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Keith - thanks for the correction. I, actually, never tested the
code I wrote. Just too busy at work.
Eric - it does look like 'Active Trader' is on to something..thanks
for posting the results.
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> wrote:
> 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@xxxx> 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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