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Hi Guys,
Using Yahoo EOD data, I ran the code below as well and, FWIW, got:
S&P 100:
Ending capital: 339,113
Total trades: 832
Long trades: 575
Avg bars held: 11
N100:
Ending capital: -179,134
Total trades: 682
Long trades: 479
Avg bars held: 11
Approximate equity April 2000: $1,100,000
Approximate equity March 2002: $400,000
-john
----- Original Message -----
From: "Howard Bandy" <howardbandy@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Cc: <howardbandy@xxxxxxxxx>
Sent: Thursday, December 18, 2003 6:10 AM
Subject: [amibroker] Need more information about RSW
> 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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>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
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