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RE: getting same results...was Re: [amibroker] Re: any karnish watchers out there? For Steve



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Let me 
know how it goes.
<FONT face=Arial color=#0000ff 
size=2> 
<FONT face=Arial color=#0000ff 
size=2>Thanx
<FONT face=Arial color=#0000ff 
size=2>Paul

  
  <FONT 
  face=Tahoma size=2>-----Original Message-----From: john gibb 
  [mailto:jgibb1@xxxxxxxxxxxxx] Sent: 01 December 2003 
  15:50To: amibroker@xxxxxxxxxxxxxxxSubject: Re: getting 
  same results...was Re: [amibroker] Re: any karnish watchers out there? For 
  Steve
  Hi Paul,
   
  Thanks for doing the Excel analysis.
   
  I am back without, unfortunately, any bright idea as to the next step on 
  this. Some thoughts though: 
   
      a) arbitrarily, settle on one 
  major data source a 'standard'.  (I have a colleague who has settled on 
  Yahoo because a) it goes back to 1962 for some symbols and b) it offers both 
  split-adjusted and non-adjusted data.)
   
      b) compare the standard 
  vendor's data for a limited symbol set to two other sources. 
   
      c) the majority 
  rules when there is a discrepancy; ie go with the number that two of the 
  three vendors provide. When all three disagree, I am not sure wwhat to do. 
  (Call the exchange on which the discrepant symbol traded and get the correct 
  number, etc?.)
   
  Regarding c), maybe it's not THAT important how 
  clean the data is if I am using it for:
   
      1) rough comparisons of 
  the profitability of one mechanical system vs another or 
      2) go-or-no-go decisions 
  on whether a system warrants further investigation.
   
  One other thing: I am now involved in a project 
  with her and some other folks in which we are testing the profitability of 
  trading opening gaps.  Each of us may have a different data source. I 
  will let you know if data turns out to be an important variable.
   
  -john
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    john 
    gibb 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Wednesday, November 26, 2003 5:37 
    AM
    Subject: Re: getting same results...was 
    Re: [amibroker] Re: any karnish watchers out there? For Steve
    
    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"><SPAN 
          >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"><SPAN 
          >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> 
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