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Hello,
I have found the reason why your report shows positive avg
dollar profit while showing negative avg PERCENT profit.
Reason is that you are using fixed $30 commissions per
trade and this causes
that certain trades of that have small position value loose a
lot (in percent).
This influences average PERCENT gain/loss since it is
calculated as AVERAGE of PERCENT profit/loss
per trade, so this average becomes negative.
See the few top trades from your trade list. Take a look at
two trades IBM and PDG.
They are all very small (20 and 6 shares respectively) so
fixed $30 commission each way generates loss
of -14.17% and -39.20% respectively.
Now calculating AVERAGE PERCENT p/l is summing % p/l of
individual trades and dividing them by the number of
trades leads to NEGATIVE percent p/l EVEN though system EARNED
money.
This is so because big percent looses happen only on VERY
SMALL trades (trades that have very small dollar value).
Thus big percent looses in such small trades do not really
affect profit of entire portfolio.
<TABLE cellSpacing=0
cellPadding=0 width=1109 border=0 x:str>
<COL
width=83>
<COL
width=84>
<COL
width=77>
<COL
width=70>
<COL
width=76>
<COL
width=79>
<TD
width=64 height=17>Ticker
<TD
width=64>Trade
<TD
width=83>Entry
<TD
width=64>
<TD
width=84>Exit
<TD
width=64>
<TD
width=64>Change
<TD
width=77>Profit
<TD
width=70>Profit %
<TD
width=64>Shares
<TD class=xl34
width=76>Pos value
<TD
width=79>Cum Profit
<TD
width=64>#
<TD
width=64>bars
<TD
width=64>Profit/bar
<TD
width=64>MAE/MFE
<TD
height=17>SMTC
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34851"><FONT face="Arial CE"
size=2>1995-06-01
<TD
align=right x:num="2.03125">2,03125
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="2.0781299999999998"><FONT face="Arial CE"
size=2>2,07813
<TD class=xl23
align=right x:num="2.3099999999999999E-2"><FONT face="Arial CE"
size=2>2,31%
<TD
align=right x:num="401.53">401,53
<TD class=xl23
align=right x:num="2.01E-2">2,01%
<TD
align=right x:num>9846
<TD class=xl34
align=right x:num="19999.69"><FONT face="Arial CE"
size=2>19999,69
<TD
align=right x:num="401.53">401,53
<TD
align=right x:num>2
<TD
align=right x:num="200.77">200,77
<TD class=xl23
align=right x:num="0">0,00%
<TD class=xl23
align=right x:num="6.1499999999999999E-2"><FONT face="Arial CE"
size=2>6,15%
<TD
height=17>VRTS
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34851"><FONT face="Arial CE"
size=2>1995-06-01
<TD
align=right x:num="1.2839499999999999"><FONT face="Arial CE"
size=2>1,28395
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="1.2510300000000001"><FONT face="Arial CE"
size=2>1,25103
<TD class=xl23
align=right x:num="-2.5600000000000001E-2"><FONT face="Arial CE"
size=2>-2,56%
<TD
align=right x:num="-572.5">-572,5
<TD class=xl23
align=right x:num="-2.86E-2">-2,86%
<TD
align=right x:num>15567
<TD class=xl34
align=right x:num="19987.26"><FONT face="Arial CE"
size=2>19987,26
<TD
align=right x:num="-170.96">-170,96
<TD
align=right x:num>2
<TD
align=right x:num="-286.25">-286,25
<TD class=xl23
align=right x:num="-2.5600000000000001E-2"><FONT face="Arial CE"
size=2>-2,56%
<TD class=xl23
align=right x:num="0">0,00%
<TD
height=17>COMS
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34851"><FONT face="Arial CE"
size=2>1995-06-01
<TD
align=right x:num="6.6796899999999999"><FONT face="Arial CE"
size=2>6,67969
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="6.8098999999999998"><FONT face="Arial CE"
size=2>6,8099
<TD class=xl23
align=right x:num="1.95E-2">1,95%
<TD
align=right x:num="329.32">329,32
<TD class=xl23
align=right x:num="1.6500000000000001E-2"><FONT face="Arial CE"
size=2>1,65%
<TD
align=right x:num>2990
<TD class=xl34
align=right x:num="19972.26"><FONT face="Arial CE"
size=2>19972,26
<TD
align=right x:num="158.36">158,36
<TD
align=right x:num>2
<TD
align=right x:num="164.66">164,66
<TD class=xl23
align=right x:num="-3.8999999999999998E-3"><FONT face="Arial CE"
size=2>-0,39%
<TD class=xl23
align=right x:num="3.6999999999999998E-2"><FONT face="Arial CE"
size=2>3,70%
<TD
height=17>INTC
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34851"><FONT face="Arial CE"
size=2>1995-06-01
<TD
align=right x:num="7.03125">7,03125
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="7.0859399999999999"><FONT face="Arial CE"
size=2>7,08594
<TD class=xl23
align=right x:num="7.7999999999999996E-3"><FONT face="Arial CE"
size=2>0,78%
<TD
align=right x:num="95.26">95,26
<TD class=xl23
align=right x:num="4.7999999999999996E-3"><FONT face="Arial CE"
size=2>0,48%
<TD
align=right x:num>2839
<TD class=xl34
align=right x:num="19961.72"><FONT face="Arial CE"
size=2>19961,72
<TD
align=right x:num="253.62">253,62
<TD
align=right x:num>2
<TD
align=right x:num="47.63">47,63
<TD class=xl23
align=right x:num="-1.1000000000000001E-3"><FONT face="Arial CE"
size=2>-0,11%
<TD class=xl23
align=right x:num="2.8899999999999999E-2"><FONT face="Arial CE"
size=2>2,89%
<TD
height=17>CDWC
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34851"><FONT face="Arial CE"
size=2>1995-06-01
<TD
align=right x:num="6.5">6,5
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="6.625">6,625
<TD class=xl23
align=right x:num="1.9199999999999998E-2"><FONT face="Arial CE"
size=2>1,92%
<TD
align=right x:num="323.25">323,25
<TD class=xl23
align=right x:num="1.6199999999999999E-2"><FONT face="Arial CE"
size=2>1,62%
<TD
align=right x:num>3066
<TD class=xl34
align=right x:num="19929">19929,00
<TD
align=right x:num="576.87">576,87
<TD
align=right x:num>2
<TD
align=right x:num="161.63">161,63
<TD class=xl23
align=right x:num="-2.5600000000000001E-2"><FONT face="Arial CE"
size=2>-2,56%
<TD class=xl23
align=right x:num="1.9199999999999998E-2"><FONT face="Arial CE"
size=2>1,92%
<TD
height=17>EMC
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="2.90625">2,90625
<TD class=xl22
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD
align=right x:num="2.9843799999999998"><FONT face="Arial CE"
size=2>2,98438
<TD class=xl23
align=right x:num="2.69E-2">2,69%
<TD
align=right x:num="480.7">480,7
<TD class=xl23
align=right x:num="2.3900000000000001E-2"><FONT face="Arial CE"
size=2>2,39%
<TD
align=right x:num>6921
<TD class=xl34
align=right x:num="20114.16"><FONT face="Arial CE"
size=2>20114,16
<TD
align=right x:num="1057.57">1057,57
<TD
align=right x:num>2
<TD
align=right x:num="240.35">240,35
<TD class=xl23
align=right x:num="-2.1499999999999998E-2"><FONT face="Arial CE"
size=2>-2,15%
<TD class=xl23
align=right x:num="2.69E-2"><FONT face="Arial CE"
size=2>2,69%
<TD
height=17>ORCL
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="2.6296300000000001"><FONT face="Arial CE"
size=2>2,62963
<TD class=xl22
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD
align=right x:num="2.7407400000000002"><FONT face="Arial CE"
size=2>2,74074
<TD class=xl23
align=right x:num="4.2299999999999997E-2"><FONT face="Arial CE"
size=2>4,23%
<TD
align=right x:num="788.89">788,89
<TD class=xl23
align=right x:num="3.9300000000000002E-2"><FONT face="Arial CE"
size=2>3,93%
<TD
align=right x:num>7640
<TD class=xl34
align=right x:num="20090.37"><FONT face="Arial CE"
size=2>20090,37
<TD
align=right x:num="1846.46">1846,46
<TD
align=right x:num>2
<TD
align=right x:num="394.44">394,44
<TD class=xl23
align=right x:num="-2.8199999999999999E-2"><FONT face="Arial CE"
size=2>-2,82%
<TD class=xl23
align=right x:num="4.2299999999999997E-2"><FONT face="Arial CE"
size=2>4,23%
<TD
height=17>AIG
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="17.9358">17,9358
<TD class=xl22
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD
align=right x:num="18.449400000000001"><FONT face="Arial CE"
size=2>18,4494
<TD class=xl23
align=right x:num="2.86E-2">2,86%
<TD
align=right x:num="514.7">514,7
<TD class=xl23
align=right x:num="2.5600000000000001E-2"><FONT face="Arial CE"
size=2>2,56%
<TD
align=right x:num>1119
<TD class=xl34
align=right x:num="20070.16"><FONT face="Arial CE"
size=2>20070,16
<TD
align=right x:num="2361.16">2361,16
<TD
align=right x:num>2
<TD
align=right x:num="257.35">257,35
<TD class=xl23
align=right x:num="-1.1000000000000001E-3"><FONT face="Arial CE"
size=2>-0,11%
<TD class=xl23
align=right x:num="3.3000000000000002E-2"><FONT face="Arial CE"
size=2>3,30%
<TD
height=17>VLO
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34852"><FONT face="Arial CE"
size=2>1995-06-02
<TD
align=right x:num="14.406000000000001"><FONT face="Arial CE"
size=2>14,406
<TD class=xl22
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD
align=right x:num="14.489800000000001"><FONT face="Arial CE"
size=2>14,4898
<TD class=xl23
align=right x:num="5.7999999999999996E-3"><FONT face="Arial CE"
size=2>0,58%
<TD
align=right x:num="56.59">56,59
<TD class=xl23
align=right x:num="2.8E-3">0,28%
<TD
align=right x:num>1392
<TD class=xl34
align=right x:num="20053.15"><FONT face="Arial CE"
size=2>20053,15
<TD
align=right x:num="2417.75">2417,75
<TD
align=right x:num>2
<TD
align=right x:num="28.29">28,29
<TD class=xl23
align=right x:num="-5.7999999999999996E-3"><FONT face="Arial CE"
size=2>-0,58%
<TD class=xl23
align=right x:num="5.7999999999999996E-3"><FONT face="Arial CE"
size=2>0,58%
<TD
height=17>MBG
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD
align=right x:num>34
<TD class=xl22
align=right x:num="34856"><FONT face="Arial CE"
size=2>1995-06-06
<TD
align=right x:num="33.75">33,75
<TD class=xl23
align=right x:num="-7.4000000000000003E-3"><FONT face="Arial CE"
size=2>-0,74%
<TD
align=right x:num="-210.25">-210,25
<TD class=xl23
align=right x:num="-1.03E-2">-1,03%
<TD
align=right x:num>601
<TD class=xl34
align=right x:num="20434">20434,00
<TD
align=right x:num="2207.5">2207,5
<TD
align=right x:num>2
<TD
align=right x:num="-105.13">-105,13
<TD class=xl23
align=right x:num="-7.4000000000000003E-3"><FONT face="Arial CE"
size=2>-0,74%
<TD class=xl23
align=right x:num="3.7000000000000002E-3"><FONT face="Arial CE"
size=2>0,37%
<TD
height=17>STJ
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD
align=right x:num="14.75">14,75
<TD class=xl22
align=right x:num="34856"><FONT face="Arial CE"
size=2>1995-06-06
<TD
align=right x:num="14.75">14,75
<TD class=xl23
align=right x:num="0">0,00%
<TD
align=right x:num>-60
<TD class=xl23
align=right x:num="-2.8999999999999998E-3"><FONT face="Arial CE"
size=2>-0,29%
<TD
align=right x:num>1385
<TD class=xl34
align=right x:num="20428.75"><FONT face="Arial CE"
size=2>20428,75
<TD
align=right x:num="2147.5">2147,5
<TD
align=right x:num>2
<TD
align=right x:num>-30
<TD class=xl23
align=right x:num="-8.5000000000000006E-3"><FONT face="Arial CE"
size=2>-0,85%
<TD class=xl23
align=right x:num="5.5999999999999999E-3"><FONT face="Arial CE"
size=2>0,56%
<TD
height=17>FHCC
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD
align=right x:num="7.875">7,875
<TD class=xl22
align=right x:num="34856"><FONT face="Arial CE"
size=2>1995-06-06
<TD
align=right x:num="7.96875">7,96875
<TD class=xl23
align=right x:num="1.1900000000000001E-2"><FONT face="Arial CE"
size=2>1,19%
<TD
align=right x:num>183
<TD class=xl23
align=right x:num="8.9999999999999993E-3"><FONT face="Arial CE"
size=2>0,90%
<TD
align=right x:num>2592
<TD class=xl34
align=right x:num="20412">20412,00
<TD
align=right x:num="2330.5">2330,5
<TD
align=right x:num>2
<TD
align=right x:num="91.5">91,5
<TD class=xl23
align=right x:num="0">0,00%
<TD class=xl23
align=right x:num="3.1699999999999999E-2"><FONT face="Arial CE"
size=2>3,17%
<TD
height=17>BDX
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD
align=right x:num="14.5313">14,5313
<TD class=xl22
align=right x:num="34857"><FONT face="Arial CE"
size=2>1995-06-07
<TD
align=right x:num="14.2813">14,2813
<TD class=xl23
align=right x:num="-1.72E-2">-1,72%
<TD
align=right x:num>-411
<TD class=xl23
align=right x:num="-2.01E-2">-2,01%
<TD
align=right x:num>1404
<TD class=xl34
align=right x:num="20401.88"><FONT face="Arial CE"
size=2>20401,88
<TD
align=right x:num="1919.5">1919,5
<TD
align=right x:num>3
<TD
align=right x:num>-137
<TD class=xl23
align=right x:num="-1.72E-2">-1,72%
<TD class=xl23
align=right x:num="0">0,00%
<TD class=xl24
height=17>IBM
<TD class=xl24
><FONT
face="Arial CE" size=2>Long
<TD class=xl25
align=right x:num="34855"><FONT face="Arial CE"
size=2>1995-06-05
<TD class=xl24
align=right x:num="22.9375">22,9375
<TD class=xl25
align=right x:num="34857"><FONT face="Arial CE"
size=2>1995-06-07
<TD class=xl24
align=right x:num="22.6875">22,6875
<TD class=xl26
align=right x:num="-1.09E-2">-1,09%
<TD class=xl24
align=right x:num>-65
<TD class=xl30
align=right x:num="-0.14169999999999999"><FONT face="Arial CE"
size=2>-14,17%
<TD class=xl32
align=right x:num>20
<TD class=xl35
align=right x:num="458.75">458,75
<TD class=xl24
align=right x:num="1854.5">1854,5
<TD class=xl24
align=right x:num>3
<TD class=xl24
align=right x:num="-21.67">-21,67
<TD class=xl26
align=right x:num="-1.9099999999999999E-2"><FONT face="Arial CE"
size=2>-1,91%
<TD class=xl26
align=right x:num="1.9099999999999999E-2"><FONT face="Arial CE"
size=2>1,91%
<TD
height=17>EMC
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34856"><FONT face="Arial CE"
size=2>1995-06-06
<TD
align=right x:num="2.9375">2,9375
<TD class=xl22
align=right x:num="34857"><FONT face="Arial CE"
size=2>1995-06-07
<TD
align=right x:num="2.90625">2,90625
<TD class=xl23
align=right x:num="-1.06E-2">-1,06%
<TD
align=right x:num="-276.47">-276,47
<TD class=xl23
align=right x:num="-1.3599999999999999E-2"><FONT face="Arial CE"
size=2>-1,36%
<TD
align=right x:num>6927
<TD class=xl34
align=right x:num="20348.06"><FONT face="Arial CE"
size=2>20348,06
<TD
align=right x:num="1578.03">1578,03
<TD
align=right x:num>2
<TD
align=right x:num="-138.23">-138,23
<TD class=xl23
align=right x:num="-1.06E-2">-1,06%
<TD class=xl23
align=right x:num="1.6E-2">1,60%
<TD
height=17>IACI
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34856"><FONT face="Arial CE"
size=2>1995-06-06
<TD
align=right x:num="3.4375">3,4375
<TD class=xl22
align=right x:num="34857"><FONT face="Arial CE"
size=2>1995-06-07
<TD
align=right x:num="3.5">3,5
<TD class=xl23
align=right x:num="1.8200000000000001E-2"><FONT face="Arial CE"
size=2>1,82%
<TD
align=right x:num="309.75">309,75
<TD class=xl23
align=right x:num="1.52E-2">1,52%
<TD
align=right x:num>5916
<TD class=xl34
align=right x:num="20336.25"><FONT face="Arial CE"
size=2>20336,25
<TD
align=right x:num="1887.78">1887,78
<TD
align=right x:num>2
<TD
align=right x:num="154.88">154,88
<TD class=xl23
align=right x:num="0">0,00%
<TD class=xl23
align=right x:num="5.45E-2"><FONT face="Arial CE"
size=2>5,45%
<TD
height=17>SDS
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34856"><FONT face="Arial CE"
size=2>1995-06-06
<TD
align=right x:num="6.03125">6,03125
<TD class=xl22
align=right x:num="34857"><FONT face="Arial CE"
size=2>1995-06-07
<TD
align=right x:num="6.0625">6,0625
<TD class=xl23
align=right x:num="5.1999999999999998E-3"><FONT face="Arial CE"
size=2>0,52%
<TD
align=right x:num="45.28">45,28
<TD class=xl23
align=right x:num="2.2000000000000001E-3"><FONT face="Arial CE"
size=2>0,22%
<TD
align=right x:num>3369
<TD class=xl34
align=right x:num="20319.28"><FONT face="Arial CE"
size=2>20319,28
<TD
align=right x:num="1933.06">1933,06
<TD
align=right x:num>2
<TD
align=right x:num="22.64">22,64
<TD class=xl23
align=right x:num="0">0,00%
<TD class=xl23
align=right x:num="2.07E-2"><FONT face="Arial CE"
size=2>2,07%
<TD class=xl27
height=17>PDG
<TD class=xl27
><FONT
face="Arial CE" size=2>Long
<TD class=xl28
align=right x:num="34856"><FONT face="Arial CE"
size=2>1995-06-06
<TD class=xl27
align=right x:num="24.875">24,875
<TD class=xl28
align=right x:num="34858"><FONT face="Arial CE"
size=2>1995-06-08
<TD class=xl27
align=right x:num="25.125">25,125
<TD class=xl29
align=right x:num="1.01E-2">1,01%
<TD class=xl27
align=right x:num="-58.5">-58,5
<TD class=xl31
align=right x:num="-0.39200000000000002"><FONT face="Arial CE"
size=2>-39,20%
<TD class=xl33
align=right x:num>6
<TD class=xl36
align=right x:num="149.25">149,25
<TD class=xl27
align=right x:num="1874.56">1874,56
<TD class=xl27
align=right x:num>3
<TD class=xl27
align=right x:num="-19.5">-19,5
<TD class=xl29
align=right x:num="-1.5100000000000001E-2"><FONT face="Arial CE"
size=2>-1,51%
<TD class=xl29
align=right x:num="2.01E-2"><FONT face="Arial CE"
size=2>2,01%
<TD
height=17>GG
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34857"><FONT face="Arial CE"
size=2>1995-06-07
<TD
align=right x:num="2.90625">2,90625
<TD class=xl22
align=right x:num="34858"><FONT face="Arial CE"
size=2>1995-06-08
<TD
align=right x:num="2.90625">2,90625
<TD class=xl23
align=right x:num="0">0,00%
<TD
align=right x:num>-60
<TD class=xl23
align=right x:num="-3.0000000000000001E-3"><FONT face="Arial CE"
size=2>-0,30%
<TD
align=right x:num>6997
<TD class=xl34
align=right x:num="20335.03"><FONT face="Arial CE"
size=2>20335,03
<TD
align=right x:num="1814.56">1814,56
<TD
align=right x:num>2
<TD
align=right x:num>-30
<TD class=xl23
align=right x:num="-1.0800000000000001E-2"><FONT face="Arial CE"
size=2>-1,08%
<TD class=xl23
align=right x:num="0">0,00%
<TD
height=17>GDW
<TD
><FONT
face="Arial CE" size=2>Long
<TD class=xl22
align=right x:num="34857"><FONT face="Arial CE"
size=2>1995-06-07
<TD
align=right x:num="16.041699999999999"><FONT face="Arial CE"
size=2>16,0417
<TD class=xl22
align=right x:num="34858"><FONT face="Arial CE"
size=2>1995-06-08
<TD
align=right x:num="16.125">16,125
<TD class=xl23
align=right x:num="5.1999999999999998E-3"><FONT face="Arial CE"
size=2>0,52%
<TD
align=right x:num="45.5">45,5
<TD class=xl23
align=right x:num="2.2000000000000001E-3"><FONT face="Arial CE"
size=2>0,22%
<TD
align=right x:num>1266
<TD class=xl34
align=right x:num="20308.75"><FONT face="Arial CE"
size=2>20308,75
<TD
align=right x:num="1860.06">1860,06
<TD
align=right x:num>2
<TD
align=right x:num="22.75">22,75
<TD class=xl23
align=right x:num="-5.1999999999999998E-3"><FONT face="Arial CE"
size=2>-0,52%
<TD class=xl23
align=right x:num="1.2999999999999999E-2"><FONT face="Arial CE"
size=2>1,30%
<TD
height=17>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>Avg profit:
<TD
colSpan=2>Avg % profit:
<TD class=xl34
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
height=17>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
><FONT
face="Arial CE" size=2>
<TD
align=right x:num="93.002499999999998" x:fmla="=AVERAGE(H2:H22)"><FONT
face="Arial CE" size=2>+93,0025
<TD class=xl23
align=right x:num="-2.172E-2" x:fmla="=AVERAGE(I2:I22)"><FONT
face="Arial CE" size=2>-2,17%
<TD
>
<TD class=xl34
>
<TD
>
<TD
>
<TD
>
<TD
>
<TD
>
Hope this helps.
Best regards,Tomasz Janeczkoamibroker.com
----- Original Message -----
From: "Phsst" <<A
href="">phsst@xxxxxxxxx<FONT
size=2>>
To: <<A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, December 15, 2003 4:58 AM
Subject: [amibroker] Re: PositionScore
Ideas
Chuck,FWIW, I exported
the trade list from the backtest I posted, and thenprocessed the trades with
my own reporting program that I used priorto introduction of Portfolio
trading in AB.The reported Net Profit I posted matched. As did the
calculated RiskAdj RAR. So the other figures that you found issues with are
inquestion (I did not calc those figures in my own program).I've
heard from TJ... apprised him of the figures you pointed out, andat his
request sent everything related to the backtest to him
foranalysis.We will see.Phsst --- In
<FONT
size=2>amibroker@xxxxxxxxxxxxxxx, "Phsst" <<A
href="">phsst@x...>
wrote:> Greg, Chuck & Gary,> > No 'bother' Greg.
> > And thanks to Chuck for his hints regarding applying recent
negative> pullbacks. > > I haven't heard back from TJ yet
concerning the reporting issues of my> backtest.> > Tonight
I'll export the trades to XL and at least verify that Net> Profit calcs
were or were not correct. Also, I have my own program> that than take
that data and verify Risk Adj RAR.> > And finally, I'll take a
look at the QRSRaw calc that Gary posted to> see if it approximates the
QRS rank.> > Phsst> > > > --- In
<FONT
size=2>amibroker@xxxxxxxxxxxxxxx, "Chuck
Rademacher"> <<FONT
size=2>chuck_rademacher@x> wrote:> >
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.
Theyare 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 exactcode> >
(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
workingvery> > 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!> >
-----Original Message-----> > From: Greg
[mailto:gregbean@xxxx]> > Sent: Sunday, December 14, 2003
3:06 PM> > To: <A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx>
> Subject: Re: [amibroker] Re: PositionScore Ideas> >
> > > > Phsst,> > >
> The return doesn't look so good for RSW. Could you please
try> comparison> > using the following formula instead . I'm
not sure that the original> formula> > I provided should have
been as a percent. Maybe it makes adifference ??> > >
> // RSWraw = .4*(Total Return 13-Week)+.3*(Total Return>
26-Week)+.3*(Total> > Return 1-Year)>
> tr13 = 0.4 * (C - Ref(C, -65));> > tr26 =
0.3 * (C - Ref(C, -130));> > tr52 = 0.3 * (C - Ref(C,
-260));> > RSWraw = tr13 + tr26 + tr52;>
> PositionScore = RSWraw;> > > >
Sorry to bother you again.> > > > Greg>
> > > > > > > >
> ----- Original Message ----->
> From: Phsst> >
To: <FONT
size=2>amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, December 13, 2003 6:30 PM>
> Subject: [amibroker] Re: PositionScore
Ideas> > > > > >
Greg,> > > > 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 aRSW vs.> > QRS comparison on. If
there are any notable improvements tothe RSW>
> results, I'll post them.> > >
> Regards,> > >
> Phsst> > >
> --- In <A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx, "Greg" <<A
href="">gregbean@x...>
wrote:> > > Phsst,>
> >> > > Yes
I think it is (Total Return 13-Week) means (Pct Pricegain in>
> > 13-Weeks). The terms are from ValueLine, I
think.> > > <A
href=""><FONT
size=2>http://www.valueline.com/>
> >> > > IBD
definition of Relative Strength:> >
>> > > Relative Price Strength
(RS) Rating or RelativeStrengthThis IBD> >
SmartSelect® Corporate Rating measures each stock's price>
performance> > over the latest twelve months
compared to all other stocks. The> rating>
> scale ranges from 1 (lowest) to 99 (highest).
Stocks ratingbelow 70> > indicate weaker
or more laggard relative price performance.> >
> <FONT
size=2>http://www.investors.com/>
> >> >
>> > > Greg>
> >> >
> ----- Original Message ----->
> > From: Phsst>
> > To: <A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, December 13, 2003
4:52 PM> > > Subject:
[amibroker] Re: PositionScore Ideas> >
>> > >>
> > Greg,>
> >> >
> I'll be happy to do a comparison on just about anything
that> might> > be> >
> comparable to IDB's RS Rank.>
> >> >
> I assume that (Total Return 13-Week) means (Pct Price gain
in> > > 13-Weeks), and so
on?> > >>
> > Worth noting here, that IDB's RS
Rank is a score between 1> and 100> >
> that ranks each particular stock against the whole mkt for
the> > past year.>
> >> >
> But for positionscore pusposes, we are not limited to a>
score of 1 -> > > 100, so I can
do the raw comparison of results from yourformula>
> to QRS.> >
>> > > I'll post back later
under this same Subject.> > >>
> > Regards>
> >> >
> Phsst> > >>
> >> >
> --- In <FONT
size=2>amibroker@xxxxxxxxxxxxxxx, "Greg" <<A
href="">gregbean@x<FONT
size=2>...>wrote:> > >
> Hi Phsst.> > >
>> > > > Here is a
formula that I have been told closely follows> that of> >
IBD.> > > Could you please do
the comparison you offered ?> >
> >> > > >
RSW = .4*(Total Return 13-Week)+.3*(Total Return> >
26-Week)+.3*(Total> > > Return
1-Year)> > > >>
> > > Thanks,>
> > > Greg>
> > > ----- Original
Message -----> > >
> From: Phsst> >
> > To: <A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Saturday,
December 13, 2003 1:26 PM> > >
> Subject: [amibroker] Re: PositionScore Ideas>
> > >>
> > >>
> > > Al,>
> > >>
> > > My favorite is
the QP2 QRS value (GetExtraData("QRS").> The QP2> > QRS>
> > > value is supposed
to be a 'knockoff' of the IBD RS ranking> > score.>
> > >>
> > > I almost always
get a significant boost using this ranking> >
figure as> > > >
as the positionscore.> > >
>> > > > If
you do not have QP2, but have any ideas about how to do>
> your own RS> >
> > Rank calculation, I'd be happy to run some
comparisons> for you> > (or>
> > > anyone else) to
measure your calculated RS Rank against> QP2's> > QRS>
> > rank.>
> > >>
> > > Cheers,>
> > >>
> > > Phsst>
> > > --- In <A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx, "Al Venosa">
<advenosa@x<FONT
size=2>...>> > wrote:>
> > > > Hi,
all:> > > >
>> > > > >
I've been experimenting with variuos short term trading> >
systems> > > >
lately (average trade durations of about 2.5 days), and> I was>
> looking> >
> > for ideas on how best to rank a watchlist to
get the best> > candidates>
> > > for portfolio
trading a basket of 4 stocks. I was> wondering if>
> anyone> >
> > would care to share any ideas on how you use
the> PositionScore> > >
> function to rank your candidate list (using regular>
mode, not> > > >
rotational mode). I've tried combinations of turnover and>
> volatility,> >
> > but I'd like to try other ideas. I'm not
asking anyone> to give> > away>
> > > any secrets, and,
yes, I am aware of TJ's example in the> help> > file>
> > > (PositionScore =
100 -RSI());), but I was just looking for> >
more ideas.> > >
> I'm not even sure if this question is too vague or not.>
If it> > is, I'm>
> > > sure you'll tell
me. TIA.> > > >
>> > > > >
Al Venosa> > > >
> advenosa@x<FONT
size=2>...> > >
> >> > >
> >> > >
> > ---> > >
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> >> > >
>> > >
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