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Sorry, DT...I was wrong...
my report and yours differ regarding drawdown :(
eg, you have zero B&H drawdown; I have -11.26
i will investigate further...
thanks,
-john
----- Original Message -----
From: <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, December 17, 2003 10:30 AM
Subject: [amibroker] Re: Artificial Intelligence, an introduction, ^N225
2003
> 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
> >
> >
> >
> > --------------------------------------------------------------------
> ----------
> > Yahoo! Groups Links
> >
> > a.. To visit your group on the web, go to:
> > http://groups.yahoo.com/group/amibroker/
> >
> > b.. To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> >
> > c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
>
>
> 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
>
>
> Yahoo! Groups Links
>
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>
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>
>
>
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/)
--------------------------------------------
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