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John,
if you have some time read again the text.
The +255% [common result for both datasources] refers to the today´s
optimal solution [-19,49]
With the Inspection Points you have the real face of the optimals: At
every IP the SECOND CODE selects the local optimal and trades it up
to the next IP. This is probably what a trader would do in real
conditions. The result for the same period/settings are SIGNIFICANTLY
different from the optimal we see today.
I hope it is more clear [and educative for the optimization procedure]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> 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@xxxx>
> 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,
THE +255% IS HERE
> 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 $NDX.
THE +79%/+92% IS HERE
> The difference is only one trade, 7/5/2002 to 9/5/2002[$NDX] instead
> of
> 7/5/2002 to 8/5/2002 [^NDX].That´s 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
> >
> > Yahoo! Groups Sponsor
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> >
> >
> >
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