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thanks
then something with my computer must be wrong
i will check
cheers
Michael
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:
> Here is an example.
> What do you see wrong ?[except the severe losses]
>
> Settings
>
> Initial Equity: 10000 Periodicity/Positions: Daily/Long Short
> Commissions: 0.50 % Annual interest rate: 0.00%
> Range: All quotations Apply to: Current Symbol
> Margin requirement: 100 Futures mode: No
> Def. round lot size: 0 Def. Tick Size 0
> Drawdowns based on: Open 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: 10.00 Value: 20.00
> Exit at stop? yes Exit at stop? no
>
> Trailing stop: disabled
> Value: 10.00
> Exit at stop? yes
>
> Formula
>
>
> /*Fisher Transform*/
> price=(H+L)/2;
> Length=Optimize("length",10,2,21,1);
> MaxH=HHV(price,Length);
> MinL=LLV(price,Length);
> Value=C;
> fish=C;
> for (i=1;i<BarCount;i++) {
> Value1[0]=0;
> Fish[0]=0;
> Value1[i]=0.33*2*((price[i]-MinL[i])/(MaxH[i]-MinL[i])-0.5)
> +0.67*Value1[i-1];
> if (Value1[i]>0.99)
> {
> Value1[i]=0.999;
> }
> if (Value1[i]<-0.99)
> {
> Value1[i]=-0.99;
> }
> Fish[i]=0.5*log((1+Value1[i])/(1-Value1[i]))+0.5*Fish[i-1];
> }
> Trigger=Ref(Fish,-1);
> Buy=Cross(Fish,Trigger);
> Sell=Cross(Trigger,Fish);
> Short=Sell;Cover=Buy;
> Plot(Fish,"Fisher Transform",3,1);
> Plot(Ref(Fish,-1),"Trigger",5,1);
>
> Overall performance summary
>
> Total net profit: -9773.75 Total commissions paid: 4993.49
> Return on account: -97.74 % Open position gain/loss 4.12
> Buy&Hold profit: -6205.00 Bars (avg. days) in test: 1133 (1649)
> Buy&Hold % return: -62.05% System to Buy&Hold index: -57.51%
>
> Annual system % return: -56.77% Annual B&H % return: -19.30%
>
> System drawdown: -9780.02 B&H drawdown: -7828.14
> Max. system drawdown: -10779.44 B&H max. drawdown: -10344.98
> Max. system % drawdown: -98.00% B&H max. % drawdown: -82.57%
> Max. trade drawdown: -937.82
> Max. trade % drawdown: -18.98%
> Trade drawdown: -696.12
>
> Total number of trades: 225 Percent profitable: 30.7%
> Number winning trades: 69 Number losing trades: 156
> Profit of winners: 6045.25 Loss of losers: -15825.27
> Total # of bars in winners: 612 Total # of bars in losers: 736
> Commissions paid in winners: 1529.76 Commissions paid in losers:
> 3463.74
>
> Largest winning trade: 586.71 Largest losing trade: -795.28
> # of bars in largest winner: 9 # bars in largest loser: 3
> Commission paid in largest winner: 103.20 Commission paid in
> largest loser: 99.16
>
> Average winning trade: 87.61 Average losing trade: -101.44
> Avg. # of bars in winners: 8.9 Avg. # bars in losers: 4.7
> Avg. commission paid in winner: 22.17 Avg. commission paid in
> loser: 22.20
> Max consec. winners: 4 Max consec. losers: 8
>
> Bars out of the market: 6 Interest earned: 0.00
>
> Exposure: 99.5% Risk adjusted ann. return: -57.07%
> Ratio avg win/avg loss: 0.86 Avg. trade (win & loss): -43.47
> Profit factor: 0.38
>
>
> Performance for ^NDX
>
> Total net profit: -9773.75 Total commissions paid: 4993.49
> Return on account: -97.74 % Open position gain/loss 4.12
> Buy&Hold profit: -6205.00 Bars (days) in test: 1133 (1649)
> Buy&Hold % return: -62.05% System to Buy&Hold index: -57.51%
>
> Annual system % return: -56.77% Annual B&H % return: -19.30%
>
> System drawdown: -9780.02 B&H drawdown: -7828.14
> Max. system drawdown: -10779.44 B&H max. drawdown: -10344.98
> Max. system % drawdown: -98.00% B&H max. % drawdown: -82.57%
> Max. trade drawdown: -937.82
> Max. trade % drawdown: -18.98%
> Trade drawdown: -696.12
>
> Total number of trades: 225 Percent profitable: 30.7%
> Number winning trades: 69 Number losing trades: 156
> Profit of winners: 6045.25 Loss of losers: -15825.27
> Total # of bars in winners: 612 Total # of bars in losers: 736
> Commissions paid in winners: 1529.76 Commissions paid in losers:
> 3463.74
>
> Largest winning trade: 586.71 Largest losing trade: -795.28
> # of bars in largest winner: 9 # bars in largest loser: 3
> Commission paid in largest winner: 103.20 Commission paid in
> largest loser: 99.16
>
> Average winning trade: 87.61 Average losing trade: -101.44
> Avg. # of bars in winners: 8.9 Avg. # bars in losers: 4.7
> Avg. commission paid in winner: 22.17 Avg. commission paid in
> loser: 22.20
> Max consec. winners: 4 Max consec. losers: 8
>
> Bars out of the market: 6 Interest earned: 0.00
>
> Exposure: 99.5% Risk adjusted ann. return: -57.07%
> Ratio avg win/avg loss: 0.86 Avg. trade (win & loss): -43.47
> Profit factor: 0.38
>
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "mhtrading2003"
> <hennigmichael@xxxx> wrote:
> > profit ans loss wich means the profit cullumn
> > Michael
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> > <TSOKAKIS@xxxx> wrote:
> > > What is this p&l ?
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "mhtrading2003"
> > > <hennigmichael@xxxx> wrote:
> > > > hello
> > > > did you check the p&l, becaus i got strange results in the
p&l .
> > > >
> > > > regards
> > > > Michael
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> > > > <TSOKAKIS@xxxx> wrote:
> > > > > Michael,
> > > > > I did not see any problem plotting or
optimizing/backtesting
> > your
> > > > > code.
> > > > > BTW, the system suffers from SEVERE losses [for ANY Length
> > > > value] !!!
> > > > > I hope you will not apply it !!
> > > > > Dimitris Tsokakis
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "mhtrading2003"
> > > > > <hennigmichael@xxxx> wrote:
> > > > > > Hello graham
> > > > > > when I use the following code the indicator is displaed
> > correct,
> > > > > > but when backtesting there are stange results it looks
like
> > that
> > > > > > the array is to short and the p&l is not correct
> > > > > >
> > > > > > /*Fisher Transform*/
> > > > > >
> > > > > > price=(H+L)/2;
> > > > > > Length=Optimize("length",10,1,21,1);
> > > > > > MaxH=HHV(price,Length);
> > > > > > MinL=LLV(price,Length);
> > > > > > Value=C;
> > > > > > fish=C;
> > > > > >
> > > > > >
> > > > > > for (i=1;i<BarCount;i++) {
> > > > > > Value1[0]=0;
> > > > > > Fish[0]=0;
> > > > > >
> > > > > > Value1[i]=0.33*2*((price[i]-MinL[i])/(MaxH[i]-MinL[i])-
0.5)
> > > > > > +0.67*Value1[i-1];
> > > > > >
> > > > > > if (Value1[i]>0.99) {
> > > > > > Value1[i]=0.999;
> > > > > > }
> > > > > >
> > > > > > if (Value1[i]<-0.99) {
> > > > > > Value1[i]=-0.99;
> > > > > > }
> > > > > > Fish[i]=0.5*log((1+Value1[i])/(1-Value1[i]))+0.5*Fish[i-
1];
> > > > > > }
> > > > > >
> > > > > > Trigger=Ref(Fish,-1);
> > > > > >
> > > > > > Buy=Cross(Fish,Trigger);
> > > > > > Sell=Cross(Trigger,Fish);
> > > > > > Cover=Buy;
> > > > > > Short=Sell;
> > > > > >
> > > > > > Plot(Fish,"Fisher Transform",3,1);
> > > > > > Plot(Ref(Fish,-1),"Trigger",5,1);
> > > > > >
> > > > > > cheers
> > > > > > Michael
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Graham"
<gkavanagh@xxxx>
> > > > wrote:
> > > > > > > Not certain what you mean
> > > > > > > Barcount is the count of the number of bars in your
> chart.
> > It
> > > > is
> > > > > > same as
> > > > > > > saying Lastvalue(cum(1)) or Lastvalue(Barindex()+1)
> > > > > > > So the line
> > > > > > > for (i=1;i<BarCount;i++)
> > > > > > > looks at the 2nd bar (1st bar is zero) to the last bar
of
> > the
> > > > > data.
> > > > > > >
> > > > > > > I would suggest your strange results could most likely
be
> > in
> > > > the
> > > > > > formulae
> > > > > > > you are using within the code. Can you post the full
code?
> > > > > > >
> > > > > > > Just looking at the line I can see I may be wrong
above
> > and
> > > if
> > > > > you
> > > > > > have put
> > > > > > > this as a full line in the code
> > > > > > >
> > > > > > > statement (for (i=1;i<BarCount;i++))
> > > > > > >
> > > > > > > Then you do not use the statement part.
> > > > > > > There are examples in the help files for using the if
for
> > etc
> > > > > > statements
> > > > > > > Amibroker Formula Language - AFL Reference Manual
> > > > > > >
> > > > > > > You do not need to define a variable or array before
> using
> > > it,
> > > > > > except to
> > > > > > > define the first value
> > > > > > >
> > > > > > > Here is one example from the help file as above
> > > > > > > myema[ 0 ] = Close[ 0 ];
> > > > > > > for( i = 1; i < BarCount; i++ )
> > > > > > > {
> > > > > > > myema[ i ] = 0.1 * Close[ i ] + 0.9 * myema[ i -
1 ];
> > > > > > > }
> > > > > > >
> > > > > > > Hope this helps
> > > > > > >
> > > > > > >
> > > > > > > Cheers,
> > > > > > > Graham
> > > > > > > http://e-wire.net.au/~eb_kavan/
> > > > > > >
> > > > > > > -----Original Message-----
> > > > > > > From: mhtrading2003 [mailto:hennigmichael@x...]
> > > > > > > Sent: Friday, July 09, 2004 2:46 PM
> > > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > > Subject: [amibroker] Re: number of bar limit for using
> for
> > > > > > statement
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "mhtrading2003"
> > > > > > > <hennigmichael@xxxx> wrote:
> > > > > > > > Hello,
> > > > > > > >
> > > > > > > > does anybody know if there is a number of bar limit
for
> > > > > > > using "for"
> > > > > > > > statement (for (i=1;i<BarCount;i++))
> > > > > > > > because I get strange results when backtesting with
a
> > > > formula
> > > > > > > using
> > > > > > > > this for statement.or is there a function lile dim
in
> > basic?
> > > > > > > >
> > > > > > > > regards
> > > > > > > > Michael
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > Check AmiBroker web page at:
> > > > > > > http://www.amibroker.com/
> > > > > > >
> > > > > > > Check group FAQ at:
> > > > > > >
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > > > Yahoo! Groups Links
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