 0.5%.)
thanks
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 5:58
AM
Subject: RE: [amibroker] Re: any karnish
watchers out there? For Steve
<SPAN
class=698535513-24112003>One further related question: You mention that this
is "tuned to the bearish environment". Do you have an indicator that helps you
know quantitatively when we're no longer in a bearish
environment?
<SPAN
class=698535513-24112003>
<SPAN
class=698535513-24112003>Thanks,
<SPAN
class=698535513-24112003>
<SPAN
class=698535513-24112003>dave
<BLOCKQUOTE
>
<SPAN
class=841021313-24112003>Dimitris, thanks for the ideas, I'll check it out.
Besides a QQQ trading vehicle, I'm interested in the smoothing method you
chose, and also your trend qualifier.
<SPAN
class=841021313-24112003>
<SPAN
class=841021313-24112003>Just out of curiosity, what commission settings do
you use? I'm at 1%, which is my usual, but if that's too stringent in this
context, maybe that's why my initial results with this, and other things
I've tried, aren't as spectacular.
<SPAN
class=841021313-24112003>
<SPAN
class=841021313-24112003>I know some of what I'm about to ask has been
discussed here in general, but let me ask it in this specific context
anyway: There are a number of parameters here, either adjustable or built
into the code. If we wanted to optimize for better performance in
the current environment, what test period would you think would translate
well to the future? Going forward, when would you think you'd want to
optimize again? How would you suggest we distinguish a beautiful curve fit
over the test period from settings likely to perform well in the
future?
<SPAN
class=841021313-24112003>
<SPAN
class=841021313-24112003>Please don't take those questions as anything other
than what they are, a sincere desire to
learn.
<SPAN
class=841021313-24112003>
<SPAN
class=841021313-24112003>Dave
<BLOCKQUOTE
>Dave,It
would be interesting to make your own study on the STORSI.Here is an
example for QQQ.It was tuned to the bearish environement, the peak of
the Equity is very close to the change of the trend.// A
STORSI example for QQQ SetBarsRequired(1000,1000);function IIR2(
input, f0, f1, f2 ){ result[ 0 ] = input[ 0 ];result[ 1 ] =
input[ 1 ]; for( i = 100; i < BarCount; i++ )
{ result[ i ] = f0 * input[ i ] + f1 * result[ i - 1
] + f2 * result[ i - 2 ]; } return
result;}x=DEMA(RSI(10),10);t=20;C1=100*(x-LLV(x,t))/(HHV(x,t)-LLV(x,t));Plot(C1,"STORSI",1,1);K=0.4;RD=IIR2(
C1, 0.3, 1.6, -0.9);// SMOOTHED
STOCHRSIPlot(RD,"["+WriteVal(10*K,1.0)+"]",4+10*K,1);TREND=LinearReg(DEMA(C,20),30);//
TREND
QUALIFIERPlot(TREND,"TREND",4,styleOwnScale);BLEVEL=Optimize("BL",-19,-30,-10,1);Plot(BLEVEL,"BLEVEL",1,1);SLEVEL=Optimize("SL",49,40,60,1);Plot(SLEVEL,"SLEVEL",1,1);Buy=Cross(RD,BLEVEL);Sell=Cross(RD,SLEVEL);Short=Cross(RD,SLEVEL)
;Cover=Buy;It is a good point to start and tune it to the present
conditions, add trend characteristics [I have added a TREND function,
you may select yours] etc.From June2000 till now, no losing
combinations, affordable drawdowns [less than 40%] and very good
behavior when the bears define the game...Better than +350%,
winners/losers ~2/1, not bad at all for QQQ.Of course it is not the
only QQQ vehicle, it is just an example to begin with.Dimitris
TsokakisSend
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Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
6/1/2000 00:00:00 - 11/21/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
100
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Close
Sell price:
Close
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Close
Cover price:
Close
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
Overall performance summary
Total net profit:
15860.53
Total commissions paid:
11131.66
Return on account:
158.61 %
Open position gain/loss
82.39
Buy&Hold profit:
-5374.80
Bars (avg. days) in test:
874 (1269)
Buy&Hold % return:
-53.75%
System to Buy&Hold index:
395.09%
Annual system % return:
31.43%
Annual B&H % return:
-19.89%
System drawdown:
-1112.00
B&H drawdown:
-6761.00
Max. system drawdown:
-9884.00
B&H max. drawdown:
-8376.00
Max. system % drawdown:
-40.97%
B&H max. % drawdown:
-70.69%
Max. trade drawdown:
-9884.00
Max. trade % drawdown:
-39.04%
Trade drawdown:
-7164.00
Total number of trades:
67
Percent profitable:
65.7%
Number winning trades:
44
Number losing trades:
23
Profit of winners:
40514.44
Loss of losers:
-24856.11
Total # of bars in winners:
508
Total # of bars in losers:
400
Commissions paid in winners:
7113.56
Commissions paid in losers:
4018.10
Largest winning trade:
3668.24
Largest losing trade:
-5471.41
# of bars in largest winner:
18
# bars in largest loser:
36
Commission paid in largest winner:
131.76
Commission paid in largest loser:
333.41
Average winning trade:
920.78
Average losing trade:
-1080.70
Avg. # of bars in winners:
11.5
Avg. # bars in losers:
17.4
Avg. commission paid in winner:
161.67
Avg. commission paid in loser:
174.70
Max consec. winners:
5
Max consec. losers:
3
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
31.46%
Ratio avg win/avg loss:
0.85
Avg. trade (win & loss):
233.71
Profit factor:
1.63
Trade list for QQQ
Trade
Entry date
Entry price
Exit date
Exit price
Net Profit
Equity value
Out
6/1/2000
87.37
6/2/2000
93.62
0.00
10000.00
Long
6/2/2000
93.62
6/19/2000
98.00
342.19
10342.19
Short
6/19/2000
98.00
7/7/2000
95.94
109.03
10451.22
Long
7/7/2000
95.94
7/11/2000
95.00
-189.47
10261.75
Short
7/11/2000
95.00
8/3/2000
90.44
363.28
10625.03
Long
8/3/2000
90.44
8/8/2000
94.12
275.72
10900.75
Short
8/8/2000
94.12
9/20/2000
94.62
-144.37
10756.38
Long
9/20/2000
94.62
9/22/2000
92.94
-261.78
10494.60
Short
9/22/2000
92.94
10/4/2000
85.62
642.72
11137.32
Long
10/4/2000
85.62
10/19/2000
85.06
-141.34
10995.98
Short
10/19/2000
85.06
11/21/2000
69.75
1453.59
12449.57
Long
11/21/2000
69.75
11/24/2000
70.44
-1.09
12448.48
Short
11/24/2000
70.44
12/7/2000
66.50
325.53
12774.01
Long
12/7/2000
66.50
12/8/2000
68.00
82.75
12856.76
Short
12/8/2000
68.00
12/27/2000
61.56
579.22
13435.98
Long
12/27/2000
61.56
12/29/2000
58.38
-755.94
12680.04
Short
12/29/2000
58.38
2/15/2001
58.40
-120.78
12559.26
Long
2/15/2001
58.40
2/20/2001
52.99
-1193.39
11365.87
Short
2/20/2001
52.99
3/5/2001
47.55
987.46
12353.33
Long
3/5/2001
47.55
3/8/2001
48.50
93.95
12447.28
Short
3/8/2001
48.50
4/10/2001
39.80
1651.70
14098.98
Long
4/10/2001
39.80
4/11/2001
41.00
238.80
14337.78
Short
4/11/2001
41.00
5/18/2001
48.04
-2245.56
12092.22
Long
5/18/2001
48.04
5/22/2001
50.90
473.06
12565.28
Short
5/22/2001
50.90
6/8/2001
47.35
611.75
13177.03
Long
6/8/2001
47.35
6/11/2001
46.05
-353.40
12823.63
Short
6/11/2001
46.05
6/25/2001
43.36
448.59
13272.22
Long
6/25/2001
43.36
6/26/2001
43.51
-85.31
13186.91
Short
6/26/2001
43.51
7/31/2001
41.76
397.10
13584.01
Long
7/31/2001
41.76
8/2/2001
43.91
516.50
14100.50
Short
8/2/2001
43.91
8/20/2001
38.28
1565.72
15666.22
Long
8/20/2001
38.28
8/22/2001
37.69
-387.94
15278.28
Short
8/22/2001
37.69
9/21/2001
28.19
3668.24
18946.52
Long
9/21/2001
28.19
10/4/2001
31.30
1687.53
20634.05
Short
10/4/2001
31.30
12/24/2001
39.32
-5023.86
15610.19
Long
12/24/2001
39.32
1/9/2002
41.11
416.36
16026.54
Short
1/9/2002
41.11
1/28/2002
39.05
497.76
16524.30
Long
1/28/2002
39.05
1/30/2002
38.27
-466.64
16057.66
Short
1/30/2002
38.27
2/12/2002
36.33
626.80
16684.46
Long
2/12/2002
36.33
2/14/2002
36.88
73.58
16758.04
Short
2/14/2002
36.88
2/28/2002
33.78
1098.68
17856.72
Long
2/28/2002
33.78
3/4/2002
37.15
1507.68
19364.40
Short
3/4/2002
37.15
4/5/2002
34.37
1211.20
20575.60
Long
4/5/2002
34.37
4/19/2002
34.46
-127.07
20448.53
Short
4/19/2002
34.46
5/7/2002
28.70
2722.10
23170.63
Long
5/7/2002
28.70
5/9/2002
30.95
1561.40
24732.03
Short
5/9/2002
30.95
6/14/2002
27.62
2126.00
26858.03
Long
6/14/2002
27.62
6/20/2002
26.46
-1287.36
25570.67
Short
6/20/2002
26.46
7/1/2002
24.85
1218.10
26788.77
Long
7/1/2002
24.85
7/8/2002
25.38
278.85
27067.62
Short
7/8/2002
25.38
9/12/2002
22.81
2329.05
29396.67
Long
9/12/2002
22.81
9/16/2002
22.66
-452.82
28943.85
Short
9/16/2002
22.66
9/27/2002
21.31
1356.18
30300.03
Long
9/27/2002
21.31
10/1/2002
21.98
634.97
30935.00
Short
10/1/2002
21.98
11/19/2002
25.65
-5471.41
25463.59
Long
11/19/2002
25.65
11/21/2002
27.73
1631.79
27095.38
Short
11/21/2002
27.73
12/11/2002
25.72
1568.48
28663.86
Long
12/11/2002
25.72
1/7/2003
26.65
734.97
29398.82
Short
1/7/2003
26.65
4/21/2003
26.92
-537.85
28860.97
Long
4/21/2003
26.92
4/23/2003
27.63
437.25
29298.22
Short
4/23/2003
27.63
5/28/2003
29.19
-1844.10
27454.12
Long
5/28/2003
29.19
5/30/2003
29.79
274.59
27728.71
Short
5/30/2003
29.79
7/2/2003
30.97
-1335.42
26393.29
Long
7/2/2003
30.97
7/7/2003
31.89
484.56
26877.85
Short
7/7/2003
31.89
8/12/2003
30.86
573.00
27450.85
Long
8/12/2003
30.86
8/18/2003
31.97
636.68
28087.53
Short
8/18/2003
31.97
9/23/2003
34.52
-2305.96
25781.57
Long
9/23/2003
34.52
10/9/2003
34.69
-123.24
25658.33
Open Short
10/9/2003
34.69
11/21/2003
34.23
202.19
25860.53
Attachment:
DT_StochRSI.ABS
Attachment:
Description: "Description: Binary data"
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