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Hi Dimitris.
when u say:
' The main fact is that the +92% [or +79%] is SIGNIFICANTLY different
from the +255% and this is the meaning of the "real face" '
i see your meaning on the '92 vs 79'; one belongs to Esignal the other to
Yahoo; right?
but not your meaning on the 255...
what input generated the 255?
thanks
-john
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, November 25, 2003 11:23 AM
Subject: [amibroker] Re: A STORSI application [the real face of the
optimals]
John,
the smoothed STORSI is very sensitive and may give a Sell on 7/8 or
[from another database] on 8/8. The % difference will then multiplied
and give a different result.
I keep both ^NDX [YHOOdata] and $NDX[eSIGNAL].
[not QQQ, I have it from YHOO but I do not often use it...]
Select eSIGNAL $NDX and try the simple
Plot(C-Foreign("^NDX","C"),"",1,1);
You will notice some positive or negative peaks from time to time,
Close data are not the same for both sources.
In
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));
K=0.4;
RD=IIR2( C1, 0.3, 1.6, -0.9);
BLEVEL=-19;Plot(BLEVEL,"BLEVEL",1,1);
SLEVEL=49;Plot(SLEVEL,"SLEVEL",1,1);
f=DateNum()>=1000901;Buy=f*Cross(RD,BLEVEL);Sell=f*Cross
(RD,SLEVEL);Short=Sell;Cover=Buy;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Buy);Cover=ExRem(Cover,Short);
the results are similar, %Net profit +255.55% for both,
in
// A Hi-pass filter
START=DateNum()==1001201 ;
EVENT=BarsSince(START)%100==0;
k0=-50;Plot(k0,"k0",Cum(1)%2,1);s0=20;
shape=33+2*(Cum(event)%10);
PlotShapes(shape*EVENT,colorBlack);
f=DateNum()>=1000901;
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));
RD=IIR2( C1, 0.3, 1.6, -0.9);
G=0;
for(K=k0;K<=-10;K=K+1)
{
for(s=s0;s<=70;s=s+1)
{
Buy=f*Cross(RD,k);Sell=f*Cross(RD,s);Short=Sell;Cover=Buy;
E1=Equity(1,0);
E11=ValueWhen(EVENT,E1);
G=IIf(G>E11,G,E11);
}}
Kpass=0;Spass=0;
for(K=k0;K<=-10;K=K+1)
{
for(s=s0;s<=70;s=s+1)
{
Buy=f*Cross(RD,k);Sell=f*Cross(RD,s);Short=Sell;Cover=Buy;
E1=Equity(1,0);
E11=ValueWhen(EVENT,E1);
K1=IIf(E11==G,K,0);Kpass=Kpass+K1;
S1=IIf(E11==G,S,0);Spass=Spass+S1;
G=IIf(E11==G,0,G);
}}
Buy=f*Cross(RD,Kpass);Sell=f*Cross(RD,Spass);
Short=Sell;
Cover=Buy;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Buy);Cover=ExRem(Cover,Short);
[the "real face"]
I have +79.97 for ^NDX and +92,24% for $NDX.
The difference is only one trade, 7/5/2002 to 9/5/2002[$NDX] instead
of
7/5/2002 to 8/5/2002 [^NDX].Thatīs all.
The main fact is that the +92% [or +79%] is SIGNIFICANTLY different
from the +255% and this is the meaning of the "real face"
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> Hi Dimitris,
>
> I forgot; what is your data source?
>
> Did you 'purify' it?
>
> If so, about how long did that take for the QQQs?
>
> Would you be willing to share the purified data?
>
> Because with (unpurified) Yahoo and the settings immediately below,
I get 239%, and with (unpurified) Esignal, 79% Return on Account.
>
> thanks
>
> -john
>
>
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, November 25, 2003 12:58 AM
> Subject: [amibroker] A STORSI application [the real face of the
optimals]
>
>
> This is a variation of a STORSI system.
> .
>
>
>
> Settings
>
> Initial Equity: 10000 Periodicity/Positions: Daily/Long
Short
> Commissions: 0.25 % Annual interest rate: 0.00%
> Range: 1/9/2000 00:00:00 - 24/11/2003 Apply to: Current
Symbol
> Margin requirement: 100 Futures mode: No
> Def. round lot size: 0 Def. Tick Size 0
> Drawdowns based on: Open 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: 30.00 Value: 20.00
> Exit at stop? yes Exit at stop? no
>
> Trailing stop: disabled
> Value: 5.00
> Exit at stop? no
>
> Formula
>
>
> 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));
> K=0.4;
> RD=IIR2( C1, 0.3, 1.6, -0.9);
> BLEVEL=-19;Plot(BLEVEL,"BLEVEL",1,1);
> SLEVEL=49;Plot(SLEVEL,"SLEVEL",1,1);
> f=DateNum()>=1000901;Buy=f*Cross(RD,BLEVEL);Sell=f*Cross
(RD,SLEVEL);Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=ExRem(Short,Buy);Cover=ExRem(Cover,Short);
> Overall performance summary
>
> Total net profit: 31843.38 Total commissions paid:
9170.24
> Return on account: 318.43 % Open position gain/loss
772.19
> Buy&Hold profit: -6707.72 Bars (avg. days) in test: 809
(1177)
> Buy&Hold % return: -67.08% System to Buy&Hold index:
574.73%
>
> Annual system % return: 55.87% Annual B&H % return: -
29.14%
>
> System drawdown: -1300.44 B&H drawdown: -8043.92
> Max. system drawdown: -20359.42 B&H max. drawdown: -
8043.92
> Max. system % drawdown: -38.23% B&H max. % drawdown: -
80.44%
> Max. trade drawdown: -17625.76
> Max. trade % drawdown: -38.23%
> Trade drawdown: -15100.36
>
> Total number of trades: 61 Percent profitable: 70.5%
> Number winning trades: 43 Number losing trades: 18
> Profit of winners: 73370.58 Loss of losers: -42399.14
> Total # of bars in winners: 511 Total # of bars in
losers: 315
> Commissions paid in winners: 6238.05 Commissions paid in
losers: 2932.19
>
> Largest winning trade: 6265.50 Largest losing trade: -
13035.19
> # of bars in largest winner: 18 # bars in largest loser:
36
> Commission paid in largest winner: 102.85 Commission paid
in largest loser: 304.02
>
> Average winning trade: 1706.29 Average losing trade: -
2355.51
> Avg. # of bars in winners: 11.9 Avg. # bars in losers:
17.5
> Avg. commission paid in winner: 145.07 Avg. commission
paid in loser: 162.90
> Max consec. winners: 7 Max consec. losers: 2
>
> Bars out of the market: 12 Interest earned: 0.00
>
> Exposure: 98.5% Risk adjusted ann. return: 56.71%
> Ratio avg win/avg loss: 0.72 Avg. trade (win & loss):
507.73
> Profit factor: 1.73
>
>
> Performance for QQQ
>
> Total net profit: 31843.38 Total commissions paid:
9170.24
> Return on account: 318.43 % Open position gain/loss
772.19
> Buy&Hold profit: -6707.72 Bars (days) in test: 809 (1177)
> Buy&Hold % return: -67.08% System to Buy&Hold index:
574.73%
>
> Annual system % return: 55.87% Annual B&H % return: -
29.14%
>
> System drawdown: -1300.44 B&H drawdown: -8043.92
> Max. system drawdown: -20359.42 B&H max. drawdown: -
8043.92
> Max. system % drawdown: -38.23% B&H max. % drawdown: -
80.44%
> Max. trade drawdown: -17625.76
> Max. trade % drawdown: -38.23%
> Trade drawdown: -15100.36
>
> Total number of trades: 61 Percent profitable: 70.5%
> Number winning trades: 43 Number losing trades: 18
> Profit of winners: 73370.58 Loss of losers: -42399.14
> Total # of bars in winners: 511 Total # of bars in
losers: 315
> Commissions paid in winners: 6238.05 Commissions paid in
losers: 2932.19
>
> Largest winning trade: 6265.50 Largest losing trade: -
13035.19
> # of bars in largest winner: 18 # bars in largest loser:
36
> Commission paid in largest winner: 102.85 Commission paid
in largest loser: 304.02
>
> Average winning trade: 1706.29 Average losing trade: -
2355.51
> Avg. # of bars in winners: 11.9 Avg. # bars in losers:
17.5
> Avg. commission paid in winner: 145.07 Avg. commission
paid in loser: 162.90
> Max consec. winners: 7 Max consec. losers: 2
>
> Bars out of the market: 12 Interest earned: 0.00
>
> Exposure: 98.5% Risk adjusted ann. return: 56.71%
> Ratio avg win/avg loss: 0.72 Avg. trade (win & loss):
507.73
> Profit factor: 1.73
>
>
>
> Trade list for QQQ
> Trade Entry date Exit date Net Profit Equity value
> Long 20/9/2000 22/9/2000 -662.63 9337.37
> Short 22/9/2000 4/10/2000 392.48 9729.85
> Long 4/10/2000 19/10/2000 -177.23 9552.63
> Short 19/10/2000 21/11/2000 1366.87 10919.50
> Long 21/11/2000 24/11/2000 -336.19 10583.31
> Short 24/11/2000 7/12/2000 159.28 10742.59
> Long 7/12/2000 8/12/2000 598.93 11341.52
> Short 8/12/2000 27/12/2000 1762.16 13103.68
> Long 27/12/2000 29/12/2000 343.12 13446.80
> Short 29/12/2000 15/2/2001 535.81 13982.61
> Long 15/2/2001 20/2/2001 -793.78 13188.84
> Short 20/2/2001 5/3/2001 1883.92 15072.75
> Long 5/3/2001 8/3/2001 508.94 15581.69
> Short 8/3/2001 10/4/2001 3537.49 19119.19
> Long 10/4/2001 11/4/2001 2042.94 21162.13
> Short 11/4/2001 18/5/2001 -2856.22 18305.90
> Long 18/5/2001 22/5/2001 1311.88 19617.79
> Short 22/5/2001 8/6/2001 892.41 20510.20
> Long 8/6/2001 11/6/2001 -864.66 19645.54
> Short 11/6/2001 25/6/2001 1280.14 20925.68
> Long 25/6/2001 26/6/2001 -615.23 20310.44
> Short 26/6/2001 31/7/2001 232.91 20543.36
> Long 31/7/2001 2/8/2001 850.21 21393.57
> Short 2/8/2001 20/8/2001 2795.28 24188.85
> Long 20/8/2001 22/8/2001 -374.99 23813.85
> Short 22/8/2001 21/9/2001 6265.50 30079.36
> Long 21/9/2001 4/10/2001 4479.69 34559.05
> Short 4/10/2001 24/12/2001 -8787.56 25771.49
> Long 24/12/2001 9/1/2002 1492.79 27264.28
> Short 9/1/2002 28/1/2002 1738.28 29002.56
> Long 28/1/2002 30/1/2002 -992.33 28010.23
> Short 30/1/2002 12/2/2002 1106.02 29116.24
> Long 12/2/2002 14/2/2002 525.00 29641.24
> Short 14/2/2002 28/2/2002 1958.57 31599.81
> Long 28/2/2002 4/3/2002 926.61 32526.42
> Short 4/3/2002 5/4/2002 466.44 32992.86
> Long 5/4/2002 19/4/2002 -127.04 32865.81
> Short 19/4/2002 7/5/2002 5255.89 38121.71
> Long 7/5/2002 9/5/2002 2790.48 40912.19
> Short 9/5/2002 14/6/2002 5899.73 46811.92
> Long 14/6/2002 20/6/2002 477.51 47289.43
> Short 20/6/2002 1/7/2002 2018.50 49307.93
> Long 1/7/2002 8/7/2002 188.59 49496.52
> Short 8/7/2002 12/9/2002 5364.00 54860.52
> Long 12/9/2002 16/9/2002 -1143.06 53717.46
> Short 16/9/2002 27/9/2002 2810.38 56527.85
> Long 27/9/2002 1/10/2002 -1952.35 54575.50
> Short 1/10/2002 19/11/2002 -13035.19 41540.31
> Long 19/11/2002 21/11/2002 1603.15 43143.46
> Short 21/11/2002 11/12/2002 2171.89 45315.34
> Long 11/12/2002 7/1/2003 1493.20 46808.54
> Short 7/1/2003 21/4/2003 -1172.82 45635.72
> Long 21/4/2003 23/4/2003 716.28 46352.00
> Short 23/4/2003 28/5/2003 -3029.16 43322.85
> Long 28/5/2003 30/5/2003 330.89 43653.74
> Short 30/5/2003 2/7/2003 -1518.61 42135.12
> Long 2/7/2003 7/7/2003 561.90 42697.02
> Short 7/7/2003 12/8/2003 421.23 43118.25
> Long 12/8/2003 18/8/2003 909.91 44028.16
> Short 18/8/2003 23/9/2003 -3960.09 40068.07
> Long 23/9/2003 9/10/2003 903.37 40971.44
> Open Short 9/10/2003 21/11/2003 871.94 41843.38
>
>
> The optimal solution we see now [BuyLevel=-19,SellLevel=49] is a
good opportunity for some comments.
> It is obvious that this is not an all time optimal [or a "robust"
QQQ solution], for a very simple reason : There is no
> such solution.
> Let us follow the optimals of the past. The trades begin on
Sept2000. Let us inspect the performance on Dec1, 2000
> and then inspect every 100 bars, select the optimal and trade it
for the rest 100 bars.
> The advantage is that we shall avoid to follow a dangerous
solution for a long time.
> On the other side, we should understand that on March2001 it was
impossible to "see" the nice figures of the [-19,49]
> combination and, IMO, we would probably follow the leader of this
period, [-41, 28] or whatever.
> This is the great disadvantage of optimization, the temporary
results are attractive and we hope they will be repeated
> in the [unknown] future.
> The "realistic" profits of this way of trading were not +318%, we
could not anticipate from Sept2000 the [-19,49]
> solution. They were just a +85%, as you may see from
>
> Settings
>
> Initial Equity: 10000 Periodicity/Positions: Daily/Long
Short
> Commissions: 0.25 % Annual interest rate: 0.00%
> Range: 1/9/2000 00:00:00 - 24/11/2003 Apply to: Current
Symbol
> Margin requirement: 100 Futures mode: No
> Def. round lot size: 0 Def. Tick Size 0
> Drawdowns based on: Open 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: 30.00 Value: 20.00
> Exit at stop? yes Exit at stop? no
>
> Trailing stop: disabled
> Value: 5.00
> Exit at stop? no
>
> Formula
>
>
> // A Hi-pass filter
> START=DateNum()==1001201 ;
> EVENT=BarsSince(START)%100==0;
> k0=-50;Plot(k0,"k0",Cum(1)%2,1);s0=20;
> shape=33+2*(Cum(event)%10);
> PlotShapes(shape*EVENT,colorBlack);
> f=DateNum()>=1000901;
> 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));
> RD=IIR2( C1, 0.3, 1.6, -0.9);
> G=0;
> for(K=k0;K<=-10;K=K+1)
> {
> for(s=s0;s<=70;s=s+1)
> {
> Buy=f*Cross(RD,k);Sell=f*Cross(RD,s);Short=Sell;Cover=Buy;
> E1=Equity(1,0);
> E11=ValueWhen(EVENT,E1);
> G=IIf(G>E11,G,E11);
> }}
> Kpass=0;Spass=0;
> for(K=k0;K<=-10;K=K+1)
> {
> for(s=s0;s<=70;s=s+1)
> {
> Buy=f*Cross(RD,k);Sell=f*Cross(RD,s);Short=Sell;Cover=Buy;
> E1=Equity(1,0);
> E11=ValueWhen(EVENT,E1);
> K1=IIf(E11==G,K,0);Kpass=Kpass+K1;
> S1=IIf(E11==G,S,0);Spass=Spass+S1;
> G=IIf(E11==G,0,G);
> }}
>
> Buy=f*Cross(RD,Kpass);Sell=f*Cross(RD,Spass);
> Short=Sell;
> Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=ExRem(Short,Buy);Cover=ExRem(Cover,Short);
> Overall performance summary
>
> Total net profit: 8542.42 Total commissions paid: 3886.43
> Return on account: 85.42 % Open position gain/loss
342.19
> Buy&Hold profit: -6707.72 Bars (avg. days) in test: 809
(1177)
> Buy&Hold % return: -67.08% System to Buy&Hold index:
227.35%
>
> Annual system % return: 21.10% Annual B&H % return: -
29.14%
>
> System drawdown: -507.30 B&H drawdown: -8043.92
> Max. system drawdown: -9022.05 B&H max. drawdown: -
8043.92
> Max. system % drawdown: -55.64% B&H max. % drawdown: -
80.44%
> Max. trade drawdown: -7810.66
> Max. trade % drawdown: -55.64%
> Trade drawdown: -6691.55
>
> Total number of trades: 47 Percent profitable: 68.1%
> Number winning trades: 32 Number losing trades: 15
> Profit of winners: 25949.92 Loss of losers: -17793.90
> Total # of bars in winners: 406 Total # of bars in
losers: 352
> Commissions paid in winners: 2528.77 Commissions paid in
losers: 1357.66
>
> Largest winning trade: 2507.06 Largest losing trade: -
5776.40
> # of bars in largest winner: 13 # bars in largest loser:
36
> Commission paid in largest winner: 71.74 Commission paid
in largest loser: 134.73
>
> Average winning trade: 810.94 Average losing trade: -
1186.26
> Avg. # of bars in winners: 12.7 Avg. # bars in losers:
23.5
> Avg. commission paid in winner: 79.02 Avg. commission
paid in loser: 90.51
> Max consec. winners: 5 Max consec. losers: 2
>
> Bars out of the market: 66 Interest earned: 0.00
>
> Exposure: 91.8% Risk adjusted ann. return: 22.98%
> Ratio avg win/avg loss: 0.68 Avg. trade (win & loss):
173.53
> Profit factor: 1.46
>
>
> Performance for QQQ
>
> Total net profit: 8542.42 Total commissions paid: 3886.43
> Return on account: 85.42 % Open position gain/loss
342.19
> Buy&Hold profit: -6707.72 Bars (days) in test: 809 (1177)
> Buy&Hold % return: -67.08% System to Buy&Hold index:
227.35%
>
> Annual system % return: 21.10% Annual B&H % return: -
29.14%
>
> System drawdown: -507.30 B&H drawdown: -8043.92
> Max. system drawdown: -9022.05 B&H max. drawdown: -
8043.92
> Max. system % drawdown: -55.64% B&H max. % drawdown: -
80.44%
> Max. trade drawdown: -7810.66
> Max. trade % drawdown: -55.64%
> Trade drawdown: -6691.55
>
> Total number of trades: 47 Percent profitable: 68.1%
> Number winning trades: 32 Number losing trades: 15
> Profit of winners: 25949.92 Loss of losers: -17793.90
> Total # of bars in winners: 406 Total # of bars in
losers: 352
> Commissions paid in winners: 2528.77 Commissions paid in
losers: 1357.66
>
> Largest winning trade: 2507.06 Largest losing trade: -
5776.40
> # of bars in largest winner: 13 # bars in largest loser:
36
> Commission paid in largest winner: 71.74 Commission paid
in largest loser: 134.73
>
> Average winning trade: 810.94 Average losing trade: -
1186.26
> Avg. # of bars in winners: 12.7 Avg. # bars in losers:
23.5
> Avg. commission paid in winner: 79.02 Avg. commission
paid in loser: 90.51
> Max consec. winners: 5 Max consec. losers: 2
>
> Bars out of the market: 66 Interest earned: 0.00
>
> Exposure: 91.8% Risk adjusted ann. return: 22.98%
> Ratio avg win/avg loss: 0.68 Avg. trade (win & loss):
173.53
> Profit factor: 1.46
>
>
>
> Trade list for QQQ
> Trade Entry date Exit date Net Profit Equity value
> Long 6/12/2000 8/12/2000 20.60 10020.60
> Short 8/12/2000 26/12/2000 1430.07 11450.67
> Long 26/12/2000 29/12/2000 125.29 11575.96
> Short 29/12/2000 14/2/2001 1100.61 12676.57
> Long 14/2/2001 9/3/2001 -1918.80 10757.77
> Short 9/3/2001 10/4/2001 2075.13 12832.91
> Long 10/4/2001 11/4/2001 1371.23 14204.14
> Short 11/4/2001 8/6/2001 -2280.98 11923.16
> Long 8/6/2001 11/6/2001 -502.65 11420.51
> Short 11/6/2001 25/6/2001 744.18 12164.69
> Long 25/6/2001 26/6/2001 -357.65 11807.04
> Short 26/6/2001 20/8/2001 1242.83 13049.87
> Long 20/8/2001 21/8/2001 85.86 13135.73
> Short 21/8/2001 24/12/2001 -494.34 12641.39
> Long 24/12/2001 28/12/2001 175.54 12816.93
> Short 28/12/2001 28/1/2002 298.73 13115.66
> Long 28/1/2002 29/1/2002 -72.08 13043.58
> Short 29/1/2002 12/2/2002 874.96 13918.54
> Long 12/2/2002 13/2/2002 86.96 14005.50
> Short 13/2/2002 1/3/2002 910.38 14915.88
> Long 1/3/2002 4/3/2002 599.23 15515.11
> Short 4/3/2002 5/4/2002 222.49 15737.60
> Long 5/4/2002 19/4/2002 -60.60 15677.00
> Short 19/4/2002 7/5/2002 2507.06 18184.06
> Long 7/5/2002 9/5/2002 1331.06 19515.12
> Short 9/5/2002 17/6/2002 2109.48 21624.60
> Long 17/6/2002 20/6/2002 -668.83 20955.77
> Short 20/6/2002 1/7/2002 894.48 21850.25
> Long 1/7/2002 8/7/2002 83.57 21933.82
> Short 8/7/2002 12/9/2002 2377.00 24310.82
> Long 12/9/2002 16/9/2002 -506.53 23804.28
> Short 16/9/2002 27/9/2002 1245.39 25049.67
> Long 27/9/2002 1/10/2002 -865.16 24184.51
> Short 1/10/2002 19/11/2002 -5776.40 18408.12
> Long 19/11/2002 21/11/2002 710.42 19118.53
> Short 21/11/2002 11/12/2002 962.45 20080.98
> Long 11/12/2002 7/1/2003 661.69 20742.67
> Short 7/1/2003 21/4/2003 -519.72 20222.95
> Long 21/4/2003 23/4/2003 317.41 20540.36
> Short 23/4/2003 28/5/2003 -1342.34 19198.03
> Long 28/5/2003 30/5/2003 146.63 19344.66
> Short 30/5/2003 2/7/2003 -672.96 18671.70
> Long 2/7/2003 7/7/2003 249.00 18920.70
> Short 7/7/2003 12/8/2003 186.66 19107.36
> Long 12/8/2003 18/8/2003 403.21 19510.58
> Short 18/8/2003 23/9/2003 -1754.87 17755.71
> Long 23/9/2003 9/10/2003 400.32 18156.03
> Open Short 9/10/2003 21/11/2003 386.39 18542.42
>
>
> In the att. gif, last pane, you may see the competition of the
local optimals.
> We would be so happy in April2002 with this optimization bubble.
> Dimitris Tsokakis
>
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