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If you think that was nice, you might find the following nicer:
I used the following for the PositionScore (modified) with MaxOpenPos
= 5, MaxRisk = 0.1 and PositionSize = -100/MaxOpenPos, initial equity
= $1000, MinShares = 100, Margin = 1, No commissions/slippage, No
trade delays:
tr13 = 0.4 * (C - Ref(C, -63)) / Ref(C, -63) * 100;
tr26 = 0.3 * (C - Ref(C, -126)) / Ref(C, -126) * 100;
tr37 = 0.3 * (C - Ref(C, -189)) / Ref(C, -189) * 100;
tr52 = 0.3 * (C - Ref(C, -252)) / Ref(C, -252) * 100;
RSW = tr13 + tr26 + tr37 + tr52;
PositionScore = RSW;
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 1000.00 1000.00 1000.00
Ending capital 11682.22 7056.75 5625.47
Net Profit 10682.22 6056.75 4625.47
Net Profit % 1068.22 % 605.67 % 462.55 %
Exposure % 73.64 % 39.75 % 33.89 %
Net Risk Adjusted Return % 1450.54 % 1523.54 % 1364.91 %
Annual Return % 126.23 % 91.35 % 77.48 %
Risk Adjusted Return % 171.41 % 229.80 % 228.62 %
----------------------------------------------------------------------
----------
All trades 1246 626 (50.24 %) 620 (49.76 %)
Avg. Profit/Loss 8.57 9.68 7.46
Avg. Profit/Loss % 1.10 % 1.20 % 1.00 %
Avg. Bars Held 3.79 3.99 3.59
----------------------------------------------------------------------
----------
Winners 1201 (96.39 %) 606 (48.64 %) 595 (47.75 %)
Total Profit 10819.18 6132.56 4686.62
Avg. Profit 9.01 10.12 7.88
Avg. Profit % 1.16 % 1.26 % 1.06 %
Avg. Bars Held 3.82 4.02 3.60
Max. Consecutive 232 122 174
Largest win 77.52 77.52 60.60
# bars in largest win 14 14 6
----------------------------------------------------------------------
----------
Losers 45 (3.61 %) 20 (1.61 %) 25 (2.01 %)
Total Loss -136.96 -75.81 -61.15
Avg. Loss -3.04 -3.79 -2.45
Avg. Loss % -0.36 % -0.41 % -0.32 %
Avg. Bars Held 3.09 2.95 3.20
Max. Consecutive 3 2 3
Largest loss -21.17 -21.17 -17.19
# bars in largest loss 2 2 3
----------------------------------------------------------------------
----------
Max. trade drawdown -60.60 -4.03 -60.60
Max. trade % drawdown -5.98 % -0.83 % -5.98 %
Max. system drawdown -60.40 -23.03 -37.37
Max. system % drawdown -1.53 % -0.70 % -1.63 %
Recovery Factor 176.86 262.99 123.78
CAR/MaxDD 82.47 130.55 47.67
RAR/MaxDD 111.99 328.40 140.68
Profit Factor 79.00 80.89 76.64
Payoff Ratio 2.96 2.67 3.22
Standard Error 1161.89 657.70 505.32
Risk-Reward Ratio 2.52 2.49 2.56
Ulcer Index 0.10 0.06 0.13
Ulcer Performance Index 1199.42 1449.04 539.46
Sharpe Ratio of trades 10.41 10.85 10.07
K-Ratio 2.19 2.17 2.23
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> If so, nice signals (:-)
>
>
>
> Understatement!!!!!
>
>
>
> Ken
>
>
>
> -----Original Message-----
> From: Dave Merrill [mailto:dmerrill@x...]
> Sent: Saturday, December 13, 2003 6:07 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: PositionScore Ideas
>
>
>
> 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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