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<FONT
size=2>John
<FONT
size=2> I use Quotes plus data. I have attached a spread
sheet adding the QP open prices and diff between Yahoo and E-Signal. QP
stores some of these quotes as fractions. And the problem may be
rounding errors. As for the AB version I am using the most recent Beta
version. You will see on the spread sheet that I have used red "Y" for
diff between Yahoo and QP and red "E" for diff between E-Signal and QP.
Maybe Dimitris can let us know where his data comes
from. I downloaded Yahoo data for the QQQ and ran the scan. I did it
twice. Once using a round lot size of 100 and the next allowing for
fractions of a share. It seems that my entry and exit times are
different with Yahoo data and they don't seem to be the same as yours. You
will also notice that when I changed the round lot size the system went from
199% to 282%.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Paul
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
-----Original Message-----From: john
gibb [mailto:jgibb1@xxxxxxxxxxxxx] Sent: 25 November 2003
16:38To: amibroker@xxxxxxxxxxxxxxxSubject: getting same
results...was Re: [amibroker] Re: any karnish watchers out there? For
Steve
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 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<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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Check group FAQ at:>
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>> > 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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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:
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:
10.00
Value:
5.00
Exit at stop?
yes
Exit at stop?
yes
Trailing stop:
disabled
Value:
5.00
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);
//Buy = ExRem(Buy,Sell);
//Sell = ExRem(Sell,Buy);
Short=Sell;
Cover=Buy;
//PlotShapes(Buy*shapeUpArrow,5,0,RD);
//PlotShapes(Sell*shapeDownArrow,4,0,RD);
Overall performance summary
Total net profit:
28762.17
Total commissions paid:
8981.16
Return on account:
287.62 %
Open position gain/loss
715.33
Buy&Hold profit:
-6019.45
Bars (avg. days) in test:
874 (1269)
Buy&Hold % return:
-60.19%
System to Buy&Hold index:
577.82%
Annual system % return:
47.65%
Annual B&H % return:
-23.28%
System drawdown:
-1803.84
B&H drawdown:
-7661.28
Max. system drawdown:
-19197.85
B&H max. drawdown:
-9807.56
Max. system % drawdown:
-43.33%
B&H max. % drawdown:
-80.71%
Max. trade drawdown:
-17027.28
Max. trade % drawdown:
-42.79%
Trade drawdown:
-14253.72
Total number of trades:
71
Percent profitable:
66.2%
Number winning trades:
47
Number losing trades:
24
Profit of winners:
68816.60
Loss of losers:
-40862.16
Total # of bars in winners:
560
Total # of bars in losers:
352
Commissions paid in winners:
5971.79
Commissions paid in losers:
3009.37
Largest winning trade:
5804.13
Largest losing trade:
-12075.32
# of bars in largest winner:
18
# bars in largest loser:
36
Commission paid in largest winner:
95.28
Commission paid in largest loser:
281.64
Average winning trade:
1464.18
Average losing trade:
-1702.59
Avg. # of bars in winners:
11.9
Avg. # bars in losers:
14.7
Avg. commission paid in winner:
127.06
Avg. commission paid in loser:
125.39
Max consec. winners:
7
Max consec. losers:
4
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
47.71%
Ratio avg win/avg loss:
0.86
Avg. trade (win & loss):
393.72
Profit factor:
1.68
Performance for QQQ
Total net profit:
28762.17
Total commissions paid:
8981.16
Return on account:
287.62 %
Open position gain/loss
715.33
Buy&Hold profit:
-6019.45
Bars (days) in test:
874 (1269)
Buy&Hold % return:
-60.19%
System to Buy&Hold index:
577.82%
Annual system % return:
47.65%
Annual B&H % return:
-23.28%
System drawdown:
-1803.84
B&H drawdown:
-7661.28
Max. system drawdown:
-19197.85
B&H max. drawdown:
-9807.56
Max. system % drawdown:
-43.33%
B&H max. % drawdown:
-80.71%
Max. trade drawdown:
-17027.28
Max. trade % drawdown:
-42.79%
Trade drawdown:
-14253.72
Total number of trades:
71
Percent profitable:
66.2%
Number winning trades:
47
Number losing trades:
24
Profit of winners:
68816.60
Loss of losers:
-40862.16
Total # of bars in winners:
560
Total # of bars in losers:
352
Commissions paid in winners:
5971.79
Commissions paid in losers:
3009.37
Largest winning trade:
5804.13
Largest losing trade:
-12075.32
# of bars in largest winner:
18
# bars in largest loser:
36
Commission paid in largest winner:
95.28
Commission paid in largest loser:
281.64
Average winning trade:
1464.18
Average losing trade:
-1702.59
Avg. # of bars in winners:
11.9
Avg. # bars in losers:
14.7
Avg. commission paid in winner:
127.06
Avg. commission paid in loser:
125.39
Max consec. winners:
7
Max consec. losers:
4
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
47.71%
Ratio avg win/avg loss:
0.86
Avg. trade (win & loss):
393.72
Profit factor:
1.68
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
92.62
0.00
0.00
10000.00
Long
02/06/2000
92.62
19/06/2000
94.02
9975.06
100.53
10100.53
Short
19/06/2000
94.02
05/07/2000
93.62
10075.34
-7.41
10093.12
Long
05/07/2000
93.62
06/07/2000
91.56
10067.95
-271.32
9821.80
Short
06/07/2000
91.56
19/07/2000
98.31
9797.31
-773.07
9048.73
Long
19/07/2000
98.31
20/07/2000
97.87
9026.16
-85.43
8963.30
Short
20/07/2000
97.87
04/08/2000
92.00
8940.95
492.89
9456.19
Long
04/08/2000
92.00
07/08/2000
90.87
9432.61
-162.73
9293.46
Short
07/08/2000
90.87
17/08/2000
92.94
9270.29
-258.05
9035.41
Long
17/08/2000
92.94
21/08/2000
96.00
9012.88
250.94
9286.35
Short
21/08/2000
96.00
20/09/2000
93.37
9263.19
208.09
9494.44
Long
20/09/2000
93.37
22/09/2000
87.62
9470.76
-629.13
8865.30
Short
22/09/2000
87.62
04/10/2000
83.50
8843.20
372.64
9237.95
Long
04/10/2000
83.50
19/10/2000
82.39
9214.91
-168.27
9069.68
Short
19/10/2000
82.39
21/11/2000
70.19
9047.06
1297.77
10367.45
Long
21/11/2000
70.19
24/11/2000
68.37
10341.59
-319.19
10048.26
Short
24/11/2000
68.37
07/12/2000
67.00
10023.20
151.23
10199.49
Long
07/12/2000
67.00
08/12/2000
71.09
10174.05
568.65
10768.14
Short
08/12/2000
71.09
27/12/2000
59.69
10741.29
1673.07
12441.21
Long
27/12/2000
59.69
28/12/2000
60.78
12410.19
164.01
12605.22
Short
28/12/2000
60.78
15/02/2001
58.80
12573.78
347.76
12952.98
Long
15/02/2001
58.80
20/02/2001
55.74
12920.68
-735.32
12217.66
Short
20/02/2001
55.74
05/03/2001
47.50
12187.19
1745.19
13962.85
Long
05/03/2001
47.50
08/03/2001
49.35
13928.03
471.46
14434.31
Short
08/03/2001
49.35
10/04/2001
37.90
14398.32
3277.00
17711.31
Long
10/04/2001
37.90
11/04/2001
42.16
17667.15
1892.50
19603.82
Short
11/04/2001
42.16
18/05/2001
47.64
19554.93
-2645.90
16957.92
Long
18/05/2001
47.64
22/05/2001
51.31
16915.63
1215.28
18173.20
Short
22/05/2001
51.31
08/06/2001
48.72
18127.88
826.70
18999.90
Long
08/06/2001
48.72
11/06/2001
46.90
18952.52
-800.99
18198.91
Short
11/06/2001
46.90
25/06/2001
43.61
18153.52
1185.87
19384.78
Long
25/06/2001
43.61
26/06/2001
42.54
19336.44
-569.93
18814.85
Short
26/06/2001
42.54
31/07/2001
41.84
18767.93
215.76
19030.61
Long
31/07/2001
41.84
02/08/2001
43.79
18983.16
787.60
19818.22
Short
02/08/2001
43.79
20/08/2001
37.85
19768.80
2589.45
22407.66
Long
20/08/2001
37.85
22/08/2001
37.45
22351.78
-347.38
22060.28
Short
22/08/2001
37.45
21/09/2001
27.41
22005.27
5804.13
27864.42
Long
21/09/2001
27.41
04/10/2001
31.65
27794.93
4149.82
32014.24
Short
04/10/2001
31.65
24/12/2001
39.54
31934.40
-8140.47
23873.76
Long
24/12/2001
39.54
09/01/2002
42.04
23814.23
1382.87
25256.63
Short
09/01/2002
42.04
28/01/2002
39.15
25193.65
1610.27
26866.91
Long
28/01/2002
39.15
30/01/2002
38.00
26799.91
-919.26
25947.65
Short
30/01/2002
38.00
12/02/2002
36.31
25882.94
1024.57
26972.22
Long
12/02/2002
36.31
14/02/2002
37.15
26904.96
486.34
27458.56
Short
14/02/2002
37.15
28/02/2002
34.51
27390.09
1814.35
29272.91
Long
28/02/2002
34.51
04/03/2002
35.70
29199.91
858.38
30131.29
Short
04/03/2002
35.70
05/04/2002
35.01
30056.15
432.09
30563.38
Long
05/04/2002
35.01
19/04/2002
35.05
30487.16
-117.69
30445.69
Short
19/04/2002
35.05
07/05/2002
29.27
30369.76
4868.87
35314.55
Long
07/05/2002
29.27
09/05/2002
31.57
35226.49
2585.00
37899.55
Short
09/05/2002
31.57
14/06/2002
26.86
37805.04
5465.29
43364.85
Long
14/06/2002
26.86
20/06/2002
27.27
43256.71
442.35
43807.20
Short
20/06/2002
27.27
01/07/2002
25.97
43697.95
1869.86
45677.06
Long
01/07/2002
25.97
08/07/2002
26.20
45563.15
174.70
45851.76
Short
08/07/2002
26.20
12/09/2002
23.23
45737.42
4969.01
50820.78
Long
12/09/2002
23.23
16/09/2002
22.86
50694.04
-1058.89
49761.89
Short
16/09/2002
22.86
27/09/2002
21.55
49637.80
2603.44
52365.33
Long
27/09/2002
21.55
01/10/2002
20.91
52234.74
-1808.58
50556.75
Short
01/10/2002
20.91
19/11/2002
25.80
50430.67
-12075.32
38481.42
Long
19/11/2002
25.80
21/11/2002
26.93
38385.46
1485.09
39966.52
Short
21/11/2002
26.93
11/12/2002
25.44
39866.85
2011.96
41978.48
Long
11/12/2002
25.44
07/01/2003
26.41
41873.79
1383.24
43361.72
Short
07/01/2003
26.41
21/04/2003
26.94
43253.58
-1086.46
42275.26
Long
21/04/2003
26.94
23/04/2003
27.50
42169.83
663.54
42938.80
Short
23/04/2003
27.50
28/05/2003
29.16
42831.72
-2806.10
40132.70
Long
28/05/2003
29.16
30/05/2003
29.53
40032.62
306.53
40439.23
Short
30/05/2003
29.53
02/07/2003
30.41
40338.38
-1406.79
39032.44
Long
02/07/2003
30.41
07/07/2003
30.97
38935.10
520.52
39552.96
Short
07/07/2003
30.97
12/08/2003
30.51
39454.32
390.21
39943.17
Long
12/08/2003
30.51
18/08/2003
31.31
39843.56
842.90
40786.07
Short
18/08/2003
31.31
23/09/2003
33.97
40684.36
-3668.48
37117.59
Long
23/09/2003
33.97
09/10/2003
34.91
37025.03
836.85
37954.44
Open Short
09/10/2003
34.91
21/11/2003
34.08
37859.79
807.73
38762.17
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:
5.00
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);
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
Short=Sell;
Cover=Buy;
//PlotShapes(Buy*shapeUpArrow,5,0,RD);
//PlotShapes(Sell*shapeDownArrow,4,0,RD);
Overall performance summary
Total net profit:
19944.08
Total commissions paid:
6417.77
Return on account:
199.44 %
Open position gain/loss
527.68
Buy&Hold profit:
-5140.82
Bars (avg. days) in test:
874 (1269)
Buy&Hold % return:
-51.41%
System to Buy&Hold index:
487.96%
Annual system % return:
37.09%
Annual B&H % return:
-18.75%
System drawdown:
-1804.29
B&H drawdown:
-6543.00
Max. system drawdown:
-14031.50
B&H max. drawdown:
-8376.00
Max. system % drawdown:
-42.73%
B&H max. % drawdown:
-68.93%
Max. trade drawdown:
-12708.00
Max. trade % drawdown:
-42.21%
Trade drawdown:
-10638.00
Total number of trades:
71
Percent profitable:
62.0%
Number winning trades:
44
Number losing trades:
27
Profit of winners:
49828.80
Loss of losers:
-30480.56
Total # of bars in winners:
523
Total # of bars in losers:
389
Commissions paid in winners:
4254.20
Commissions paid in losers:
2163.56
Largest winning trade:
4107.53
Largest losing trade:
-9012.19
# of bars in largest winner:
26
# bars in largest loser:
36
Commission paid in largest winner:
131.47
Commission paid in largest loser:
210.19
Average winning trade:
1132.47
Average losing trade:
-1128.91
Avg. # of bars in winners:
11.9
Avg. # bars in losers:
14.4
Avg. commission paid in winner:
96.69
Avg. commission paid in loser:
80.13
Max consec. winners:
7
Max consec. losers:
4
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
37.13%
Ratio avg win/avg loss:
1.00
Avg. trade (win & loss):
272.51
Profit factor:
1.63
Performance for QQQ
Total net profit:
19944.08
Total commissions paid:
6417.77
Return on account:
199.44 %
Open position gain/loss
527.68
Buy&Hold profit:
-5140.82
Bars (days) in test:
874 (1269)
Buy&Hold % return:
-51.41%
System to Buy&Hold index:
487.96%
Annual system % return:
37.09%
Annual B&H % return:
-18.75%
System drawdown:
-1804.29
B&H drawdown:
-6543.00
Max. system drawdown:
-14031.50
B&H max. drawdown:
-8376.00
Max. system % drawdown:
-42.73%
B&H max. % drawdown:
-68.93%
Max. trade drawdown:
-12708.00
Max. trade % drawdown:
-42.21%
Trade drawdown:
-10638.00
Total number of trades:
71
Percent profitable:
62.0%
Number winning trades:
44
Number losing trades:
27
Profit of winners:
49828.80
Loss of losers:
-30480.56
Total # of bars in winners:
523
Total # of bars in losers:
389
Commissions paid in winners:
4254.20
Commissions paid in losers:
2163.56
Largest winning trade:
4107.53
Largest losing trade:
-9012.19
# of bars in largest winner:
26
# bars in largest loser:
36
Commission paid in largest winner:
131.47
Commission paid in largest loser:
210.19
Average winning trade:
1132.47
Average losing trade:
-1128.91
Avg. # of bars in winners:
11.9
Avg. # bars in losers:
14.4
Avg. commission paid in winner:
96.69
Avg. commission paid in loser:
80.13
Max consec. winners:
7
Max consec. losers:
4
Bars out of the market:
1
Interest earned:
0.00
Exposure:
99.9%
Risk adjusted ann. return:
37.13%
Ratio avg win/avg loss:
1.00
Avg. trade (win & loss):
272.51
Profit factor:
1.63
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
92.62
0.00
0.00
10000.00
Long
02/06/2000
92.62
19/06/2000
94.02
9262.00
93.34
10093.34
Short
19/06/2000
94.02
05/07/2000
93.62
9402.00
-6.91
10086.43
Long
05/07/2000
93.62
06/07/2000
91.56
9362.00
-252.30
9834.13
Short
06/07/2000
91.56
19/07/2000
98.31
9156.00
-722.47
9111.67
Long
19/07/2000
98.31
20/07/2000
97.87
0.00
0.00
9111.67
Short
20/07/2000
97.87
04/08/2000
92.00
0.00
0.00
9111.67
Long
04/08/2000
92.00
07/08/2000
90.87
0.00
0.00
9111.67
Short
07/08/2000
90.87
17/08/2000
92.94
9087.00
-252.95
8858.71
Long
17/08/2000
92.94
21/08/2000
96.00
0.00
0.00
8858.71
Short
21/08/2000
96.00
20/09/2000
93.37
0.00
0.00
8858.71
Long
20/09/2000
93.37
22/09/2000
87.62
0.00
0.00
8858.71
Short
22/09/2000
87.62
04/10/2000
83.50
8762.00
369.22
9227.93
Long
04/10/2000
83.50
19/10/2000
82.39
8350.00
-152.47
9075.46
Short
19/10/2000
82.39
21/11/2000
70.19
8239.00
1181.85
10257.32
Long
21/11/2000
70.19
24/11/2000
68.37
7019.00
-216.64
10040.68
Short
24/11/2000
68.37
07/12/2000
67.00
6837.00
103.16
10143.83
Long
07/12/2000
67.00
08/12/2000
71.09
6700.00
374.48
10518.31
Short
08/12/2000
71.09
27/12/2000
59.69
7109.00
1107.30
11625.62
Long
27/12/2000
59.69
28/12/2000
60.78
5969.00
78.88
11704.50
Short
28/12/2000
60.78
15/02/2001
58.80
6078.00
168.10
11872.60
Long
15/02/2001
58.80
20/02/2001
55.74
11760.00
-669.27
11203.33
Short
20/02/2001
55.74
05/03/2001
47.50
11148.00
1596.38
12799.71
Long
05/03/2001
47.50
08/03/2001
49.35
9500.00
321.57
13121.29
Short
08/03/2001
49.35
10/04/2001
37.90
9870.00
2246.37
15367.66
Long
10/04/2001
37.90
11/04/2001
42.16
15160.00
1623.94
16991.60
Short
11/04/2001
42.16
18/05/2001
47.64
16864.00
-2281.80
14709.80
Long
18/05/2001
47.64
22/05/2001
51.31
14292.00
1026.79
15736.59
Short
22/05/2001
51.31
08/06/2001
48.72
15393.00
701.98
16438.57
Long
08/06/2001
48.72
11/06/2001
46.90
14616.00
-617.71
15820.85
Short
11/06/2001
46.90
25/06/2001
43.61
14070.00
919.12
16739.97
Long
25/06/2001
43.61
26/06/2001
42.54
13083.00
-385.61
16354.36
Short
26/06/2001
42.54
31/07/2001
41.84
12762.00
146.72
16501.07
Long
31/07/2001
41.84
02/08/2001
43.79
12552.00
520.78
17021.85
Short
02/08/2001
43.79
20/08/2001
37.85
13137.00
1720.77
18742.62
Long
20/08/2001
37.85
22/08/2001
37.45
15140.00
-235.30
18507.32
Short
22/08/2001
37.45
21/09/2001
27.41
14980.00
3951.14
22458.46
Long
21/09/2001
27.41
04/10/2001
31.65
21928.00
3273.88
25732.34
Short
04/10/2001
31.65
24/12/2001
39.54
25320.00
-6454.38
19277.96
Long
24/12/2001
39.54
09/01/2002
42.04
15816.00
918.42
20196.38
Short
09/01/2002
42.04
28/01/2002
39.15
16816.00
1074.81
21271.19
Long
28/01/2002
39.15
30/01/2002
38.00
19575.00
-671.44
20599.75
Short
30/01/2002
38.00
12/02/2002
36.31
19000.00
752.11
21351.87
Long
12/02/2002
36.31
14/02/2002
37.15
18155.00
328.18
21680.04
Short
14/02/2002
37.15
28/02/2002
34.51
18575.00
1230.43
22910.47
Long
28/02/2002
34.51
04/03/2002
35.70
20706.00
608.69
23519.15
Short
04/03/2002
35.70
05/04/2002
35.01
21420.00
307.94
23827.09
Long
05/04/2002
35.01
19/04/2002
35.05
21006.00
-81.09
23746.00
Short
19/04/2002
35.05
07/05/2002
29.27
21030.00
3371.52
27117.52
Long
07/05/2002
29.27
09/05/2002
31.57
26343.00
1933.11
29050.63
Short
09/05/2002
31.57
14/06/2002
26.86
28413.00
4107.53
33158.16
Long
14/06/2002
26.86
20/06/2002
27.27
32232.00
329.61
33487.77
Short
20/06/2002
27.27
01/07/2002
25.97
32724.00
1400.28
34888.05
Long
01/07/2002
25.97
08/07/2002
26.20
33761.00
129.45
35017.50
Short
08/07/2002
26.20
12/09/2002
23.23
34060.00
3700.35
38717.86
Long
12/09/2002
23.23
16/09/2002
22.86
37168.00
-776.36
37941.50
Short
16/09/2002
22.86
27/09/2002
21.55
36576.00
1918.36
39859.86
Long
27/09/2002
21.55
01/10/2002
20.91
38790.00
-1343.07
38516.79
Short
01/10/2002
20.91
19/11/2002
25.80
37638.00
-9012.19
29504.60
Long
19/11/2002
25.80
21/11/2002
26.93
28380.00
1097.99
30602.59
Short
21/11/2002
26.93
11/12/2002
25.44
29623.00
1494.98
32097.57
Long
11/12/2002
25.44
07/01/2003
26.41
30528.00
1008.45
33106.02
Short
07/01/2003
26.41
21/04/2003
26.94
31692.00
-796.05
32309.97
Long
21/04/2003
26.94
23/04/2003
27.50
29634.00
466.29
32776.26
Short
23/04/2003
27.50
28/05/2003
29.16
30250.00
-1981.81
30794.45
Long
28/05/2003
29.16
30/05/2003
29.53
29160.00
223.28
31017.72
Short
30/05/2003
29.53
02/07/2003
30.41
29530.00
-1029.85
29987.87
Long
02/07/2003
30.41
07/07/2003
30.97
27369.00
365.89
30353.77
Short
07/07/2003
30.97
12/08/2003
30.51
27873.00
275.67
30629.44
Long
12/08/2003
30.51
18/08/2003
31.31
30510.00
645.45
31274.89
Short
18/08/2003
31.31
23/09/2003
33.97
28179.00
-2540.88
28734.00
Long
23/09/2003
33.97
09/10/2003
34.91
27176.00
614.24
29348.24
Open Short
09/10/2003
34.91
21/11/2003
34.08
27928.00
595.84
29944.08
Attachment:
QQQ_Yahoo_Esignal_QP.xls
Attachment:
Description: "Description: MS-Excel spreadsheet"
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