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Dalengo:
If you use TC2000 data for NASDAQ up/down volumes. Be
careful. They have
only ~300 bars.
I had to use AmiQuote to get them from eSignal.
-Mark
dalengo wrote:
> Gary and others,
> 1) I made a 800 bars test for RUT-X (r2k index) from
Oct 2001 with
> your afl using tc2000 (below). It seem to coincide
with shorter
> period test posted earlier.
> The report I get for the same RUT-X mainly gives me
zeros (below),
> although I have followed your settings.
> Would you suggest how to fix it/test some other
situation?
>
> 2) It also showed a drawdown of -26% on Oct 28,
2002, in a backtest::
>
> RUT-X, Out, 13.05.2002, 499.7200, 28.10.2002,
369.0100,
> -26.2%, 0.00, 0.0%, 0, 0, 0, 117, 0.00%
> But there is no trade like that in the Scan (below),
RUTVOL buys low
> on Oct 25, 2002 (??)
> I do not understand this backtest.
>
> 3) Your afl code has added a RUTVOL indicator to the
man AB window.
> In my case it shows a red horizontal bar at 100,000
(initial equity,
> I guess, although in the Settings it is 10,000). Is
it supposed to
> color code the buy (green) and cash (yellow)
regions, as suggested by
> the legend? It does not show it in my case.
>
> Many thanks, - dalengo
>
> Ticker,Trade,Date,Close,
> RUT-X Buy 15.10.2001 430.09
> RUT-X Sell 28.11.2001 453.70
> RUT-X Buy 10.12.2001 474.18
> RUT-X Sell 26.12.2001 490.19
> RUT-X Buy 12.03.2002 498.90
> RUT-X Sell 13.03.2002 495.45
> RUT-X Buy 30.04.2002 510.67
> RUT-X Sell 10.05.2002 492.73
> RUT-X Buy 25.10.2002 372.64
> RUT-X Sell 11.12.2002 393.88
> RUT-X Buy 21.03.2003 376.23
> RUT-X Sell 29.07.2003 473.60
> RUT-X Buy 29.08.2003 497.42
> RUT-X Sell 26.09.2003 485.29
> RUT-X Buy 13.10.2003 527.57
> RUT-X Sell 24.10.2003 506.43
> RUT-X Buy 04.11.2003 538.87
> RUT-X Sell 18.11.2003 521.68
> AmiBroker System Test Report Overall performance
summary
>
> Total net profit:0.00 Total commissions paid:0.00
> Return on account:0.00 % Open position gain/loss0.00
> Buy&Hold profit:16073.34 Bars (avg. days) in
test:553 (803)
> Buy&Hold % return:16.07% System to Buy&Hold
index:-100.00%
>
> Annual system % return:0.00% Annual B&H %
return:7.01%
>
> System drawdown:0.00 B&H drawdown:-23166.00
> Max. system drawdown:0.00 B&H max.
drawdown:-39778.00
> Max. system % drawdown:0.00% B&H max. %
drawdown:-33.47%
> Max. trade drawdown:0.00
> Max. trade % drawdown:0.00%
> Trade drawdown:0.00
>
> Total number of trades:9 Percent profitable:0.0%
> Number winning trades:0 Number losing trades:9
> Profit of winners:0.00 Loss of losers:0.00
> Total # of bars in winners:0 Total # of bars in
losers:219
> Commissions paid in winners:0.00 Commissions paid in
losers:0.00
>
> Largest winning trade:0.00 Largest losing trade:0.00
> # of bars in largest winner:0 # bars in largest
loser:0
> Commission paid in largest winner:0.00 Commission
paid in
> largest
> loser:0.00
>
> Average winning trade:N/A Average losing trade:0.00
> Avg. # of bars in winners:N/A Avg. # bars in
losers:24.3
> Avg. commission paid in winner:N/A Avg. commission
paid in
> loser:0.00
> Max consec. winners:0 Max consec. losers:1
>
> Bars out of the market:334 Interest earned:0.00
>
> Exposure:39.6% Risk adjusted ann. return:0.00%
> Ratio avg win/avg loss:N/A Avg. trade (win &
loss):0.00
> Profit factor:N/A
>
> Performance for RUT-X
>
> Total net profit:0.00 Total commissions paid:0.00
> Return on account:0.00 % Open position gain/loss0.00
> Buy&Hold profit:16073.34 Bars (days) in test:553
(803)
> Buy&Hold % return:16.07% System to Buy&Hold
index:-100.00%
>
> Annual system % return:0.00% Annual B&H %
return:7.01%
>
> System drawdown:0.00 B&H drawdown:-23166.00
> Max. system drawdown:0.00 B&H max.
drawdown:-39778.00
> Max. system % drawdown:0.00% B&H max. %
drawdown:-33.47%
> Max. trade drawdown:0.00
> Max. trade % drawdown:0.00%
> Trade drawdown:0.00
>
> Total number of trades:9 Percent profitable:0.0%
> Number winning trades:0 Number losing trades:9
> Profit of winners:0.00 Loss of losers:0.00
> Total # of bars in winners:0 Total # of bars in
losers:219
> Commissions paid in winners:0.00 Commissions paid in
losers:0.00
>
> Largest winning trade:0.00 Largest losing trade:0.00
> # of bars in largest winner:0 # bars in largest
loser:0
> Commission paid in largest winner:0.00 Commission
paid in
> largest
> loser:0.00
>
> Average winning trade:N/A Average losing trade:0.00
> Avg. # of bars in winners:N/A Avg. # bars in
losers:24.3
> Avg. commission paid in winner:N/A Avg. commission
paid in
> loser:0.00
> Max consec. winners:0 Max consec. losers:1
>
> Bars out of the market:334 Interest earned:0.00
>
> Exposure:39.6% Risk adjusted ann. return:0.00%
> Ratio avg win/avg loss:N/A Avg. trade (win &
loss):0.00
> Profit factor:N/A
>
> Trade list for RUT-X
> TradeEntry dateExit dateNet ProfitEquity value
> Out10.09.200116.10.20010.00100000.00
> Long16.10.200129.11.20010.00100000.00
> Out29.11.200111.12.20010.00100000.00
> Long11.12.200127.12.20010.00100000.00
> Out27.12.200113.03.20020.00100000.00
> Long13.03.200214.03.20020.00100000.00
> Out14.03.200201.05.20020.00100000.00
> Long01.05.200213.05.20020.00100000.00
> Out13.05.200228.10.20020.00100000.00
> Long28.10.200212.12.20020.00100000.00
> Out12.12.200224.03.20030.00100000.00
> Long24.03.200330.07.20030.00100000.00
> Out30.07.200302.09.20030.00100000.00
> Long02.09.200329.09.20030.00100000.00
> Out29.09.200314.10.20030.00100000.00
> Long14.10.200327.10.20030.00100000.00
> Out27.10.200305.11.20030.00100000.00
> Long05.11.200319.11.20030.00100000.00
> Out19.11.200321.11.20030.00100000.00
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