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In EOD
(assume you use EOD) the profit stop cannot be use at the same time as the Stop
loss stop. How would you know which came first?
<FONT face=Arial color=#0000ff
size=2>
Also,
what settings did you use? I don't see any SetOptions() in your
code...
<FONT face=Arial color=#0000ff
size=2>
Your
Stops also appear very small, try setting commissions to 1ct/share - or whatever
your vroker charges.
<FONT face=Arial color=#0000ff
size=2>
best
regards,
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Louw-Roux Coetzer
[mailto:lcoetzer@xxxxxxxxxxxx]Sent: Tuesday, July 06, 2004 12:56
PMTo: AmiBroker ForumSubject: [amibroker] This can't be
true, please help !!!
Hi there all !
Could somebody please confirm the following code
for acuracy, the results seem a bit to good to be true... the problem relates
to my previouse mail " Please Confirm this".
Here is the
code:
targetpoints = <FONT
color=#0000ff>Param("Target Profit",<FONT
color=#ff00ff>0.0050,0.0005,<FONT
color=#ff00ff>1,0.0001); <FONT
color=#008000 size=1>// profit target
SL = <FONT
color=#0000ff>Param("Stop Loss",<FONT
color=#ff00ff>0.01,0.0005,<FONT
color=#ff00ff>1,0.0001); <FONT color=#008000
size=1>// Stop Loss Level.
TickSize=<FONT
color=#ff00ff>0.000<FONT
color=#ff00ff>1;
NumContracts = <FONT
color=#ff00ff>5;PointValue =100<FONT
color=#ff00ff>00;PositionSize = NumContracts *
MarginDeposit;<FONT face=Arial
color=#008000 size=1>
<FONT color=#000000
size=2>//=============================================================================<FONT
size=1>
reEntryDelay = <FONT
color=#0000ff>Param("Wait after first
signal",4,1,<FONT
color=#ff00ff>50,1);<FONT
size=1>
triggerTime =<FONT
color=#0000ff>Param("<FONT
color=#ff00ff>Trigger Time after Break-out<FONT
color=#ff00ff>",20,<FONT
color=#ff00ff>1,50,<FONT
color=#ff00ff>1);
Lreq1 = <FONT
color=#0000ff>BarsSince(H><FONT
color=#0000ff>BBandTop(C,21,<FONT
color=#ff00ff>2)) < triggertime;
Sreq1 = <FONT
color=#0000ff>BarsSince(L><FONT
color=#0000ff>BBandBot(C,21,<FONT
color=#ff00ff>2)) < triggertime;<FONT
size=1>
Lreq2 = <FONT
color=#0000ff>Cross(EMA(C,<FONT
color=#ff00ff>62),C);
Sreq2 = <FONT
color=#0000ff>Cross(C,<FONT
color=#0000ff>EMA(C,<FONT
color=#ff00ff>62));
BuyPrice = <FONT
color=#0000ff>ValueWhen(Lreq2,C);
ShortPrice = <FONT
color=#0000ff>ValueWhen(Sreq2,C);<FONT
size=1>
Short = Lreq1 AND Lreq2;
Buy = sreq1 AND sreq2;<FONT
size=1>
Sell = <FONT
color=#0000ff>TimeNum()==170000<FONT
face=Arial>;
Cover = <FONT
face=Arial>TimeNum()==<FONT
color=#ff00ff>170000<FONT
size=2>;
ApplyStop<FONT
size=2>( stopTypeProfit, stopModePoint,
targetpoints, True<FONT
face=Arial>,False,reEntrydelay<FONT
size=2> );
ApplyStop<FONT
size=1>( stopTypeLoss,
stopModePoint, SL, True );
It basically looks for a break above
or below the upper or lower Bollinger Bands. Once a breach has been
detected, it waits for a reversal that crosses the 62 EMA into the opposite
direction of the break-out. It would then enter a trade into the
particular direction. This is based on the EUR/USD forex pair.
The following results were obtained
with the target profit set to 55 points and the stoploss to
100.
Wait until you see the equity curve !!!
There must be something not right here, please help...
Kind regards and thanks in advance
!!!
Louw Coetzer
Statistics
All trades
Long trades
Short trades
Initial capital
10000.00
10000.00
10000.00
Ending capital
79059.81
51314.68
37745.13
Net Profit
69059.81
41314.68
27745.13
Net Profit %
690.60 %
413.15 %
277.45 %
<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
%
0.15 %
0.08 %
0.07 %
Net Risk Adjusted Return
%
456729.52 %
504416.08 %
400367.84 %
Annual Return %
80.83 %
59.77 %
46.31 %
Risk Adjusted Return
%
53455.32 %
72968.74 %
66824.42 %
All trades
2132
1113 (52.20 %)
1019 (47.80 %)
<TH
title="(Profit of winners + Loss of losers)/(number of trades)"> Avg.
Profit/Loss
32.39
37.12
27.23
<TH
title="(% Profit of winners + % Loss of losers)/(number of trades)"> Avg.
Profit/Loss %
0.06 %
0.07 %
0.05 %
Avg. Bars Held
12.80
15.94
9.36
Winners
946 (44.37 %)
500 (23.45 %)
446 (20.92 %)
Total Profit
112044.78
68479.65
43565.13
Avg. Profit
118.44
136.96
97.68
Avg.
Profit %
0.21 %
0.24 %
0.17 %
Avg. Bars Held
17.56
20.30
14.49
Max. Consecutive
6
6
9
Largest win
4670.00
4670.00
280.00
# bars in largest win
41
41
25
Losers
1186 (55.63 %)
613 (28.75 %)
573 (26.88 %)
Total Loss
-42984.97
-27164.97
-15820.00
Avg. Loss
-36.24
-44.31
-27.61
Avg.
Loss %
-0.06 %
-0.08 %
-0.05 %
Avg. Bars Held
8.99
12.39
5.36
Max. Consecutive
8
9
10
Largest loss
-515.00
-515.00
-490.00
# bars in largest loss
42
42
5
<TH
title="The largest peak to valley decline experienced in any single trade">Max.
trade drawdown
-735.00
-735.00
-300.00
<TH
title="The largest peak to valley percentage decline experienced in any single trade">Max.
trade % drawdown
-1.30 %
-1.30 %
-0.51 %
<TH
title="The largest peak to valley decline experienced in portfolio equity">Max.
system drawdown
-809.99
-1060.01
-680.01
<TH
title="The largest peak to valley percentage decline experienced in portfolio equity">Max.
system % drawdown
-3.76 %
-5.07 %
-4.23 %
Recovery
Factor
85.26
38.98
40.80
<TH
title="Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
21.50
11.78
10.96
<TH
title="Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
14220.51
14387.88
15810.65
Profit Factor
2.61
2.52
2.75
Payoff Ratio
3.27
3.09
3.54
<TH
title="Standard error measures chopiness of equity line. The lower the better.">Standard
Error
1207.01
1223.74
561.46
<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
15.78
8.42
15.56
<TH
title="Square root of sum of squared drawdowns divided by number of bars">Ulcer
Index
0.57
1.05
0.88
Ulcer
Performance Index
132.28
51.88
46.50
<TH
title="Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent.">Sharpe
Ratio of trades
6.71
5.58
9.90
K-Ratio
15.90
8.48
15.68Check AmiBroker
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