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Jim,
Thanks, for the reference. Actually I closed my account with E*Trade and
will look into IB when I feel confident that I can trade profitably and am
better capitalized. Sometime in the next five years, I hope.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
jnk1997
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, December 14, 2003 6:04
PM
Subject: [amibroker] Re: PositionScore
Ideas- Greg
Greg, Interactive Brokers operates in Canada.<A
href="">http://www.interactivebrokers.ca/You
might save a bundle!Jim--- In <A
href="">amibroker@xxxxxxxxxxxxxxx, "Greg"
<gregbean@x...> wrote:>
Chuck,> > I tried what you suggested in the example below (from
help manual). Here are the results from the formula below the chart. I ran
the afl two times. Once with positionscore using RSW and once using RSI. I
think your suggestion did improve results . I'll have to experiment
with subtracting for shorter time periods.> > Greg>
> > > Commision = $27 (the Canadian rip-off
price)> > Delays = 1> > Buyprice = Open>
> From 29/01/2003 to 05/12/2003> > Watchlist of stocks
from CedarCreektrading website.> > > > >
> >
RSW>
>
RSI> >
> All
trades>
> All
trades>
> Initial
capital>
20000>
>
20000>
> Ending
capital>
29066.55>
>
26835.21>
> Net
Profit>
9066.55>
>
6835.21>
> Net Profit
%>
45.33%>
>
34.18%>
> Exposure
%>
80.95%>
>
82.75%>
> Net Risk Adjusted Return
%>
56.00%>
>
41.30%>
> Annual Return
%>
55.30%>
>
41.36%>
> Risk Adjusted Return
%>
68.31%>
>
49.98%>
> All
trades>
53>
>
51>
> Avg.
Profit/Loss>
171.07>
>
134.02>
> Avg. Profit/Loss
%>
2.96%>
>
2.44%>
> Avg. Bars
Held>
14.47>
>
15.33>
>
Winners> 37 (69.81
%)>
> 34 (66.67
%)>
> Total
Profit>
12630.38>
>
11464.17>
> Avg.
Profit>
341.36>
>
337.18>
> Avg. Profit
%>
5.70%>
>
5.73%>
> Avg. Bars
Held>
13>
>
13.35>
> Max.
Consecutive>
14>
>
13>
> Largest
win>
1042.56>
>
1051.2>
> # bars in largest
win>
21>
>
21>
>
Losers> 16 (30.19
%)>
> 17 (33.33
%)>
> Total
Loss>
-3563.83>
>
-4628.96>
> Avg.
Loss>
-222.74>
>
-272.29>
> Avg. Loss
%>
-3.38%>
>
-4.14%>
> Avg. Bars
Held>
17.88>
>
19.29>
> Max.
Consecutive>
3> >
4>
> Largest
loss>
-617.78>
>
-830.58>
> # bars in largest
loss>
24>
>
43>
> Max. trade
drawdown>
-1439.43>
>
-1517.04>
> Max. trade %
drawdown>
-22.14%>
>
-22.13%>
> Max. system
drawdown>
-2034.22>
>
-2096.86>
> Max. system %
drawdown>
-7.72%>
>
-7.89%>
> Recovery
Factor>
4.46>
>
3.26>
>
CAR/MaxDD>
7.16>
>
5.24>
>
RAR/MaxDD>
8.84>
>
6.34>
> Profit
Factor>
3.54>
>
2.48>
> Payoff
Ratio>
1.53>
>
1.24>
> Standard
Error>
926.26>
>
1169.56>
> Risk-Reward
Ratio>
15.03>
>
9.59>
> Ulcer
Index>
3.18>
>
3.58>
> Ulcer Performance
Index>
15.67>
>
10.05>
> Sharpe Ratio of
trades>
1.87>
>
1.36>
>
K-Ratio>
3.69>
>
2.35> > > > >
> /*****> > ** REGULAR PORTFOLIO mode > >
** This sample optimization> > ** finds what is optimum number
of positions open simultaneously> > ** > >
****/> > SetOption("InitialEquity", 20000 );> >
SetTradeDelays(1,1,1,1);> > RoundLotSize = 1; > >
posqty = Optimize("PosQty", 4, 1, 20, 1 );> >
SetOption("MaxOpenPositions", posqty);> > // desired position
size is 100% portfolio equity> > // divided by PosQty
positions> > PositionSize = -100/posqty; > > //
The system is very simple...> > // MA parameters could be
optimized too...> > p1 = 10;> > p2 = 22;>
> // simple MA crossover> > Short=Cross( MA(C,p1) ,
MA(C,p2) );> > Buy=Cross( MA(C,p2) , MA(C,p1) );>
> // always in the market > > Sell=Short; >
> Cover=Buy;> > // now additional score > >
// that is used to rank equities > > // when there are more
ENTRY signals that available> > // positions/cash>
> //PositionScore = 100-RSI(); // prefer stocks that have low
RSI;> >
//////////////////////////////////////////////////////////////////////>
> // 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)-tr13;> > PositionScore = 100-RSW;> >
> > ----- Original Message -----
> From: Chuck Rademacher > To:
amibroker@xxxxxxxxxxxxxxx > Sent: Sunday, December 14, 2003
4:17 PM> Subject: RE: [amibroker] Re: PositionScore
Ideas> > > Greg,> >
FWIW, I don't think you want to do this (below). I don't see
how you can compare absolute dollar returns for different
stocks. I'm sure that you will want to divide rather than
subtract. > > Also, see postings by Phsst
regarding the results below. They are very suspect for lots of
reasons. You can't have a positive CAR with a negative average
return per trade.> > I'll also let you in on a big
secret! I can't provide the exact code (sorry), but I
think you will find that negatively applying the return for the last few
days (weeks?) to this formula will dramatically help a short-term
system. In other words, add up the returns like you are
already doing and then subtract the returns for the most recent
period. This helps to buy stocks that have been rising but are
experiencing a pull-back. > > I am
trading one fund using this technique and it has been working very
well. I'm aware of two other hedge funds that have been
trading this way for more than 15 years and the performance of each has
been stellar!> > --------------------- CUT
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