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Yes, seperate buy/sell signals in a Regular system. But I've not
worked in a slippage mechanism that I'm comfortable with.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx> wrote:
> 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?
>
> If so, nice signals (:-)
>
> Dave
>
> This backtest comparison is for illustrative purposes only. I make no
> 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 Range 6/1/1995 to Present (No QRS scores exist prior to this)
>
> 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
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