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Portfolio (for stocks)- only long with commissions of $11. For at
least 5-10 yrs.
For futures (if you have it) - both long and short with slippage and
commissions of, maybe, $75. 5-10 Yrs.
Thanks
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxxx> wrote:
> Hello - Dickie, How do you want it run? Individual stocks backtest
or portfolio? Range?
>
> I ran it as a portfolio backtest against NDX100 component stocks
and didn't get anything positive for CAR.
>
> If I run it as individual backtest for this year (YTD) I get a CAR
distribution, with the top 20 starting at a CAR of
> 47% looking like this to a car of -43%. Almost looks like a bell
shaped curve distribution.
>
> Looks like it needs 'something'.
>
> Hope this helps
> JOE
>
>
>
> Ticker Net Profit Net % Profit Exposure % CAR RAR Max. Trade
Drawdown
> GENZ 2690.94 26.91 7.01 47.19 673.59 -399.94
> PTEN 2362.2 23.62 3.18 41.06 1289.24 -268.01
> EBAY 2282.21 22.82 8.28 39.58 478.02 -636.19
> ERTS 2215.96 22.16 7.64 38.36 501.9 -284.99
> QCOM 2126.12 21.26 7.64 36.71 480.35 -597.19
> TLAB 2101.32 21.01 2.55 36.26 1423.27 -112.22
> YHOO 1985.41 19.85 6.37 34.15 536.16 -416.49
> PAYX 1788.71 17.89 4.46 30.6 686.26 -171.93
> AMZN 1633.94 16.34 2.55 27.83 1092.22 -224.55
> PETM 1475.05 14.75 5.1 25.01 490.77 -178.67
> ADBE 1445.25 14.45 3.82 24.48 640.59 -220.1
> CDWC 1439.62 14.4 6.37 24.38 382.79 -459.35
> JDSU 1420.79 14.21 3.82 24.05 629.3 -880.89
> BRCM 1380.04 13.8 4.46 23.33 523.32 -396.98
> LAMR 1368.83 13.69 7.01 23.14 330.21 -387.15
> VRSN 1351.03 13.51 3.18 22.82 716.64 -310.13
> DISH 1346.31 13.46 5.73 22.74 396.69 -67.49
> CTXS 1301.72 13.02 2.55 21.96 861.88 -343.07
> SEBL 1257.06 12.57 3.18 21.18 664.98 -412.26
>
>
> ----- Original Message -----
> From: Dickie Paria
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, August 17, 2005 7:55 AM
> Subject: [amibroker] Can somebody test this simple system and
post results ?
>
>
> This is a slight modification to a simple system from an article
in
> April 2005 'Active Trader' mag (article by Xavier Raj). It looks
> for 'extreme' price bars i.e., it goes long the next day if price
> today opens at the bottom 10% of the price bar and closes at the
top
> 10% of the bar. The trade stays in the market for 24 hrs i.e.,
it
> sells on the open of the following day. Going short is the exact
> opposite.
> Can somebody test it for me on the NDX100 stocks or, perhaps,
Dow30 ?
> [I don't carry alot of stocks on my flash drive] Thanks
>
> Range = (H-L);
>
> //Open is in the lowest 10% of the price bar and Close
> // is in the highest 10% of the price bar
> PriceUp = Close > (High - (Range/10)) AND Open < (Low +
(Range/10));
>
> //Open is in the highest 10% of the price bar and
> // Close is in lowest 10% of the price bar
> PriceDown = Close < (Low + (Range/10)) AND Open > (High -
(Range/10));
>
> //Trade on BuyPrice and ShortPrice with one bar delay
> SetTradeDelays (1,1,1,1);
>
> BuyPrice = ShortPrice = CoverPrice = SellPrice = Open;
>
> Buy = IIf (PriceUp, BuyPrice, 0);
> Sell = 0;
>
> Short = IIf (PriceDown, ShortPrice, 0);
> Cover = 0;
>
> ApplyStop (stopTypeNBar, 1, 1,0);
>
>
>
>
> 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
>
>
>
>
>
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