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Thanx
Paul
-----Original Message-----
From: john gibb [mailto:jgibb1@xxxxxxxxxxxxx]
Sent: 25 November 2003 01:50
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: any karnish watchers out there? For Steve
Hi Dimitris,
Those settings increased my Return on Account to 295%...now i am only 55
percentage points from your total.
May I assume you were citing Return on Account when you mentioned +350%?
My results are the same with both MSN and Yahoo EOD data.
Any other thoughts on why we are still so different?
thanks again,
-john
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, November 24, 2003 9:51 AM
Subject: [amibroker] Re: any karnish watchers out there? For Steve
> 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.
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
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> page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
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>
>
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Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.25 %
Annual interest rate:
0.00%
Range:
01/06/2000 00:00:00 - 21/11/2003
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:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
10.00
Value:
5.00
Exit at stop?
yes
Exit at stop?
yes
Trailing stop:
disabled
Value:
20.00
Exit at stop?
yes
Formula// 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;
Overall performance summary
Total net profit:
17270.23
Total commissions paid:
6180.27
Return on account:
172.70 %
Open position gain/loss
461.72
Buy&Hold profit:
-5140.57
Bars (avg. days) in test:
874 (1269)
Buy&Hold % return:
-51.41%
System to Buy&Hold index:
435.96%
Annual system % return:
33.45%
Annual B&H % return:
-18.74%
System drawdown:
-1773.22
B&H drawdown:
-6542.75
Max. system drawdown:
-13346.82
B&H max. drawdown:
-8375.56
Max. system % drawdown:
-41.24%
B&H max. % drawdown:
-68.93%
Max. trade drawdown:
-12002.00
Max. trade % drawdown:
-40.72%
Trade drawdown:
-10047.00
Total number of trades:
67
Percent profitable:
67.2%
Number winning trades:
45
Number losing trades:
22
Profit of winners:
45523.19
Loss of losers:
-28774.32
Total # of bars in winners:
544
Total # of bars in losers:
364
Commissions paid in winners:
4064.80
Commissions paid in losers:
2115.46
Largest winning trade:
3655.92
Largest losing trade:
-8511.52
# of bars in largest winner:
26
# bars in largest loser:
36
Commission paid in largest winner:
116.88
Commission paid in largest loser:
198.52
Average winning trade:
1011.63
Average losing trade:
-1307.92
Avg. # of bars in winners:
12.1
Avg. # bars in losers:
16.5
Avg. commission paid in winner:
90.33
Avg. commission paid in loser:
96.16
Max consec. winners:
7
Max consec. losers:
3
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
33.49%
Ratio avg win/avg loss:
0.77
Avg. trade (win & loss):
249.98
Profit factor:
1.58
Performance for QQQ
Total net profit:
17270.23
Total commissions paid:
6180.27
Return on account:
172.70 %
Open position gain/loss
461.72
Buy&Hold profit:
-5140.57
Bars (days) in test:
874 (1269)
Buy&Hold % return:
-51.41%
System to Buy&Hold index:
435.96%
Annual system % return:
33.45%
Annual B&H % return:
-18.74%
System drawdown:
-1773.22
B&H drawdown:
-6542.75
Max. system drawdown:
-13346.82
B&H max. drawdown:
-8375.56
Max. system % drawdown:
-41.24%
B&H max. % drawdown:
-68.93%
Max. trade drawdown:
-12002.00
Max. trade % drawdown:
-40.72%
Trade drawdown:
-10047.00
Total number of trades:
67
Percent profitable:
67.2%
Number winning trades:
45
Number losing trades:
22
Profit of winners:
45523.19
Loss of losers:
-28774.32
Total # of bars in winners:
544
Total # of bars in losers:
364
Commissions paid in winners:
4064.80
Commissions paid in losers:
2115.46
Largest winning trade:
3655.92
Largest losing trade:
-8511.52
# of bars in largest winner:
26
# bars in largest loser:
36
Commission paid in largest winner:
116.88
Commission paid in largest loser:
198.52
Average winning trade:
1011.63
Average losing trade:
-1307.92
Avg. # of bars in winners:
12.1
Avg. # bars in losers:
16.5
Avg. commission paid in winner:
90.33
Avg. commission paid in loser:
96.16
Max consec. winners:
7
Max consec. losers:
3
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
33.49%
Ratio avg win/avg loss:
0.77
Avg. trade (win & loss):
249.98
Profit factor:
1.58
Trade list for QQQ
Trade
Entry date
Entry price
Exit date
Exit price
Position size
Net Profit
Equity value
Out
01/06/2000
85.19
02/06/2000
92.63
0.00
0.00
10000.00
Long
02/06/2000
92.63
19/06/2000
94.01
9262.50
91.62
10091.62
Short
19/06/2000
94.01
07/07/2000
95.00
9400.78
-146.47
9945.15
Long
07/07/2000
95.00
11/07/2000
94.06
9500.00
-141.02
9804.14
Short
11/07/2000
94.06
04/08/2000
92.00
9406.25
159.73
9963.87
Long
04/08/2000
92.00
08/08/2000
92.06
9200.00
-39.77
9924.11
Short
08/08/2000
92.06
20/09/2000
93.38
9206.25
-177.61
9746.50
Long
20/09/2000
93.38
22/09/2000
87.63
9337.50
-620.25
9126.25
Short
22/09/2000
87.63
05/10/2000
85.25
8762.50
194.28
9320.53
Long
05/10/2000
85.25
19/10/2000
82.38
8525.00
-328.63
8991.90
Short
19/10/2000
82.38
21/11/2000
70.19
8238.28
1181.39
10173.29
Long
21/11/2000
70.19
22/11/2000
68.44
7018.75
-209.66
9963.63
Short
22/11/2000
68.44
07/12/2000
67.00
6843.75
109.89
10073.52
Long
07/12/2000
67.00
08/12/2000
71.09
6700.00
374.85
10448.38
Short
08/12/2000
71.09
27/12/2000
59.69
7109.38
1107.93
11556.30
Long
27/12/2000
59.69
29/12/2000
61.56
5968.75
157.19
11713.49
Short
29/12/2000
61.56
15/02/2001
58.80
6156.25
246.47
11959.96
Long
15/02/2001
58.80
20/02/2001
55.73
11759.38
-669.77
11290.20
Short
20/02/2001
55.73
05/03/2001
47.50
11146.88
1595.26
12885.46
Long
05/03/2001
47.50
08/03/2001
49.34
9500.00
320.33
13205.79
Short
08/03/2001
49.34
10/04/2001
37.90
9868.75
2245.44
15451.23
Long
10/04/2001
37.90
11/04/2001
42.16
15159.38
1623.07
17074.30
Short
11/04/2001
42.16
18/05/2001
47.63
16862.50
-2280.41
14793.88
Long
18/05/2001
47.63
22/05/2001
51.30
14289.84
1027.36
15821.24
Short
22/05/2001
51.30
08/06/2001
48.72
15391.41
700.76
16522.01
Long
08/06/2001
48.72
11/06/2001
46.90
14615.63
-617.34
15904.67
Short
11/06/2001
46.90
25/06/2001
43.61
14070.00
919.31
16823.97
Long
25/06/2001
43.61
26/06/2001
42.54
13082.81
-385.71
16438.27
Short
26/06/2001
42.54
31/07/2001
41.84
12761.72
147.66
16585.92
Long
31/07/2001
41.84
02/08/2001
43.80
12550.78
524.06
17109.98
Short
02/08/2001
43.80
20/08/2001
37.84
13139.06
1724.71
18834.69
Long
20/08/2001
37.84
22/08/2001
37.45
15137.50
-234.66
18600.02
Short
22/08/2001
37.45
20/09/2001
29.30
14978.13
3192.63
21792.66
Long
20/09/2001
29.30
04/10/2001
31.65
20507.81
1539.44
23332.10
Short
04/10/2001
31.65
24/12/2001
39.54
22153.91
-5648.02
17684.08
Long
24/12/2001
39.54
09/01/2002
42.04
15815.63
918.42
18602.50
Short
09/01/2002
42.04
28/01/2002
39.15
16815.63
1075.06
19677.56
Long
28/01/2002
39.15
30/01/2002
38.00
19574.22
-670.65
19006.91
Short
30/01/2002
38.00
12/02/2002
36.31
15200.00
600.89
19607.80
Long
12/02/2002
36.31
14/02/2002
37.15
18156.00
327.17
19934.97
Short
14/02/2002
37.15
28/02/2002
34.51
18575.00
1228.42
21163.39
Long
28/02/2002
34.51
04/03/2002
35.70
20708.40
607.48
21770.87
Short
04/03/2002
35.70
05/04/2002
35.01
21421.20
309.13
22080.00
Long
05/04/2002
35.01
19/04/2002
35.06
21006.00
-76.30
22003.70
Short
19/04/2002
35.06
07/05/2002
29.27
21034.80
3376.31
25380.01
Long
07/05/2002
29.27
09/05/2002
31.58
23416.00
1724.70
27104.71
Short
09/05/2002
31.58
14/06/2002
26.86
25262.40
3655.92
30760.63
Long
14/06/2002
26.86
20/06/2002
27.27
29548.20
299.94
31060.57
Short
20/06/2002
27.27
01/07/2002
25.98
29997.00
1274.77
32335.33
Long
01/07/2002
25.98
08/07/2002
26.20
31173.60
109.87
32445.20
Short
08/07/2002
26.20
12/09/2002
23.24
31440.00
3407.29
35852.49
Long
12/09/2002
23.24
16/09/2002
22.86
34855.50
-738.36
35114.13
Short
16/09/2002
22.86
27/09/2002
21.55
34290.00
1798.46
36912.59
Long
27/09/2002
21.55
01/10/2002
20.91
36635.00
-1268.45
35644.14
Short
01/10/2002
20.91
19/11/2002
25.80
35547.00
-8511.52
27132.62
Long
19/11/2002
25.80
21/11/2002
26.93
25800.00
998.18
28130.80
Short
21/11/2002
26.93
11/12/2002
25.44
26930.00
1359.07
29489.87
Long
11/12/2002
25.44
07/01/2003
26.41
27984.00
924.41
30414.29
Short
07/01/2003
26.41
21/04/2003
26.95
29051.00
-738.53
29675.75
Long
21/04/2003
26.95
23/04/2003
27.50
26948.00
415.88
30091.63
Short
23/04/2003
27.50
28/05/2003
29.16
27500.00
-1801.65
28289.98
Long
28/05/2003
29.16
30/05/2003
29.53
26244.00
200.95
28490.93
Short
30/05/2003
29.53
02/07/2003
30.41
26577.00
-928.67
27562.26
Long
02/07/2003
30.41
07/07/2003
30.97
27370.80
364.09
27926.35
Short
07/07/2003
30.97
12/08/2003
30.51
24776.00
245.04
28171.39
Long
12/08/2003
30.51
18/08/2003
31.31
27459.00
580.90
28752.29
Short
18/08/2003
31.31
23/09/2003
33.97
28179.00
-2540.88
26211.41
Long
23/09/2003
33.97
09/10/2003
34.91
23779.00
537.46
26748.87
Open Short
09/10/2003
34.91
21/11/2003
34.08
24437.00
521.36
27270.23
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