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I will try to do a backtest with over-night roll-over charges masked
as slippages/commissions of 1%. For small positions (< 1 million $)
there are no slippages. For positions greater than 1 million $,
depending on the brokerage house, there might be slippages.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Pal,
>
> 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.
>
> 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?
>
> 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).
>
> So, please humour me with your stock system and tell me how well it
does
> with 1% slippage.
>
> Thanks
> -----Original Message-----
> From: palsanand [mailto:palsanand@x...]
> Sent: Sunday, December 14, 2003 2:07 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: PositionScore Ideas
>
>
> 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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