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Hello Herman !
No worries, you have helped me remember the darn
fee charges or in this case the spread cost !!!
May I ask your opinion on something else though
?
Is it possible for a certain strategy/system to be
working extremely well say the last 150 days, but before then, it did almost not
work. In other words I am thinking that the
market is almost susceptible to certain systems at different times, what works
now might not be working in a year from now.
I ask this because I have been testing many
systems and found that quite a few I have come across work very well the past
150 odd days, but checking back 1 or two year back, they all fail and then
strangely what worked then also mostly does not work now...
You have been trading a lot and have probably done
your own research also, so I hope that maybe you could give your opinion on
this.
I trade the Forex market mostly and I know it is a
very fast moving match, things change all the time, so should the trading
approach I think ... or so I think !
Kind regards and happy trading !!!
Louw Coetzer
I did manage to get it right more or less...here is
the complete code for the test ( there was one major signal test I left out -
OOPS !) Also optimized the Stop Loss, it eventually ended up being
0.0091 close to the default 0.01, the Rapport follows further down
and includes the 5 point spread cost for each contract:
//=============================================================================
targetpoints = Param("Target Profit",0.0050,0.0005,1,0.0001); // profit
target SL = Param("Stop Loss",0.01,0.0005,1,0.0001); // Stop
Loss Level. TickSize=0.0001; NumContracts = 5; PointValue =10000;
PositionSize = NumContracts * MarginDeposit;
//=============================================================================
reEntryDelay = Param("Wait after first signal",4,1,50,1); triggerTime
=Param("Trigger Time after Break-out",20,1,50,1); Lreq1 =
BarsSince(H>BBandTop(C,21,2)) < triggertime; Sreq1 =
BarsSince(L>BBandBot(C,21,2)) < triggertime; Lreq2 =
Cross(EMA(C,62),C); Sreq2 = Cross(C,EMA(C,62)); BuyPrice =
ValueWhen(Lreq2,C); ShortPrice = ValueWhen(Sreq2,C); Short = Lreq1 AND
Lreq2 AND C- EMA(C,200) > 0.0010; Buy = sreq1 AND sreq2 AND
EMA(C,200)-C > 0.0010 ; ExRemSpan(Buy,10); ExRemSpan(Short,10);
Sell = TimeNum()==170000; Cover = TimeNum()==170000;
ApplyStop( stopTypeProfit, stopModePoint, targetpoints,
True,False,reEntrydelay ); ApplyStop( stopTypeLoss, stopModePoint, SL,
True );
Statistics
All trades
Long trades
Short trades
Initial capital
10000.00
10000.00
10000.00
Ending capital
16370.01
15949.79
10420.22
Net Profit
6370.01
5949.79
420.22
Net Profit %
63.70 %
59.50 %
4.20 %
<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
%
-0.23 %
-0.06 %
-0.17 %
Net Risk Adjusted Return
%
-27338.31 %
-98185.79 %
-2437.35 %
Annual Return %
234.46 %
213.82 %
10.61 %
Risk Adjusted Return
%
-100624.99 %
-352855.37 %
-6153.70 %
All trades
85
45 (52.94 %)
40 (47.06 %)
<TH
title="(Profit of winners + Loss of losers)/(number of trades)"> Avg.
Profit/Loss
74.94
132.22
10.51
<TH
title="(% Profit of winners + % Loss of losers)/(number of trades)"> Avg.
Profit/Loss %
0.06 %
0.11 %
0.01 %
Avg. Bars Held
28.61
21.96
36.10
Winners
79 (92.94 %)
44 (51.76 %)
35 (41.18 %)
Total Profit
12160.00
6909.80
5250.21
Avg. Profit
153.92
157.04
150.01
Avg.
Profit %
0.13 %
0.13 %
0.12 %
Avg. Bars Held
21.46
18.18
25.57
Max. Consecutive
19
22
12
Largest win
169.99
169.99
150.01
# bars in largest win
13
13
2
Losers
6 (7.06 %)
1 (1.18 %)
5 (5.88 %)
Total Loss
-5789.99
-960.01
-4829.99
Avg. Loss
-965.00
-960.01
-966.00
Avg. Loss
%
-0.79 %
-0.79 %
-0.79 %
Avg. Bars Held
122.83
188.00
109.80
Max. Consecutive
1
1
1
Largest loss
-970.00
-960.01
-970.00
# bars in largest loss
71
188
71
<TH
title="The largest peak to valley decline experienced in any single trade">Max.
trade drawdown
-970.01
-970.01
-969.99
<TH
title="The largest peak to valley percentage decline experienced in any single trade">Max.
trade % drawdown
-0.80 %
-0.80 %
-0.76 %
<TH
title="The largest peak to valley decline experienced in portfolio equity">Max.
system drawdown
-1979.98
-1780.00
-1919.92
<TH
title="The largest peak to valley percentage decline experienced in portfolio equity">Max.
system % drawdown
-16.22 %
-13.16 %
-18.99 %
Recovery Factor
3.22
3.34
0.22
<TH
title="Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
14.45
16.25
0.56
<TH
title="Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
-6203.27
-26820.73
-324.04
Profit Factor
2.10
7.20
1.09
Payoff Ratio
0.16
0.16
0.16
<TH
title="Standard error measures chopiness of equity line. The lower the better.">Standard
Error
461.23
386.18
376.58
<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
30.50
38.44
-2.06
<TH
title="Square root of sum of squared drawdowns divided by number of bars">Ulcer
Index
3.80
1.42
7.50
Ulcer
Performance Index
60.33
146.57
0.69
<TH
title="Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent.">Sharpe
Ratio of trades
7.68
27.22
0.73
K-Ratio
3.59
4.53
-0.24
Above is also the result of the test, as you
can see not many trades but high accuary and all....
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