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Hi Paul,
just a qucik note to tell u i am out of town for a
week or so..but will pick this up when i get back...hopefully u saw Dimitris'
note on his data sources...
i am not sure what to do about this
lack-of-standard-data problem...
thanks
-john
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Paul Binnell
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, November 25, 2003 5:25
PM
Subject: RE: getting same results...was
Re: [amibroker] Re: any karnish watchers out there? For Steve
<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 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
>
<FONT face=Arial
size=2>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> >> >> >>
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