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<SPAN
class=500335011-30062004>Ed/DT, the QQQ (all quotations) gives
me about 500%, why? See reports attached.
<SPAN
class=500335011-30062004>Net Profit % 500.28 % 286.54 % 213.74 %
Exposure % 8.71 % 4.28 % 4.43 % <FONT face=Arial
color=#0000ff size=2>
<SPAN
class=500335011-30062004>Settings: Initial Equity: 1000
Periodicity/Positions: Daily/Long Short Commissions: 0.01 per share
<SPAN
class=500335011-30062004><IMG alt="" hspace=0 src="jpg00077.jpg"
align=baseline border=0>
<SPAN
class=500335011-30062004>
<SPAN
class=500335011-30062004>herman<FONT face=Arial
color=#0000ff size=2>
<FONT face=Tahoma
size=2>-----Original Message-----From: E Winters
[mailto:e.winters1@xxxxxxxxxxx]Sent: Tuesday, June 29, 2004 10:10
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Percent Profit Trailing Stop QuestionImportance:
High
On QQQ I get -79.45% profit, What issue(s)
are you using over what time period?
Regards,
Ed
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">AmiBroker YahooGroups
Sent: Tuesday, June 29, 2004 9:09
PM
Subject: [amibroker] Percent Profit
Trailing Stop Question
Can somebody
explain why this gives unreal profits?
<SPAN
class=218090701-30062004>
// In AA
settings Use percent profit trailing stop of 10%
// Trade Long
and Short at the
OpenSetOption("ActivateStopsImmediately",True);SetTradeDelays(1,1,1,1);Buy=Cross(
MACD(), Signal() );Sell = Cross( Signal(), MACD() );Short =
Sell;Cover = Buy;Plot(Equity(1),"Equity",1,1);
<SPAN
class=218090701-30062004>
<SPAN
class=218090701-30062004>TIA,
<SPAN
class=218090701-30062004>herman.
Title: MTS-TrailRTc - Backtest Report
<A
href="">Statistics
| <A
href="">Charts
| <A
href="">Trades
| <A
href=""><FONT
class=SELTAB>Formula | <A
href="">Settings
| <A
href="">Symbols
Formula// In AA settings Use percent profit trailing stop of 10%
SetOption("ActivateStopsImmediately",True);
SetTradeDelays(1,1,1,1);
Buy=Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
Short = Sell;
Cover = Buy;
Plot(Equity(1),"Equity",1,1);
Title: MTS-TrailRTc - Backtest Report
<A
href="">Statistics
| <A
href="">Charts
| <A
href="">Trades
| <A
href="">Formula
| <A
href=""><FONT
class=SELTAB>Settings | <A
href="">Symbols
Settings
Initial Equity:
1000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.01 per share
Annual interest rate:
0.00%
Range:
All quotations
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
1
Def. Tick Size
0
Drawdowns based on:
High/Low 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:
1.00
Value:
0.30
Exit at stop?
yes
Exit at stop?
yes
Trailing stop:
point
Value:
10.00
Exit at stop?
yes
Title: MTS-TrailRTc - Backtest Report
<A
href=""><FONT
class=SELTAB>Statistics | <A
href="">Charts
| <A
href="">Trades
| <A
href="">Formula
| <A
href="">Settings
| <A
href="">Symbols
Statistics
All trades
Long trades
Short trades
Initial capital
1000.00
1000.00
1000.00
Ending capital
6002.76
3865.36
3137.41
Net Profit
5002.76
2865.36
2137.41
Net Profit %
500.28 %
286.54 %
213.74 %
<TH
title="Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.">Exposure
%
8.71 %
4.28 %
4.43 %
Net Risk Adjusted Return
%
5743.50 %
6688.09 %
4829.16 %
Annual Return %
40.13 %
28.98 %
24.02 %
Risk Adjusted Return
%
460.67 %
676.50 %
542.59 %
All trades
115
58 (50.43 %)
57 (49.57 %)
<TH
title="(Profit of winners + Loss of losers)/(number of trades)"> Avg.
Profit/Loss
43.50
49.40
37.50
<TH
title="(% Profit of winners + % Loss of losers)/(number of trades)"> Avg.
Profit/Loss %
1.62 %
1.62 %
1.62 %
Avg. Bars Held
1.03
1.00
1.07
Winners
112 (97.39 %)
58 (50.43 %)
54 (46.96 %)
Total Profit
5473.98
2865.36
2608.62
Avg. Profit
48.87
49.40
48.31
Avg.
Profit %
1.75 %
1.62 %
1.88 %
Avg. Bars Held
1.00
1.00
1.00
Max. Consecutive
75
58
37
Largest win
324.09
324.09
186.75
# bars in largest win
1
1
1
Losers
3 (2.61 %)
0 (0.00 %)
3 (2.61 %)
Total Loss
-471.22
0.00
-471.22
Avg. Loss
-157.07
N/A
-157.07
Avg. Loss
%
-3.20 %
N/A
-3.20 %
Avg. Bars Held
2.33
N/A
2.33
Max. Consecutive
1
0
2
Largest loss
-469.34
0.00
-469.34
# bars in largest loss
5
0
5
<TH
title="The largest peak to valley decline experienced in any single trade">Max.
trade drawdown
0.00
0.00
0.00
<TH
title="The largest peak to valley percentage decline experienced in any single trade">Max.
trade % drawdown
0.00 %
0.00 %
0.00 %
<TH
title="The largest peak to valley decline experienced in portfolio equity">Max.
system drawdown
-464.79
0.00
-469.68
<TH
title="The largest peak to valley percentage decline experienced in portfolio equity">Max.
system % drawdown
-9.45 %
0.00 %
-16.44 %
Recovery Factor
10.76
N/A
4.55
<TH
title="Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
4.25
N/A
1.46
<TH
title="Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
48.77
N/A
32.99
Profit Factor
11.62
N/A
5.54
Payoff Ratio
0.31
N/A
0.31
<TH
title="Standard error measures chopiness of equity line. The lower the better.">Standard
Error
237.81
188.44
159.38
<TH
title="Measure of the relation between the risk inherent in a trading the system compared to its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its standard error. ">Risk-Reward
Ratio
4.51
3.36
2.76
<TH
title="Square root of sum of squared drawdowns divided by number of bars">Ulcer
Index
1.04
0.00
3.76
Ulcer
Performance Index
33.29
N/A
4.95
<TH
title="Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent.">Sharpe
Ratio of trades
12.69
15.06
11.15
K-Ratio
0.19
0.14
Attachment:
Description: " 0.12"
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