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That code change made the results very promising.
-Eric
NDX100 1/1/2000-8/12/2005
Statistics
All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 9227957.88 9227957.88 100000.00
Net Profit 9127957.88 9127957.88 0.00
Net Profit % 9127.96 % 9127.96 % 0.00 %
Exposure % 12.87 % 12.87 % 0.00 %
Net Risk Adjusted Return % 70920.07 % 70920.07 % N/A
Annual Return % 123.99 % 123.99 % 0.00 %
Risk Adjusted Return % 963.34 % 963.34 % N/A
--------------------------------------------------------------------------------
All trades 895 895 (100.00 %) 0 (0.00 %)
Avg. Profit/Loss 10198.84 10198.84 N/A
Avg. Profit/Loss % 24.90 % 24.90 % N/A
Avg. Bars Held 1.96 1.96 N/A
--------------------------------------------------------------------------------
Winners 502 (56.09 %) 502 (56.09 %) 0 (0.00 %)
Total Profit 19343339.40 19343339.40 0.00
Avg. Profit 38532.55 38532.55 N/A
Avg. Profit % 46.00 % 46.00 % N/A
Avg. Bars Held 1.97 1.97 N/A
Max. Consecutive 12 12 0
Largest win 4944739.80 4944739.80 0.00
# bars in largest win 2 2 0
--------------------------------------------------------------------------------
Losers 393 (43.91 %) 393 (43.91 %) 0 (0.00 %)
Total Loss -10215381.53 -10215381.53 0.00
Avg. Loss -25993.34 -25993.34 N/A
Avg. Loss % -2.05 % -2.05 % N/A
Avg. Bars Held 1.94 1.94 N/A
Max. Consecutive 8 8 0
Largest loss -273788.84 -273788.84 0.00
# bars in largest loss 2 2 0
--------------------------------------------------------------------------------
Max. trade drawdown -273788.84 -273788.84 0.00
Max. trade % drawdown -16.33 % -16.33 % 0.00 %
Max. system drawdown -870355.16 -870355.16 0.00
Max. system % drawdown -13.89 % -13.89 % 0.00 %
Recovery Factor 10.49 10.49 N/A
CAR/MaxDD 8.93 8.93 N/A
RAR/MaxDD 69.35 69.35 N/A
Profit Factor 1.89 1.89 N/A
Payoff Ratio 1.48 1.48 N/A
Standard Error 1097248.00 1097248.00 0.00
Risk-Reward Ratio 0.88 0.88 N/A
Ulcer Index 3.47 3.47 0.00
Ulcer Performance Index 34.16 34.16 N/A
Sharpe Ratio of trades 0.54 0.54 0.00
K-Ratio 0.04 0.04 N/A
--- keithmccombs <kmccombs@xxxxxxxxxxxx> wrote:
> 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;
> > >
> > >
> > >
> > >
> >
> >
> >
> >
> >
> ____________________________________________________
> > Start your day with Yahoo! - make it your home
> page
> > http://www.yahoo.com/r/hs
>
>
>
____________________________________________________
Start your day with Yahoo! - make it your home page
http://www.yahoo.com/r/hs
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