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Thanks Joe. Very informative. I was just curious to see if the
logic in the 'Active Trader' article translated to 'real life'.
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxxx> wrote:
> Here the report long only, $11 per trade, portfolio backtest from
1995 YTD on NDX 100 component stocks using EOD data I could be
missing something but I see negative CAR, very high drawdown with
lots of trades. If you look at the charts you'll see 477 trades
losing 0-5% that were stopped out. To me that's a not a good entry
on this family of stocks because all of your gains are attrited by
the losing trades that are stopped out. I don't see much to
reccomend this strategy as it is
> and possibly it was not meant for end of day trading.
>
> Another problem is that the NDX component stocks have changed since
1995, and running a back test like this
> starting with 2005 NDX 100 gives it what's called a survivorship
bias...the survivors are now in the NDX 100 while
> the non performers were dropped.
>
> I don't have futures data.
>
> I don't know if this helps
> JOE
> ----- Original Message -----
> From: Dickie Paria
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, August 17, 2005 8:50 AM
> Subject: [amibroker] Re: Can somebody test this simple system and
post results ?
>
>
> 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
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> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> >
> >
> >
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