|
PureBytes Links
Trading Reference Links
|
Actually, there are no rollover charges either if the margin
requirement is 2% instead of 1% (which is what I use for trading my
account, but the leverage obviously now drops to 50:1 instead of
100:1) So to be fair to the FOREX market, to my broker and to
myself, using a margin requirement of 2%, I get the following results
(I hope you are not mad about this):
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 1000.00 1000.00 1000.00
Ending capital 11527.75 6864.56 5663.19
Net Profit 10527.75 5864.56 4663.19
Net Profit % 1052.77 % 586.46 % 466.32 %
Exposure % 73.40 % 39.27 % 34.12 %
Net Risk Adjusted Return % 1434.39 % 1493.26 % 1366.64 %
Annual Return % 125.23 % 89.61 % 77.87 %
Risk Adjusted Return % 170.62 % 228.16 % 228.22 %
----------------------------------------------------------------------
----------
All trades 1251 628 (50.20 %) 623 (49.80 %)
Avg. Profit/Loss 8.42 9.34 7.49
Avg. Profit/Loss % 1.10 % 1.18 % 1.01 %
Avg. Bars Held 3.78 3.95 3.61
----------------------------------------------------------------------
----------
Winners 1207 (96.48 %) 607 (48.52 %) 600 (47.96 %)
Total Profit 10655.84 5944.79 4711.05
Avg. Profit 8.83 9.79 7.85
Avg. Profit % 1.15 % 1.23 % 1.06 %
Avg. Bars Held 3.80 3.98 3.62
Max. Consecutive 232 119 169
Largest win 77.52 77.52 60.60
# bars in largest win 14 14 6
----------------------------------------------------------------------
----------
Losers 44 (3.52 %) 21 (1.68 %) 23 (1.84 %)
Total Loss -128.09 -80.23 -47.86
Avg. Loss -2.91 -3.82 -2.08
Avg. Loss % -0.35 % -0.40 % -0.31 %
Avg. Bars Held 3.11 3.00 3.22
Max. Consecutive 3 2 3
Largest loss -21.17 -21.17 -6.72
# bars in largest loss 2 2 2
----------------------------------------------------------------------
----------
Max. trade drawdown -60.60 -3.85 -60.60
Max. trade % drawdown -5.98 % -0.83 % -5.98 %
Max. system drawdown -45.82 -23.73 -30.70
Max. system % drawdown -1.56 % -0.72 % -1.62 %
Recovery Factor 229.76 247.14 151.90
CAR/MaxDD 80.43 124.25 48.21
RAR/MaxDD 109.59 316.37 141.29
Profit Factor 83.19 74.10 98.43
Payoff Ratio 3.03 2.56 3.77
Standard Error 1145.50 653.90 492.66
Risk-Reward Ratio 2.52 2.44 2.61
Ulcer Index 0.10 0.06 0.13
Ulcer Performance Index 1222.60 1314.36 576.94
Sharpe Ratio of trades 10.56 10.90 10.29
K-Ratio 2.19 2.12 2.27
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> 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
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Yahoo! Groups Sponsor
> > > >
> > > >
> > > >
> > > > ADVERTISEMENT
> > > >
> > > >
> > >
> >
>
<http://rd.yahoo.com/SIG=12cg8o69u/M=267637.4116732.5333197.1261774/D=
> > > eg
> > > >
> > >
> >
>
roupweb/S=1705632198:HM/EXP=1071443239/A=1853618/R=0/*http:/www.netfli
> > > x.
> > > > com/Default?mqso=60178338&partid=4116732> click here
> > > >
> > > >
> > > >
> > > > <http://us.adserver.yahoo.com/l?
> > > M=267637.4116732.5333197.1261774/D=egrou
> > > > pmail/S=:HM/A=1853618/rand=913965878>
> > > >
> > > >
> > > > Send BUG REPORTS to bugs@xxxx
> > > > Send SUGGESTIONS to suggest@xxxx
> > > > -----------------------------------------
> > > > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > > > (Web page:
http://groups.yahoo.com/group/amiquote/messages/)
> > > > --------------------------------------------
> > > > Check group FAQ at:
> > > >
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > >
> > > > Your use of Yahoo! Groups is subject to the Yahoo!
> > > > <http://docs.yahoo.com/info/terms/> Terms of Service.
> > >
> > >
> > > Yahoo! Groups Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> > Service.
> >
> >
> > Yahoo! Groups Sponsor
> > ADVERTISEMENT
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|