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<span
>If so, nice
signals (:-)
Understatement!!!!!
Ken
-----Original Message-----
From: Dave Merrill
[mailto:dmerrill@xxxxxxx]
Sent: Saturday,
December 13, 2003<span
> <font
size=2 face=Tahoma>6:07 PM<font
size=2 face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
PositionScore Ideas
<span
>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
>If so, nice
signals (:-)
<span
>Dave
This backtest comparison is for illustrative purposes only. I make no<font
size=2 face="Courier New">
claims regarding these test results other than the
AFL and Setup
criteria was identical for both tests. The only
difference was the
assignment of PositionScore = QRS versus PositionScore
= RSW.
NOTE:
// RSW = .4*(Total Return 13-Week)+.3*(Total
Return 26-Week)+.3*(Total
Return 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<font
size=2 face="Courier New"> <font
size=2 face="Courier New">Range<font
size=2 face="Courier New"> 6/1/1995<font
size=2 face="Courier New"> to Present (No QRS
scores exist prior to this)<span
>
Direct comparison:
RSW
SCORE QRS SCORE
Long
trades Long trades
Initial capital 100000
100000
Ending capital
22984180 190338380
Net Profit
22884180 190238380
Net 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 25409.16
Avg. Profit/Loss %
-4.16% -2.88%
Avg. Bars Held
2.65 2.63
Winners
3829 (51.53
%) 4066 (54.31 %)
Total Profit
64437022.92 436648089.7
Avg. Profit
16828.68 107390.09
Avg. Profit %
3.10% 3.13%
Avg. Bars Held
2.33 2.33
Max. Consecutive
17 17
Largest win
978262.15 7798920.06
# bars in largest
win 2 2
Losers 3602 (48.47
%) 3421 (45.69 %)
Total Loss
-41552842.92 -246409709.4
Avg. Loss -11536.05
-72028.56
Avg. Loss %
-11.88% -10.03%
Avg. Bars Held
2.98 2.99
Max. Consecutive
13 12
Largest loss
-542767 -4301835.5
# bars in largest
loss 6 6
Max. trade drawdown
-610851.92 -4864832.72
Max. trade %
drawdown -98.69%
-99.67%
Max. system drawdown
-2119041.36 -15587244.83
Max. system %
drawdown -34.68%
-27.63%
Recovery Factor
10.8 12.2
CAR/MaxDD
2.57 5.15
RAR/MaxDD
2.72 5.46
Profit Factor
1.55 1.77
Payoff Ratio
1.46 1.49
Standard Error
2982472.3 25676798.01
Risk-Reward Ratio
0.44 0.38
Ulcer Index
12.1 7.64
Ulcer Performance
Index 6.92 17.9
Sharpe Ratio of
trades -0.72 -0.86
K-Ratio
1.09 0.93
FWIW, I have some other systems / variations that
I'll run a RSW vs.
QRS comparison on. If there are any notable
improvements to the RSW
results, I'll post them.
Regards,
Phsst
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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