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Hi Paul,
As you will see in the attached Excel file there
are a significant number of discrepancies in our trades. (a red x marks both
date and Open price discrepancies).
Also, your Trade List includes the column Position
Size; mine does not. What version of Amibroker are you using?
I then downloaded free Esignal historical data for
the QQQs as a potential benchmark source and marked, again with a red x
Open price discrepancies. (Interestingly, Yahoo doesn't have data for
9/11/2001) (See attached)
So there is quite a bit of work to come up with a
clean QQQ database on which to test.
In an effort to get the same results, our next
step might simply be declaring Yahoo, Esignal, or
??? as our 'best' data source and we both test using it--without regard to
data errors.
What do you think?
-john
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
john gibb
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003 8:53
PM
Subject: Re: [amibroker] Re: any karnish
watchers out there? For Steve
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
<FONT
face="Times New Roman">Out<SPAN
>
<SPAN
>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
>
<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 Year="2000" Day="19"
Month="6"><FONT
color=#ff0000>6/19/2000<SPAN
><SPAN
>
94.02<SPAN
>
<SPAN
>7/7/2000<SPAN
><SPAN
>
95.00<SPAN
>
-145.69
9946.71
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
>7/7/2000<SPAN
><SPAN
>
95.00<SPAN
>
<SPAN
>7/11/2000<SPAN
><SPAN
>
94.06<SPAN
>
-141.02
9805.69
<FONT
face="Times New Roman">Short<SPAN
>
<SPAN
>7/11/2000<SPAN
><SPAN
>
94.06<SPAN
>
<SPAN
>8/3/2000<SPAN
><SPAN
> 84.25<SPAN
>
936.67
10742.36
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
>8/3/2000<SPAN
><SPAN
>
84.25<SPAN
>
<SPAN
>8/8/2000<SPAN
><SPAN
> 92.06<SPAN
>
737.17
11479.53
<FONT
face="Times New Roman">Short<SPAN
>
<SPAN
>8/8/2000<SPAN
><SPAN
>
92.06<SPAN
>
<SPAN
>9/20/2000<SPAN
><SPAN
>
93.38<SPAN
>
-177.61
11301.93
<FONT
face="Times New Roman">Long<SPAN
>
<SPAN
>9/20/2000<SPAN
><SPAN
>
93.38<SPAN
>
<SPAN
>9/22/2000<SPAN
><SPAN
>
87.63<SPAN
>
-620.25
10681.68
<FONT
face="Times New Roman">Short<SPAN
>
<SPAN
><FONT
color=#ff0000>9/22/2000<SPAN
><SPAN
>
87.63<SPAN
>
<SPAN
>10/4/2000<SPAN
><SPAN
>
83.50<SPAN
>
369.72
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<SPAN
>
-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> >
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Attachment:
QQQ_Yahoo_Esignal.xls
Description: MS-Excel spreadsheet
Attachment:
Attachment:
Description: "Description: MS-Excel spreadsheet"
Attachment:
Description: "paul john QQQ compare.xls"
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