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Hi Howard,
Yes, you are missing the underlying backtest code. I did not post it.
Greg asked me to run a comparison of one of my trading systems which
used QP2 QRS values for PositionScore, substituting his RSW code as
the PositionScore.
The purpose was to see if RSW came close to simulating QRS ranking values.
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx> wrote:
> 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
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