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Title: nikkeiOpt - Backtest Report
Statistics | Charts | Trades | Formula | Settings | Symbols
Settings
Initial Equity:10000Periodicity/Positions:Daily/Long Short
Commissions:0.50 %Annual interest rate:0.00%
Range:All quotationsApply to:Current SymbolMargin requirement:100Futures mode:No
Def. round lot size:0Def. Tick Size0
Drawdowns based on:Open prices
Long trades
Buy price:OpenSell price:Open
Buy delay:1Sell delay:1
Short trades
Short price:OpenCover price:Open
Short delay:1Cover delay:1
Stops
Maximum loss:disabledProfit target:disabled
Value:30.00Value:20.00
Exit at stop?yesExit at stop?no
Trailing stop:disabled
Value:5.00
Exit at stop?no
Attachment:
profdist.png
Description: PNG image
Title: nikkeiOpt - Backtest Report
Statistics | Charts | Trades | Formula | Settings | Symbols
Formula
// Nikkei 2003 timing
SYM="^N225";
STARTBUY=DateNum()==1030131;
STARTSELL=DateNum()==1030217;
startIP=DateNum()==1030530;in=DateNum()>=1030530;
x=17;
EVENT=BarsSince(startIP)%x==0;
Plot(50,"",1,1);
shape=33+2*(Cum(event)%10);
Color=colorIndigo;space=-40;
PlotShapes(shape*EVENT,color,0,Graph0,space);
//2nd
event1=Cum(event)%10==0 AND Ref(Cum(event)%10,-1)!=0;
Counter1=Cum(event1);
shape1 = IIf(counter1==0,shapeNone,shapeDigit0 + 2 * ( Counter1%10 )) ;
PlotShapes(event*shape1,color,0,Graph0,space+10);
Plot(0,"",1,1);
G=0;
for(BuyFREQ=20;BuyFREQ<40;BuyFREQ++)
{
for(SellFREQ=25;SellFREQ<60;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=20;BuyFREQ<40;BuyFREQ++)
{
for(SellFREQ=25;SellFREQ<60;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 trading system
Cb=in*BarsSince(STARTBuy)%BFpass ==0;
Cs=in*BarsSince(STARTSell)%SFpass==0;
Cb=ExRem(Cb,Cs);Cs=ExRem(Cs,Cb);
Buy=in*BarsSince(STARTBuy)%BFpass ==0;
Sell=in*BarsSince(STARTSell)%SFpass==0;
Short=Sell;Cover=Buy;
Attachment:
Description: "Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);"
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