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Hi Phsst --
I must be missing something. Here is the code I am running to duplicate the
results in your December 13 message. I don't get results anywhere near the
ones being discussed in this thread, even when I use $0 commission.
Using the S&P 100:
My $100,000 becomes $709,124.
In my runs, I see 266 trades, 204 of them long. Your results show 7431.
My average bars held are 16, yours are 2.
When I run this using the NASDAQ 100, the results are awful.
$100,000 becomes $3,000,000 in April 2000, but drops to $900,000 by March
2002.
Changing the trade from close to open and the delay from 1 to 0 make small
differences. Adding an $11 commission takes a big chunk out of the profits.
What else do I need?
Thanks,
Howard
---------------------------------------------------------
//// Phsst RSW Portfolio Selection
//
// Settings:
// Trade: Close
// Delay: 1
// Initial Equity: 100000
// Commission: 0
// Date Range: 6/1/1995 through 12/16/2003
// Watchlist: S&P100
EnableRotationalTrading();
SetOption("MaxOpenPositions", 5 );
PositionSize = -20; // 20% of portfolio equity
// RSW = .4*(Total Return 13-Week)+.3*(Total Return 26-Week)+.3*(Totalreturn
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;
// end of code
---------------------------------------------------------
----- Original Message -----
From: Phsst
To: 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 a RSW vs.
QRS comparison on. If there are any notable improvements to the RSW
results, I'll post them.
Regards,
Phsst
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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