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and the delay = 1?
d
_____
From: Claud Hou [mailto:hclaud_98@xxxxxxxxx]
Sent: Thursday, November 04, 2004 5:33 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Amazing backtest ==> Automatic/program trading
Actually the program is not mine. I just got it yesterday from this
board. I only did some simple parameter tuning. My own program does
not perform as good as this one. So I did not mention it.
Maybe there is some thing wrong with the way I ran backtests?
1) Set all trading price at Open.
2) No stop loss.
3) No optimizations
here's the program:(you can run the same testing)
===================================================
WildPer = Param("Wilder Time Periods", 9, 5, 100, 1 );
Value = Param("RSI value", 50, 1, 100, 0.1 );
Field = Param("Price Field (0-close, 1-high, 2-low)", 0, 0, 2, 1 );
Mode = Param("Mode (0-RSI, 1-ReverseRSI)", 1, 0, 1, 1 );
function RevRSI( value, array, periods )
{
AU = Wilders( Max( array - Ref( array, -1 ), 0 ), periods );
AD = Wilders( Max( Ref( array, -1 ) - array, 0 ), periods );
x = ( periods - 1 ) * ( AD * value / (100 - value) - AU);
return IIf( x >= 0, array+x, array + x * (100 - value)/value );
}
array = IIf( Field == 0, Close, IIf( Field == 1, High, Low ) );
aname = WriteIf( Field == 0, "Close", WriteIf( Field == 1, "High",
"Low" ) );
if( Mode == 0 ) /* RSI */
{
Plot( RSIa( array, WildPer ), "RSI( " + aname + ", " + WildPer + ")",
colorRed );
}
else
{
Plot( array, aname, colorBlack );
Plot( RevRSI( value, array, WildPer ), "ReverseRSI( " + aname + ", " +
WildPer + ")", colorBlue, styleThick );
}
Buy=Cross( array, RevRSI( value, array, WildPer ));
Sell=Cross(RevRSI( value, array, WildPer ), array);
short = sell;
cover = buy;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
PlotShapes(Buy*shapeUpArrow,colorAqua);
PlotShapes(Sell*shapeDownArrow,colorYellow);
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> well, I guess you'll just have to send me a copy privately so that
I can see
> what's wrong. 8-)
>
> Listen to your wife. its in your signal detection.
>
> d
>
>
> _____
>
> From: Claud Hou [mailto:hclaud_98@x...]
> Sent: Thursday, November 04, 2004 4:59 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Amazing backtest ==> Automatic/program
trading
>
>
>
> Indeed it is too good. My wife says I am dreaming. But that's what
> backtest reports. It's not me. It's the program.
>
> As any trading system does, you always get a signal first.
> So the program works like this (daily based):
> 1) Detect a buy signal
> 2) Buy at Open next day. (and/or cover)
> .... hold till ...
> 3) Detect a sell siganl
> 4) Sell at open next day, immediately go short
> 5) loops back to 1)
>
> simple as that.
>
> BTW, I don't like Porche GT. So don't worry about that.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > have you heard what "they" say when something sounds too good to
be
> true?
> > Doesn't yours sound a little too good to be true?
> >
> > Suggest you click the "Check" button in the AA window. If that
says
> you're
> > ok then are you testing for high and low values using EOD data in
> your
> > system for buying and selling?
> >
> > I'd advise you not to get too excited just yet and certainly
don't
> go out
> > and buy that Porche GT just yet.
> >
> > d
> >
> >
> > _____
> >
> > From: Claud Hou [mailto:hclaud_98@x...]
> > Sent: Thursday, November 04, 2004 4:41 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Amazing backtest ==> Automatic/program
trading
> >
> >
> >
> > Last night I ran some backtests with some simple trading systems.
> > The results are amazing:
> > For example,
> > In 3 years from 11/03/2001 to 11/03/2004, with 10K initial
account
> > value, you'll get 5.3M trading only YHOO. (long/short).
> > The result will be even astonishing if you use margin and trade
> > options.
> >
> > So come some questions:
> > 1) How reliable are these backtest results?
> > 2) How's the progress for AB's feature of automatic trading with
IB?
> > 3) Better yet, is there a broker that accepts a trading system
from
> > customer and does program trading?
> >
> > Basically, open an account with 10K and let the program run every
> > trading day, then forget it. Three year later, you check your
> account
> > finding out you are a multi-millionaire.
> > How sweet is that? :-)
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
> >
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> > _____
> >
> > Yahoo! Groups Links
> >
> >
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> >
> >
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> >
> >
> >
> >
> > [Non-text portions of this message have been removed]
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
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> _____
>
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