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First:
i am NOT an experienced trader and have little knowledge of the
markets as it goes.
<FONT face=Arial color=#0000ff
size=2>
I am
strictly a numbers man: my stock data (QP2 and eSignal) are my only sources of
information. When i trade i do so without looking at the ticker, its
fundamentals, news, or listening to analysts :-) However, I enjoy coding,
simple research, and have designed many systems, some worked for 10 years
(backtested) or so and then suddenly failed. Many marvelous systems gave up
about 3-4 years ago, just when i started to get interested :-( I always
design with InSample and OutOfSample periods and try to prevent
over-optimization as a result of exhaustive formula testing.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>One great simple system worked like a charm (perfect straight equity
line) on a single stock (and not a single other stock), for 6-7 years, and then
suddenly failed. I had been trading this system/stock with a friend for 6-8
months when it failed, a great experience: I had been getting 70-80%
winners, winning streaks of 20+ trades; we started to think we couldn't
lose. Most trades lasting only a few hours or less in the morning, every
1-3 days. The company was bought out by somebody else and the stock price shot
up: the rhythm was gone! Traders must have given up on the stock (like me)
because now it only trades moderately well Long with much lower
profits/winners. This does however show that it may be worthwhile to keep
an eye open for such rare systems: they do exist!
<FONT face=Arial color=#0000ff
size=2>
imho,
system performance fades in and out for most systems. The higher they are tuned
to a specific market anomaly and the faster the trades (I prefer trades lasting
a few hours, max 1-3 days), the more drastic the changes in performance can
be. I think this is pretty well accepted and equity Feedback has been discussed
as a possible solution on this and other lists on/off for many years. The idea
is to monitor your equity and change your system's parameters/signals according
to performance. You do this by cascading two systems, one to create the
Reference equity and one to give you the final signals.
<FONT face=Arial color=#0000ff
size=2>
I
would think that changes in technology, speed of execution, regulations, etc.
can all influence system performance. Bull-Bear markets do not effect me much
because i trade L&S with short durations. But again: there are far more
experienced traders on this list who can voice a more qualified opinion
:-)
happy
trading!
<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 4:04
PMTo: AmiBroker ForumSubject: [amibroker] Re: Please
confirm this !!! ???Importance: High
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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web page at:<A
href="">http://www.amibroker.com/Check
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href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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