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<SPAN
class=019140323-13122003>Do I have it right that there's other buy/sell signal
code we're not seeing, and PositionScore is being used only for ranking when
there are more buy signals than available positions? This isn't a rotational
system using only PositionScore?
<SPAN
class=019140323-13122003>
<SPAN
class=019140323-13122003>If so, nice signals (:-)
<SPAN
class=019140323-13122003>
<SPAN
class=019140323-13122003>Dave
<SPAN
class=019140323-13122003>
<BLOCKQUOTE
>This
backtest comparison is for illustrative purposes only. I make noclaims
regarding these test results other than the AFL and Setupcriteria was
identical for both tests. The only difference was theassignment of
PositionScore = QRS versus PositionScore = RSW.NOTE: // RSW =
.4*(Total Return 13-Week)+.3*(Total Return 26-Week)+.3*(TotalReturn
1-Year)tr13 = 0.4 * (C - Ref(C, -65)) / Ref(C, -65) * 100;tr26 = 0.3 *
(C - Ref(C, -130)) / Ref(C, -130) * 100;tr52 = 0.3 * (C - Ref(C, -260)) /
Ref(C, -260) * 100;RSW = tr13 + tr26 + tr52;PositionScore =
RSW;Date Range 6/1/1995 to Present (No QRS scores exist prior to
this)Direct comparison: RSW
SCORE QRS
SCORE Long
trades Long
tradesInitial capital
100000
100000Ending capital
22984180 190338380Net
Profit 22884180
190238380Net Profit %
22884.18% 190238.38%Exposure
% 94.25%
94.16%Net RAR
% 24280.98%
202035.63%Annual Return %
89.07%
142.19%Risk Adj Retn
% 94.50%
151.01%
All
trades 7431 (100.00
%) 7487 (100.00 %)Avg.
Profit/Loss 3079.56 25409.16Avg. Profit/Loss
% -4.16%
-2.88%Avg. Bars Held
2.65 2.63
Winners
3829 (51.53
%) 4066 (54.31 %)Total
Profit 64437022.92
436648089.7Avg. Profit
16828.68 107390.09Avg. Profit
% 3.10%
3.13%Avg. Bars
Held 2.33
2.33Max.
Consecutive 17
17Largest win
978262.15 7798920.06# bars in largest
win 2
2
Losers 3602
(48.47 %) 3421
(45.69 %)Total Loss
-41552842.92 -246409709.4Avg.
Loss -11536.05
-72028.56Avg. Loss %
-11.88%
-10.03%Avg. Bars Held
2.98 2.99Max.
Consecutive 13
12Largest loss
-542767
-4301835.5# bars in largest loss
6 6
Max. trade
drawdown
-610851.92 -4864832.72Max. trade %
drawdown -98.69%
-99.67%Max. system
drawdown
-2119041.36 -15587244.83Max. system %
drawdown -34.68%
-27.63%Recovery
Factor 10.8
12.2CAR/MaxDD
2.57
5.15RAR/MaxDD
2.72
5.46Profit Factor
1.55
1.77Payoff Ratio
1.46
1.49Standard Error
2982472.3 25676798.01Risk-Reward
Ratio 0.44
0.38Ulcer Index
12.1
7.64Ulcer Performance Index
6.92 17.9Sharpe Ratio of
trades -0.72
-0.86K-Ratio
1.09 0.93FWIW, I have some other systems
/ variations that I'll run a RSW vs.QRS comparison on. If there are any
notable improvements to the RSWresults, I'll post
them.Regards,Phsst
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