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John,
Since I have already posted the analytic report, you may see the
settings:Delays +1, trades at Open, commission 0.5%, all stops
disabled.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> Hi DT,
>
> thanks for all the labor!
>
> My report results, using the old backtester, are identical to
yours! (with Yahoo EOD data(unpurified) and Amibroker 4.50.4.)
>
> Slightly different(see attached), however, are my:
> a) equity plot Whereas your Title values are identical to the
right-side labels, mine are not. ( I use what I believe to be the
standard Equity Line code* that comes with Amibroker)
> b) indicator plot (the numerical values in the Title are
slightly lower than yours)
>
> Can anyone think of anything that explains the differences?
>
> thanks
>
> -john
>
> *Equity Line code:
> //--equity-plot-- do not remove this line
>
> MaxGraph=0;GraphXSpace=5;
>
> GraphZOrder=1;
>
> Plot( Equity( 0, -2 ), "Equity", -8, styleArea );
>
> /* now buy and hold simulation */
>
> Short=Cover=0;
>
> Buy=Status("firstbarintest");
>
> Sell=Status("lastbarintest");
>
> SetTradeDelays(0,0,0,0); PositionSize = -100;
>
> ApplyStop(0,0,0,0);
>
> ApplyStop(1,0,0,0);
>
> ApplyStop(2,0,0,0);
>
> Plot( Equity( 0, -2 ), "Buy&Hold", -9 );
>
>
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, December 17, 2003 5:17 AM
> Subject: [amibroker] Artificial Intelligence, an introduction,
^N225 2003
>
>
> Yuki wrote at
http://groups.yahoo.com/group/amibroker/message/54931
> "...There are a lot of people who missed the move this year,
and..."
>
> What could we do not to miss the move ? Here is the elementary AI
proposal:
>
> The first significant ^N225 trough was on Jan31, 2003 and the
very next significant peak was on Feb17.
> Suppose we follow this pattern and then buy every x1 days after
the first buy and sell every x2 days after the first sell.
> By the end of the first 6 months we try to learn the rhythm of
the market and trade it for the next 6 months.
> The initial rhythm may need corrections as the market changes,
inspections every 15-20 days are necessary.
> The results are interesting:
> There were 3 main rhythm combinations [x1,x2], the [29,24] for 34
days, the [26,33] for the next 34 days and, finally,
> a potential combination [25,28] was detected around mid September
and it is valid untill now.
> Another important issue : The system "understood" around mid July
that x1 should be < x2.
> It means buys should be more frequent than sells, a
characteristic of bullish markets
> [the more you delay a Sell, the more part of the bullish trend
you enjoy...]
> The black [29,24] equity line was a nice solution up to the end
of July, the white [26,33] up to the middle of August.
> The red [25,28] was the most tenacious all year long.
> The trading parameters are
>
> Settings
>
> Initial Equity: 10000 Periodicity/Positions: Daily/Long
Short
> Commissions: 0.50 % Annual interest rate: 0.00%
> Range: 30/5/2003 00:00:00 - 17/12/2003 Apply to: Current
Symbol
> Margin requirement: 100 Futures mode: No
> Def. round lot size: 0 Def. Tick Size 0
> Drawdowns based on: Open prices
> Long trades
> Buy price: Open Sell price: Open
> Buy delay: 1 Sell delay: 1
> Short trades
> Short price: Open Cover price: Open
> Short delay: 1 Cover delay: 1
> Stops
> Maximum loss: disabled Profit target: disabled
> Value: 30.00 Value: 20.00
> Exit at stop? yes Exit at stop? no
>
> Trailing stop: disabled
> Value: 5.00
> Exit at stop? no
>
> Formula
>
>
> SYM="^N225";in=DateNum()>=1030530;
> STARTBUY=DateNum()==1030131;
> STARTSELL=DateNum()==1030217;
> startIP=DateNum()==1030530;
> x=17;
> // A Hi-pass filter
> EVENT=BarsSince(startIP)%x==0;
> k0=20;Plot(k0,"k0",Cum(1)%2,1);s0=60;
> shape=33+2*(Cum(event)%10);
> PlotShapes(shape*EVENT,colorRed);
> Plot(0,"",1,1);Plot(100,"",1,1);Slevel=80;
> G=0;
> for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
> {
> for(SellFREQ=10;SellFREQ<40;SellFREQ++)
> {
> Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%
Sellfreq==0;Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> e1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);
> }}
> BFpass=0;SFpass=0;
> for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
> {
> for(SellFREQ=10;SellFREQ<40;SellFREQ++)
> {
> Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%
Sellfreq==0;Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> e1=Equity(1,0);
> E11=ValueWhen(EVENT,E1);
> BF1=IIf(E11==G,BuyFREQ,0);BFpass=BFpass+BF1;
> SF1=IIf(E11==G,SellFREQ,0);SFpass=SFpass+SF1;
> G=IIf(E11==G,0,G);
> }}
>
> Buy=BarsSince(STARTBuy)%bfpass ==0;Sell=BarsSince(STARTSell)%
sfpass==0;Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> Overall performance summary
>
> Total net profit: 4079.56 Total commissions paid: 895.39
> Return on account: 40.80 % Open position gain/loss -
34.86
> Buy&Hold profit: 2121.88 Bars (avg. days) in test: 137
(201)
> Buy&Hold % return: 21.22% System to Buy&Hold index:
92.26%
>
> Annual system % return: 86.13% Annual B&H % return:
41.83%
>
> System drawdown: -339.32 B&H drawdown: 0.00
> Max. system drawdown: -961.08 B&H max. drawdown: -1793.58
> Max. system % drawdown: -8.11% B&H max. % drawdown: -
13.39%
> Max. trade drawdown: -961.08
> Max. trade % drawdown: -8.11%
> Trade drawdown: -484.71
>
> Total number of trades: 8 Percent profitable: 75.0%
> Number winning trades: 6 Number losing trades: 2
> Profit of winners: 4696.27 Loss of losers: -719.72
> Total # of bars in winners: 117 Total # of bars in
losers: 15
> Commissions paid in winners: 677.37 Commissions paid in
losers: 218.01
>
> Largest winning trade: 1390.45 Largest losing trade: -
380.40
> # of bars in largest winner: 23 # bars in largest loser:
9
> Commission paid in largest winner: 110.42 Commission paid
in largest loser: 117.32
>
> Average winning trade: 782.71 Average losing trade: -
359.86
> Avg. # of bars in winners: 19.5 Avg. # bars in losers:
7.5
> Avg. commission paid in winner: 112.90 Avg. commission
paid in loser: 109.01
> Max consec. winners: 3 Max consec. losers: 1
>
> Bars out of the market: 2 Interest earned: 0.00
>
> Exposure: 98.5% Risk adjusted ann. return: 87.41%
> Ratio avg win/avg loss: 2.18 Avg. trade (win & loss):
497.07
> Profit factor: 6.53
>
>
> Performance for ^N225
>
> Total net profit: 4079.56 Total commissions paid: 895.39
> Return on account: 40.80 % Open position gain/loss -
34.86
> Buy&Hold profit: 2121.88 Bars (days) in test: 137 (201)
> Buy&Hold % return: 21.22% System to Buy&Hold index:
92.26%
>
> Annual system % return: 86.13% Annual B&H % return:
41.83%
>
> System drawdown: -339.32 B&H drawdown: 0.00
> Max. system drawdown: -961.08 B&H max. drawdown: -1793.58
> Max. system % drawdown: -8.11% B&H max. % drawdown: -
13.39%
> Max. trade drawdown: -961.08
> Max. trade % drawdown: -8.11%
> Trade drawdown: -484.71
>
> Total number of trades: 8 Percent profitable: 75.0%
> Number winning trades: 6 Number losing trades: 2
> Profit of winners: 4696.27 Loss of losers: -719.72
> Total # of bars in winners: 117 Total # of bars in
losers: 15
> Commissions paid in winners: 677.37 Commissions paid in
losers: 218.01
>
> Largest winning trade: 1390.45 Largest losing trade: -
380.40
> # of bars in largest winner: 23 # bars in largest loser:
9
> Commission paid in largest winner: 110.42 Commission paid
in largest loser: 117.32
>
> Average winning trade: 782.71 Average losing trade: -
359.86
> Avg. # of bars in winners: 19.5 Avg. # bars in losers:
7.5
> Avg. commission paid in winner: 112.90 Avg. commission
paid in loser: 109.01
> Max consec. winners: 3 Max consec. losers: 1
>
> Bars out of the market: 2 Interest earned: 0.00
>
> Exposure: 98.5% Risk adjusted ann. return: 87.41%
> Ratio avg win/avg loss: 2.18 Avg. trade (win & loss):
497.07
> Profit factor: 6.53
>
>
>
>
> For Indicator builder see the timing coefficients variations and
the more important equity lines with the code
>
>
> // ^N225 timing for 2003
> STARTBUY=DateNum()==1030131;// first trough
> STARTSELL=DateNum()==1030217;// first peak
> startIP=DateNum()==1030530;// inspections and trading start
> x=17;
> // The Hi-pass filter
> EVENT=BarsSince(startIP)%x==0;
> k0=10;Plot(k0,"k0",Cum(1)%2,1);
> s0=60;
> shape=33+2*(Cum(event)%10);
> PlotShapes(shape*EVENT,colorIndigo);
> Plot(0,"",1,1);
> Plot(50,"",1,1);
> G=0;
> for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
> {
> for(SellFREQ=10;SellFREQ<40;SellFREQ++)
> {
> Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%
Sellfreq==0;Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> e1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);
> }}
> BFpass=0;SFpass=0;
> for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++)
> {
> for(SellFREQ=10;SellFREQ<40;SellFREQ++)
> {
> Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%
Sellfreq==0;Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> e1=Equity(1,0);
> E11=ValueWhen(EVENT,E1);
> BF1=IIf(E11==G,BuyFREQ,0);BFpass=BFpass+BF1;
> SF1=IIf(E11==G,SellFREQ,0);SFpass=SFpass+SF1;
> G=IIf(E11==G,0,G);
> }}
> Plot(BFPASS,"\nBFpass",colorBlack,8);Plot
(SFPASS,"SFpass",colorBlue,8);
> // the 3 main equity lines
> BuyFREQ=29;SellFREQ=24;
> Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%
Sellfreq==0;Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> e1=Equity(1,0);
> Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)
+"]",colorblack,8+styleLeftAxisScale);
>
> BuyFREQ=26;SellFREQ=33;
> Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%
Sellfreq==0;Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> e1=Equity(1,0);
> Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)
+"]",colorwhite,8+styleLeftAxisScale);
>
> BuyFREQ=25;SellFREQ=28;
> Buy=BarsSince(STARTBuy)%Buyfreq ==0;Sell=BarsSince(STARTSell)%
Sellfreq==0;Short=Sell;Cover=Buy;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem
(Short,Cover);Cover=ExRem(Cover,Short);
> e1=Equity(1,0);
> Plot(E1,"["+WriteVal(Buyfreq,1.0)+","+WriteVal(Sellfreq,1.0)
+"]",colorred,8+styleLeftAxisScale);
>
> Dimitris Tsokakis
>
>
> 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
>
>
>
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