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You should get results simular to these on QQQ if you tweeked your
system with the correct modifications.
Annual system % return: 370.30%
Max. system % drawdown: -6.96%
excluding any commissions.
http://f1.grp.yahoofs.com/v1/IEfCPxdX0OpbpUTjQPfzgBBqNKnwrgshm232-
TnSzxYr8udn2TGaAKz8UG7VV6qHpdiEXNAM6P-hlTJebZHrjPTcN-0wgsM06qP-
mOii7tu7NQ/Trading%20System%20Results/QQQ%20Trading%20Results.doc
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:
> 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
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> >
> >
> >
> >
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