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I have posted this QQQ system
before...
from June 2000 to November,
21,2003....
Results:
583.82 % Return on Account
Drawdown % = 32 %
Settings:
all stops disabled
delay 1
buy , sell , short , cover : Open
commission: .5 %
//StochRSI on the QQQ's
StochRsi=EMA<FONT
size=2>((RSI<FONT
size=2>(8<FONT
size=2>)-LLV(<FONT
color=#0000ff size=2>RSI(<FONT color=#ff00ff
size=2>8),<FONT color=#ff00ff
size=2>8))/(<FONT color=#0000ff
size=2>HHV(RSI<FONT
size=2>(8<FONT
size=2>),8<FONT
size=2>)-LLV(<FONT
color=#0000ff size=2>RSI(<FONT color=#ff00ff
size=2>8),<FONT color=#ff00ff
size=2>8)),<FONT color=#ff00ff
size=2>3)*<FONT color=#ff00ff
size=2>100;
Buy=<FONT color=#0000ff
size=2>Cross(<FONT color=#ff00ff
size=2>17,StochRsi) AND <FONT color=#0000ff
size=2>ADX(<FONT color=#ff00ff
size=2>14) > <FONT color=#ff00ff
size=2>20 AND <FONT color=#0000ff
size=2>RSI(<FONT color=#ff00ff
size=2>4)<<FONT color=#ff00ff
size=2>50;
Sell=Cross<FONT
size=2>(StochRsi,83<FONT
size=2>)AND ADX<FONT
size=2>(14) >
13 AND <FONT
color=#0000ff size=2>RSI(<FONT color=#ff00ff
size=2>4)><FONT color=#ff00ff
size=2>50;
Short=Sell;Cover=Buy;
Filter=1<FONT
size=2>;
AddColumn(Buy,<FONT color=#ff00ff
size=2>"buy");
Plot(Stochrsi,<FONT color=#ff00ff
size=2>"",<FONT color=#ff00ff
size=2>4,<FONT color=#ff00ff
size=2>1);
Plot(<FONT color=#ff00ff
size=2>17,<FONT color=#ff00ff
size=2>"",<FONT color=#ff00ff
size=2>5,<FONT color=#ff00ff
size=2>1);
Plot(<FONT color=#ff00ff
size=2>83,<FONT color=#ff00ff
size=2>"",<FONT color=#ff00ff
size=2>5,<FONT color=#ff00ff
size=2>1);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Paul Binnell
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 8:22
PM
Subject: RE: [amibroker] Re: any karnish
watchers out there? For Steve
I've been reading this thread also and at this point with the settings
Ihave read I can only get it to 172.70% for the date June 1 2000
toNovember 21, 2003. Maybe Dimitris or John could attach there
report forthe afl so I can compare it to mine. That way I can check
dates andprices to ensure that there is no discrepancy there. I have
attached myreport for this afl.ThanxPaul-----Original
Message-----From: john gibb [mailto:jgibb1@xxxxxxxxxxxxx] Sent: 25
November 2003 01:50To: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: any karnish watchers out there? For SteveHi
Dimitris,Those settings increased my Return on Account to 295%...now i
am only 55percentage 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 AMSubject: [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> >
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Yahoo! Terms of> Service.>>>> Send BUG
REPORTS to bugs@xxxxxxxxxxxxx> Send SUGGESTIONS to
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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 - 11/24/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
0
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:
2.00
Value:
2.00
Exit at stop?
yes
Exit at stop?
yes
Trailing stop:
disabled
Value:
2.00
Exit at stop?
yes
Formula//StochRSI on the QQQ's
StochRsi=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI(8),8)),3)*100;
Buy=Cross(17,StochRsi) AND ADX(14) > 20 AND RSI(4)<50;
Sell=Cross(StochRsi,83)AND ADX(14) > 13 AND RSI(4)>50;
Short=Sell;Cover=Buy;
Filter=1;
AddColumn(Buy,"buy");
Plot(Stochrsi,"",4,1);
Plot(17,"",5,1);
Plot(83,"",5,1);
Overall performance summary
Total net profit:
58381.99
Total commissions paid:
23259.96
Return on account:
583.82 %
Open position gain/loss
-2892.78
Buy&Hold profit:
-6039.19
Bars (avg. days) in test:
871 (1269)
Buy&Hold % return:
-60.39%
System to Buy&Hold index:
1066.72%
Annual system % return:
73.84%
Annual B&H % return:
-23.39%
System drawdown:
-1707.54
B&H drawdown:
-7642.08
Max. system drawdown:
-22411.54
B&H max. drawdown:
-9782.98
Max. system % drawdown:
-32.35%
B&H max. % drawdown:
-80.51%
Max. trade drawdown:
-16639.50
Max. trade % drawdown:
-32.35%
Trade drawdown:
-10870.01
Total number of trades:
55
Percent profitable:
65.5%
Number winning trades:
36
Number losing trades:
19
Profit of winners:
95046.59
Loss of losers:
-34124.67
Total # of bars in winners:
546
Total # of bars in losers:
373
Commissions paid in winners:
13475.60
Commissions paid in losers:
9784.36
Largest winning trade:
10142.17
Largest losing trade:
-6806.40
# of bars in largest winner:
4
# bars in largest loser:
22
Commission paid in largest winner:
707.16
Commission paid in largest loser:
772.44
Average winning trade:
2640.18
Average losing trade:
-1796.04
Avg. # of bars in winners:
15.2
Avg. # bars in losers:
19.6
Avg. commission paid in winner:
374.32
Avg. commission paid in loser:
514.97
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:
73.93%
Ratio avg win/avg loss:
1.47
Avg. trade (win & loss):
1107.67
Profit factor:
2.79
Performance for QQQ
Total net profit:
58381.99
Total commissions paid:
23259.96
Return on account:
583.82 %
Open position gain/loss
-2892.78
Buy&Hold profit:
-6039.19
Bars (days) in test:
871 (1269)
Buy&Hold % return:
-60.39%
System to Buy&Hold index:
1066.72%
Annual system % return:
73.84%
Annual B&H % return:
-23.39%
System drawdown:
-1707.54
B&H drawdown:
-7642.08
Max. system drawdown:
-22411.54
B&H max. drawdown:
-9782.98
Max. system % drawdown:
-32.35%
B&H max. % drawdown:
-80.51%
Max. trade drawdown:
-16639.50
Max. trade % drawdown:
-32.35%
Trade drawdown:
-10870.01
Total number of trades:
55
Percent profitable:
65.5%
Number winning trades:
36
Number losing trades:
19
Profit of winners:
95046.59
Loss of losers:
-34124.67
Total # of bars in winners:
546
Total # of bars in losers:
373
Commissions paid in winners:
13475.60
Commissions paid in losers:
9784.36
Largest winning trade:
10142.17
Largest losing trade:
-6806.40
# of bars in largest winner:
4
# bars in largest loser:
22
Commission paid in largest winner:
707.16
Commission paid in largest loser:
772.44
Average winning trade:
2640.18
Average losing trade:
-1796.04
Avg. # of bars in winners:
15.2
Avg. # bars in losers:
19.6
Avg. commission paid in winner:
374.32
Avg. commission paid in loser:
514.97
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:
73.93%
Ratio avg win/avg loss:
1.47
Avg. trade (win & loss):
1107.67
Profit factor:
2.79
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