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Hi Paul,
I have attached my HTML report file in which I
notice that I have one more winning and one less losing trade than
you.
In addition, apparently due to different data, we
have different trades.
I started to go throught the list and marked in red
on my list below some discrepancies. Tomorrow I will complete the list and
double check the Open on the days in question with a couple of different
data sources.
BTW, what data source did you use?
<SPAN
>Trade<SPAN
> Entry
date<SPAN
>
Entry price<SPAN
>
Exit date Exit price<SPAN
> Net Profit<SPAN
> Equity
value<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office"
/>
<FONT
face="Times New Roman">Out<SPAN
>
<?xml:namespace prefix = st1 ns =
"urn:schemas-microsoft-com:office:smarttags" /><st1:date Month="6" Day="1"
Year="2000">6/1/2000<SPAN
><SPAN
>
85.19<SPAN
>
<SPAN
>6/2/2000<SPAN
> 92.63<SPAN
> 0.00<SPAN
> 10000.00
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
><FONT
color=#ff0000>6/2/2000<SPAN
><SPAN
>
92.63
<SPAN
>6/19/2000<SPAN
><SPAN
>
94.02<SPAN
> 92.40<SPAN
>
10092.40
<FONT
face="Times New Roman">Short<SPAN
> <FONT
color=#ff0000> <st1:date Month="6" Day="19"
Year="2000"><FONT
color=#ff0000>6/19/2000<SPAN
><SPAN
>
94.02<SPAN
>
<SPAN
>7/7/2000<SPAN
><SPAN
>
95.00
-145.69
9946.71
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
>7/7/2000<SPAN
><SPAN
>
95.00
<SPAN
>7/11/2000<SPAN
><SPAN
>
94.06
-141.02
9805.69
<FONT
face="Times New Roman">Short<SPAN
>
<SPAN
>7/11/2000<SPAN
><SPAN
>
94.06
<SPAN
>8/3/2000<SPAN
><SPAN
> 84.25<SPAN
> 936.67<SPAN
>
10742.36
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
>8/3/2000<SPAN
><SPAN
>
84.25
<SPAN
>8/8/2000<SPAN
><SPAN
> 92.06<SPAN
> 737.17<SPAN
>
11479.53
<FONT
face="Times New Roman">Short<SPAN
>
<SPAN
>8/8/2000<SPAN
><SPAN
>
92.06
<SPAN
>9/20/2000<SPAN
><SPAN
>
93.38
-177.61
11301.93
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
>9/20/2000<SPAN
><SPAN
>
93.38
<SPAN
>9/22/2000<SPAN
><SPAN
>
87.63
-620.25
10681.68
<FONT
face="Times New Roman">Short<SPAN
>
<SPAN
><FONT
color=#ff0000>9/22/2000<SPAN
><SPAN
>
87.63
<SPAN
>10/4/2000<SPAN
><SPAN
>
83.50<SPAN
> 369.72<SPAN
>
11051.39
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
><FONT
color=#ff0000>10/4/2000<SPAN
><SPAN
>
83.50<SPAN
>
<SPAN
>10/19/2000<SPAN
><SPAN
>
82.39
-152.41
10898.98
<FONT
face="Times New Roman"><SPAN
>
BTW, does
anybody know of a good 'diff' utility for Windows? I couldn't get Word's
Tools | Compare and Merge feature to work here.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>-john
<FONT face=Arial
size=2>
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Paul Binnell
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 5:22
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> >
-----------------------------------------> > 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>
-----------------------------------------> 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 >
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REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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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:
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:
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:
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:
29510.26
Total commissions paid:
8521.78
Return on account:
295.10 %
Open position gain/loss
725.56
Buy&Hold profit:
-5140.57
Bars (avg. days) in test:
874 (1269)
Buy&Hold % return:
-51.41%
System to Buy&Hold index:
674.07%
Annual system % return:
48.47%
Annual B&H % return:
-18.74%
System drawdown:
-1012.50
B&H drawdown:
-6542.75
Max. system drawdown:
-18932.27
B&H max. drawdown:
-8375.60
Max. system % drawdown:
-41.35%
B&H max. % drawdown:
-68.93%
Max. trade drawdown:
-16944.00
Max. trade % drawdown:
-40.83%
Trade drawdown:
-14184.00
Total number of trades:
67
Percent profitable:
68.7%
Number winning trades:
46
Number losing trades:
21
Profit of winners:
67562.62
Loss of losers:
-38871.64
Total # of bars in winners:
545
Total # of bars in losers:
363
Commissions paid in winners:
5725.77
Commissions paid in losers:
2796.01
Largest winning trade:
5926.71
Largest losing trade:
-12016.26
# of bars in largest winner:
18
# bars in largest loser:
36
Commission paid in largest winner:
97.29
Commission paid in largest loser:
280.26
Average winning trade:
1468.75
Average losing trade:
-1851.03
Avg. # of bars in winners:
11.8
Avg. # bars in losers:
17.3
Avg. commission paid in winner:
124.47
Avg. commission paid in loser:
133.14
Max consec. winners:
7
Max consec. losers:
2
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
48.52%
Ratio avg win/avg loss:
0.79
Avg. trade (win & loss):
428.22
Profit factor:
1.74
Trade list for QQQ
Trade
Entry date
Entry price
Exit date
Exit price
Net Profit
Equity value
Out
6/1/2000
85.19
6/2/2000
92.63
0.00
10000.00
Long
6/2/2000
92.63
6/19/2000
94.02
92.40
10092.40
Short
6/19/2000
94.02
7/7/2000
95.00
-145.69
9946.71
Long
7/7/2000
95.00
7/11/2000
94.06
-141.02
9805.69
Short
7/11/2000
94.06
8/3/2000
84.25
936.67
10742.36
Long
8/3/2000
84.25
8/8/2000
92.06
737.17
11479.53
Short
8/8/2000
92.06
9/20/2000
93.38
-177.61
11301.93
Long
9/20/2000
93.38
9/22/2000
87.63
-620.25
10681.68
Short
9/22/2000
87.63
10/4/2000
83.50
369.72
11051.39
Long
10/4/2000
83.50
10/19/2000
82.39
-152.41
10898.98
Short
10/19/2000
82.39
11/21/2000
70.19
1182.17
12081.15
Long
11/21/2000
70.19
11/24/2000
68.38
-215.89
11865.26
Short
11/24/2000
68.38
12/7/2000
67.00
103.66
11968.91
Long
12/7/2000
67.00
12/8/2000
71.09
374.86
12343.77
Short
12/8/2000
71.09
12/27/2000
59.69
1107.94
13451.70
Long
12/27/2000
59.69
12/29/2000
61.56
314.38
13766.08
Short
12/29/2000
61.56
2/15/2001
58.80
492.32
14258.40
Long
2/15/2001
58.80
2/20/2001
55.74
-669.27
13589.13
Short
2/20/2001
55.74
3/5/2001
47.50
1596.38
15185.51
Long
3/5/2001
47.50
3/8/2001
49.35
482.36
15667.87
Short
3/8/2001
49.35
4/10/2001
37.90
3369.56
19037.43
Long
4/10/2001
37.90
4/11/2001
42.16
2029.92
21067.36
Short
4/11/2001
42.16
5/18/2001
47.64
-2281.80
18785.56
Long
5/18/2001
47.64
5/22/2001
51.31
1026.79
19812.35
Short
5/22/2001
51.31
6/8/2001
48.72
701.98
20514.32
Long
6/8/2001
48.72
6/11/2001
46.90
-823.62
19690.70
Short
6/11/2001
46.90
6/25/2001
43.61
1225.49
20916.19
Long
6/25/2001
43.61
6/26/2001
42.54
-514.15
20402.04
Short
6/26/2001
42.54
7/31/2001
41.84
195.62
20597.66
Long
7/31/2001
41.84
8/2/2001
43.79
694.37
21292.03
Short
8/2/2001
43.79
8/20/2001
37.85
2294.36
23586.40
Long
8/20/2001
37.85
8/22/2001
37.45
-352.95
23233.45
Short
8/22/2001
37.45
9/21/2001
27.41
5926.71
29160.16
Long
9/21/2001
27.41
10/4/2001
31.65
4092.35
33252.51
Short
10/4/2001
31.65
12/24/2001
39.54
-8067.98
25184.53
Long
12/24/2001
39.54
1/9/2002
42.04
1377.63
26562.16
Short
1/9/2002
42.04
1/28/2002
39.15
1612.21
28174.38
Long
1/28/2002
39.15
1/30/2002
38.00
-940.01
27234.36
Short
1/30/2002
38.00
2/12/2002
36.31
1052.96
28287.32
Long
2/12/2002
36.31
2/14/2002
37.15
459.45
28746.76
Short
2/14/2002
37.15
2/28/2002
34.51
1722.60
30469.36
Long
2/28/2002
34.51
3/4/2002
35.70
811.58
31280.94
Short
3/4/2002
35.70
4/5/2002
35.01
410.58
31691.52
Long
4/5/2002
35.01
4/19/2002
35.05
-121.63
31569.89
Short
4/19/2002
35.05
5/7/2002
29.27
4495.36
36065.25
Long
5/7/2002
29.27
5/9/2002
31.57
2577.48
38642.73
Short
5/9/2002
31.57
6/14/2002
26.86
5476.71
44119.44
Long
6/14/2002
26.86
6/20/2002
27.27
439.48
44558.92
Short
6/20/2002
27.27
7/1/2002
25.97
1867.04
46425.96
Long
7/1/2002
25.97
7/8/2002
26.20
169.28
46595.24
Short
7/8/2002
26.20
9/12/2002
23.23
4838.92
51434.16
Long
9/12/2002
23.23
9/16/2002
22.86
-1067.49
50366.67
Short
9/16/2002
22.86
9/27/2002
21.55
2517.85
52884.52
Long
9/27/2002
21.55
10/1/2002
20.91
-1790.76
51093.76
Short
10/1/2002
20.91
11/19/2002
25.80
-12016.26
39077.50
Long
11/19/2002
25.80
11/21/2002
26.93
1497.26
40574.77
Short
11/21/2002
26.93
12/11/2002
25.44
2038.61
42613.38
Long
12/11/2002
25.44
1/7/2003
26.41
1344.60
43957.98
Short
1/7/2003
26.41
4/21/2003
26.94
-1061.40
42896.58
Long
4/21/2003
26.94
4/23/2003
27.50
635.85
43532.43
Short
4/23/2003
27.50
5/28/2003
29.16
-2702.47
40829.95
Long
5/28/2003
29.16
5/30/2003
29.53
290.26
41120.21
Short
5/30/2003
29.53
7/2/2003
30.41
-1338.80
39781.41
Long
7/2/2003
30.41
7/7/2003
30.97
528.51
40309.92
Short
7/7/2003
30.97
8/12/2003
30.51
367.56
40677.48
Long
8/12/2003
30.51
8/18/2003
31.31
839.08
41516.56
Short
8/18/2003
31.31
9/23/2003
33.97
-3670.16
37846.40
Long
9/23/2003
33.97
10/9/2003
34.91
844.58
38690.98
Open Short
10/9/2003
34.91
11/21/2003
34.08
819.28
39510.26
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