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<FONT face=Arial color=#0000ff
size=2>Pal,
<FONT face=Arial color=#0000ff
size=2>
What
good is a backtest with no slippage/commission? Slippage
happens! What kind of results do you get with 1%
slippage?
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: palsanand
[mailto:palsanand@xxxxxxxxx]Sent: Saturday, December 13, 2003 9:36
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
PositionScore IdeasIf 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 | SymbolsStatistics 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@xxxx] > 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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pmail/S=:HM/A=1853618/rand=913965878> > > > Send BUG
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