|
PureBytes Links
Trading Reference Links
|
The original article had buy next day at high(of previous day)+0.05
and sell on close. And sell short at low(of previous day) - 0.05 and
cover on close. I just thought buying/shorting on open and
selling/covering on the next day's open may be better. Perhaps the
result would have been better (higher profit and lesser drawdown) if
I had stuck to the original.
Maybe somebody can tinker with my code to reflect the original.....
Also - the original article had a 2nd 'augmented' code which had a
stop-loss of the midpoint of the previous day's range. The augmented
code had a higher profit ratio though lower overall profit.
[The author had shown an example of testing it on some futures index -
maybe NDX (can't remember) - and the profits were impressive. As
mentioned in the first post - you can look up the article in April
2005 Active Trader mag]
--- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> 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
> to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > >
> > >
> > >
> > >
> > > --------------------------------------------------------------
--
> ----
> > ----------
> > > YAHOO! GROUPS LINKS
> > >
> > > a.. Visit your group "amibroker" on the web.
> > >
> > > b.. To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > >
> > > c.. Your use of Yahoo! Groups is subject to the Yahoo!
> Terms
> > of Service.
> > >
> > >
> > > --------------------------------------------------------------
--
> ----
> > ----------
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> > ------------------------------------------------------------------
--
> ----------
> > YAHOO! GROUPS LINKS
> >
> > a.. Visit your group "amibroker" on the web.
> >
> > b.. To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> >
> > c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms
> of Service.
> >
> >
> > ------------------------------------------------------------------
--
> ----------
------------------------ Yahoo! Groups Sponsor --------------------~-->
<font face=arial size=-1><a href="http://us.ard.yahoo.com/SIG=12h3c0prn/M=362343.6886682.7839641.1493532/D=groups/S=1705632198:TM/Y=YAHOO/EXP=1124302237/A=2894352/R=0/SIG=11fdoufgv/*http://www.globalgiving.com/cb/cidi/tsun.html";>Help tsunami villages rebuild at GlobalGiving. The real work starts now</a>.</font>
--------------------------------------------------------------------~->
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
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|