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Dickie, your line: "Buy = (Cond1 AND Cond2 AND Cond3 AND Cond4 AND
Cond5) < 5;" is improper. Cond1, etc. are all numeric values which
respond to logic operations, AND, in an undefined manner. The line
should be "Buy = (Cond1 < 5) AND (Cond2 < 5) AND (Cond3 < 5) AND
(Cond4 < 5) AND (Cond5 < 5);"
You might try this yourself ( I haven't). However, I would guess
that there is an awful lot of whipsawing.
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> wrote:
> Dickie, I get a 41% drawdown testing from 1/1/2000 -
> 8/12/2005 , not the 6% you mention.
>
> --- Dickie Paria <babui@xxxx> wrote:
>
> > Was leafing through the latest 'Active Trader' mag
> > at a newsstand and
> > came across the %K trading system which seems pretty
> > robust. The
> > theory behind the system is simple. The StochK
> > indicator is a very
> > popular indicator used by many traders. The traders
> > wait till it is
> > oversold (under 5) and then jump in to buy.
> > Different traders have
> > different timeframes. So, the technique
> > 'piggybacks' on this
> > inclination. It takes the StochK for various
> > periods and
> > Buys = when all the StochK's are under 5
> > Sells = the next day at the open
> > Active Trader tests the system on its 'standard'
> > stock portfolio
> > which is 18 large cap stocks like Apple, Caterpillar
> > etc over a 10 yr
> > (I think) period. The system is in the market about
> > 10% of the time
> > and has a very steady equity curve growth. Annual %
> > profit is 11.5%
> > with no margin. If cash is invested in the money
> > mkt at other times,
> > then total annual profit is greater buy and hold.
> > Drawdown is (if I
> > remember correctly) only 6%. Only 25% was risked at
> > any one time (I
> > think) and Active Trader took about $8 or $9 as
> > commission.
> > Overall - they say that it is very robust
> > system.....
> >
> > Here's the code
> > ***************************
> >
> > /* %K Trading System as written in Active Trader
> > ** Sept 2005
> > ** Coded by Dickie Paria for AB Group Discussion,
> > */
> >
> >
> > Cond1 = StochK (10);
> > Cond2 = StochK (15);
> > Cond3 = StochK (20);
> > Cond4 = StochK (25);
> > Cond5 = StochK (30);
> >
> > Plot( Cond1 , "StochK10", colorRed, styleThick );
> > Plot( Cond2 , "StochK15", colorGreen, styleThick );
> > Plot( Cond3 , "StochK20", colorBlack, styleThick );
> > Plot( Cond4 , "StochK25", colorYellow, styleThick );
> > Plot( Cond5 , "StochK30", colorBrightGreen,
> > styleThick );
> >
> > Plot (5,"",colorBlue,styleNoLabel);
> >
> >
> > Buy = (Cond1 AND Cond2 AND Cond3 AND Cond4 AND
> > Cond5) < 5;
> > Sell = 0;
> > SellPrice = Open;
> > ApplyStop(3,1,1);
> >
> > Capital = 100000; /* IMPORTANT: Set it also in the
> > Settings: Initial
> > Equity */
> > PositionSize = -25;
> >
> >
> >
> >
>
>
>
>
> ____________________________________________________
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