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<FONT face=Arial color=#0000ff
size=2>Pal,
<FONT face=Arial color=#0000ff
size=2>
Please
try to keep track of your MANY stories. I have saved a lot of your
emails just to remind me of the inconsistency in your
reporting.
<FONT face=Arial color=#0000ff
size=2>
You
submit a stock system with no slippage. You have done a lot of
postings regarding stock systems. Each time I ask you about
slippage, you tell me that you only trade Forex and NEVER trade
stocks. Which is it?
<FONT face=Arial color=#0000ff
size=2>
BTW,
you would be the only person on the planet with no slippage trading
FOREX. My futures fund does about $50 million a day in FOREX trades
with plenty of slippage (positive and negative).
<FONT face=Arial color=#0000ff
size=2>
So,
please humour me with your stock system and tell me how well it does with 1%
slippage.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Thanks
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: palsanand
[mailto:palsanand@xxxxxxxxx]Sent: Sunday, December 14, 2003 2:07
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
PositionScore IdeasI 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@xxxx]> 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@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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