|
PureBytes Links
Trading Reference Links
|
John,
I used buy/sell/short/cover at +1 Open, commission 0.25%, all stops
disabled.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> 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
> ----- Original Message -----
> From: Dave Merrill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, November 24, 2003 5:58 AM
> Subject: RE: [amibroker] Re: any karnish watchers out there? For
Steve
>
>
> 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?
>
> Thanks,
>
> dave
> 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.
>
> 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.
>
> 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?
>
> Please don't take those questions as anything other than what
they are, a sincere desire to learn.
>
> Dave
> 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 STOCHRSI
> Plot(RD,"["+WriteVal(10*K,1.0)+"]",4+10*K,1);
> TREND=LinearReg(DEMA(C,20),30);// TREND QUALIFIER
> Plot(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 Tsokakis
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|