|
PureBytes Links
Trading Reference Links
|
Allow me to set up the situation before asking the qts. I've recently
purchased AB and am a newcomer to AFL. I tend to write systems based
on simple bar patterns since those are easiest to program. I study
bar charts and have noticed a bar pattern that can be taken advantage
of by selling short ONLY. I wrote the program to backtest it (1 line
only with 4 additional lines for Short, Shortprice, Cover, Coverprice
rules). Its non-optimized. The trade settings are $100k, no margin,
$18/trade, buy next day and sell on close. I tested it on ^DJI index
on walk forward basis - meaning, I started on 3/28/72 (picked at
random) to 3/27/73 and backtested and then 'walked forward' each year
to 2005. The results are outstanding! One losing year (-7%) and the
rest winning years ranged from 3% to 100+%. Highest system drawdown
is under 30%.
When I tested the system on DIA on walkforward from 2000 to 2005, my
results were still excellent but less than ^DJI. For e.g - one yr, I
got 122% net profit on ^DJI and 33% on DIA. When I tested ^RUT and
IWM, I got opposite results. ^RUT net profits for 1 yr were 20+% but
IWM was 88%. For ^NDX, net profit was 300+% for 2000-2001 but QQQQ
for same time period was 404%.
QTS - Can system results be SO DIFFERENT when testing between indexes
and etf's ?
I have never traded futures before - and my question is - do futures
follow the index exactly or are they different like etf's?
I use Yahoo EOD data.
------------------------ Yahoo! Groups Sponsor --------------------~-->
Has someone you know been affected by illness or disease?
Network for Good is THE place to support health awareness efforts!
http://us.click.yahoo.com/Rcy2bD/UOnJAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|