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Graham here are the setting I am using:
1. Use eSignal symbol QM #F (continuous)
2. Initial Equity = 10,000
3. Positions = Long
4. Periodicity = Daily
5. Min. Shares = 1
6. Min. Pos. Value = 0
7. Round Lot Size = 0
8. Tick Size = 0
9. $ per Trade = 1.80
10. Margin Req = 20
11. Trades are all set on CLOSE, delay is 0 (for now)
12. Stops are currently disabled (for now)
13. Risk Free rate = 5.0
14. UPI = 5.4
15. Distrib Chart Spacing = 5%
16. MAE/MFE is checked
17. Include Trader list in report is checked
18. Max Open Pos = 4
Look forward to your reply ... I am getting the same results on ALL
symbols.
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> input settings would be more beneficial
> But have you used any range of dates for backtesting in AA window?
>
> On 6/16/05, Alex Dolaptchiev <axle_d@xxxx> wrote:
> > I am trying to run a test of this system on CrudeOil eMini (QM #F ...
> > for eSignal) however I keep getting no data:
> >
> > 1. What am I doing wrong
> > 2. I get the same results on all symbols
> >
> > Statistics | Charts | Trades | Formula | Settings | Symbols
> >
> > Statistics
> > All trades Long trades Short trades
> > Initial capital 100000.00 100000.00 100000.00
> > Ending capital 100000.00 100000.00 100000.00
> > Net Profit 0.00 0.00 0.00
> > Net Profit % 0.00 % 0.00 % 0.00 %
> > Exposure % 0.00 % 0.00 % 0.00 %
> > Net Risk Adjusted Return % N/A N/A N/A
> > Annual Return % 0.00 % 0.00 % 0.00 %
> > Risk Adjusted Return % N/A N/A N/A
> >
> >
--------------------------------------------------------------------------------
> >
> > All trades 0 0 ( N/A ) 0 ( N/A )
> > Avg. Profit/Loss N/A N/A N/A
> > Avg. Profit/Loss % N/A N/A N/A
> > Avg. Bars Held N/A N/A N/A
> >
> >
--------------------------------------------------------------------------------
> >
> > Winners 0 ( N/A ) 0 ( N/A ) 0 ( N/A )
> > Total Profit 0.00 0.00 0.00
> > Avg. Profit N/A N/A N/A
> > Avg. Profit % N/A N/A N/A
> > Avg. Bars Held N/A N/A N/A
> > Max. Consecutive 0 0 0
> > Largest win 0.00 0.00 0.00
> > # bars in largest win 0 0 0
> >
> >
--------------------------------------------------------------------------------
> >
> > Losers 0 ( N/A ) 0 ( N/A ) 0 ( N/A )
> > Total Loss 0.00 0.00 0.00
> > Avg. Loss N/A N/A N/A
> > Avg. Loss % N/A N/A N/A
> > Avg. Bars Held N/A N/A N/A
> > Max. Consecutive 0 0 0
> > Largest loss 0.00 0.00 0.00
> > # bars in largest loss 0 0 0
> >
> >
--------------------------------------------------------------------------------
> >
> > Max. trade drawdown 0.00 0.00 0.00
> > Max. trade % drawdown 0.00 % 0.00 % 0.00 %
> > Max. system drawdown 0.00 0.00 0.00
> > Max. system % drawdown 0.00 % 0.00 % 0.00 %
> > Recovery Factor N/A N/A N/A
> > CAR/MaxDD N/A N/A N/A
> > RAR/MaxDD N/A N/A N/A
> > Profit Factor N/A N/A N/A
> > Payoff Ratio N/A N/A N/A
> > Standard Error 0.00 0.00 0.00
> > Risk-Reward Ratio N/A N/A N/A
> > Ulcer Index 0.00 0.00 0.00
> > Ulcer Performance Index N/A N/A N/A
> > Sharpe Ratio of trades 0.00 0.00 0.00
> > K-Ratio N/A N/A N/A
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> > > How would like to trade a system that will make you rich beyond your
> > > wildest dreams, lower your cholesterol and make you a better
lover in
> > > bed ?!! Don't think such a system exists !! then read on - my
> > > sceptical friend........(afl code is below)
> > >
> > > This system was revealed to me, this morning, as I was crossing 5th
> > > Ave and 34th St...a bright white light shown down on me and I
heard a
> > > Voice - "O' Grasshopper - combine a smart money flow indicator
with a
> > > momemtum indicator". I asked - which indicators - there are so many
> > > of them ? The Voice replied - "must you ask such stupid qts,
> > > Grasshopper. There is only the FVE smart money indicator by Markos
> > > Katsanos and the TSI momemtum indicator by William Blau. And...test
> > > it only on volatile sectors".
> > >
> > > Such revelations come only once in a blue moon - so I put together
> > > the system (after playing around with many buy/sell rules) and
tested
> > > it on all the stocks in the Biotech sector from Yahoo (I think about
> > > a 100+ stocks) from 6/14/02 - 6/13/04. $10k equity, 50% margin,
Long
> > > only, $16 trade comm. Results - 25 trades, 15 winners and annual
> > > return of 312%. Gotta be a fluke, I said. So, I tried it on the
> > > same stocks from 6/14/04 - 6/13/05. Annual return 335% !!
> > >
> > > Ok. there is a catch. There always is ! The buy/sell delays were
> > > set to '0' (meaning buy/sell happened as soon as the conditions were
> > > met). This system would work only for those folks with fancy
> > > automated trading (through IB with AB).
> > >
> > > What about the rest of us Grasshoppers who buy and sell on the open
> > > with a 1 day trade delay ? Well, I re-tested and 6/14/02 - 6/13/04
> > > and 6/14/04 - 6/13/05 showed annual returns of 28% and 26%
> > > respectively. Respectable....I guess.
> > >
> > > What about other volatile sectors - you say ? Sheeet ! O'
> > > Grasshoppers in training - must I do all the work ?
> > >
> > > [Ok. Ok. So, I did exaggerate on the 'lowering cholesterol and
being
> > > better lovers in bed' but - hey - you can't ask for everything]
> > >
> > > **************************************************************
> > >
> > > // Money Flow Indicator - FVE by Markos Katsanos - almost identical
> > > to proprietary TSV money flow indicator by Worden
> > >
> > > Period = Param("Period for FVE", 22, 5, 80, 1 );
> > > Coeff = Param("Coeff for Cutoff", 0.1, 0, 2, 0.01 );
> > >
> > > intra=log(H)-log(L);
> > > Vintra = StDev(intra, period );
> > > inter = log(Avg)-log(Ref(Avg,-1));
> > > Vinter = StDev(inter,period);
> > > Cutoff = Coeff * (Vinter+Vintra)*C;
> > > MF = C- (H+L)/2 + Avg - Ref( Avg, -1 );
> > > VC = IIf( MF > Cutoff, V,
> > > IIf( MF < -Cutoff, -V, 0 ));
> > > FVE = 100 * Sum( VC, Period )/(MA( V, Period ) * Period );
> > >
> > > // Momemtum Indicator by William Blau
> > >
> > > TSI = 100 * ( EMA( EMA( C - Ref( C, -1 ) ,25 ) ,13)
> > > / EMA( EMA( abs( C - Ref( C, -1) ),25 ), 13 ) );
> > >
> > > // Plots for money flow and momentum indicators
> > >
> > > Plot(TSI,"TSI",43,1); //Plots TSI line
> > >
> > > PlotGrid(25,55); // shows white grid line for black background
> > > PlotGrid(-25,-55); // same
> > >
> > > Plot(EMA(TSI,7),"TSI signal",32,1); // Plots a 7 day EMA of TSI
> > >
> > > Plot( FVE, "Modified FVE", colorRed, styleThick ); // FVE line is
> > > shown in red
> > > Plot (0,"",colorBlue,styleNoLabel); // shows a blue line through 0
> > >
> > >
> > > RAD_TO_DEG = 180/3.1415926; // radians to degrees
> > > LinRegAngleFVE = RAD_TO_DEG * atan( LinRegSlope( FVE, 22 ) ); //
> > > calculates angle of money flow indicator
> > >
> > > // Buy Rules
> > >
> > > Buy = FVE > -10 AND FVE < 10 AND
> > > LinRegAngleFVE > 30 AND
> > > FVE > EMA( FVE, 5 ) AND EMA(FVE, 5) > EMA(FVE, 22) AND
> > > LinRegSlope( C, 10 ) < Ref(C, -10 ) *0.6/100 AND
> > > LinRegSlope( C, 10 ) > -Ref( C, -10 ) * 0.3/100 AND Cross( TSI, EMA(
> > > TSI, 7 ) );
> > >
> > > // Sell Rules
> > >
> > > Sell = Cross (EMA (TSI, 7), TSI) OR LinRegAngleFVE < -20;
> > >
> > > ***************************************************************
> >
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
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