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[amibroker] Re: PositionScore Ideas



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I trade the FOREX market and there are no slippages/commissions (the 
market being so huge they can afford to have no commissions) there, 
i.e, What You See Is What You Get, the price has no slippages, it 
takes 1 click to get a fill.

rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher" 
<chuck_rademacher@x> wrote:
> Pal,
> 
> What good is a backtest with no slippage/commission?   Slippage 
happens!
> What kind of results do you get with 1% slippage?
>   -----Original Message-----
>   From: palsanand [mailto:palsanand@x...]
>   Sent: Saturday, December 13, 2003 9:36 PM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: [amibroker] Re: PositionScore Ideas
> 
> 
>   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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