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stuver, i dont understand the 3rd part of your email.
long or short entry? what does that mean , you have to
be one or the other, not both.
You didnt include sells or covers in your rules. I
added them here, and here is the backtest for SP500
1/1/2000- present. It couldnt make it make money.
Eric
PositionSize = -5;
Result = IIf( Ref(RSI(30),-1) > 50, 1,0);
ShortResult = IIf( Ref(RSI(30),-1) < 50, 1,0);
Buy = Result & CCIa( Close, 14 ) > -100;//Cross
(CCI(), -100);
Short = ShortResult & Cross( 100, CCIa(Close,14) );
Sell = CCIa( Close, 14 ) < 100;//Cross( 100, CCI() );
Cover = Cross( CCI(), -100 );
SetTradeDelays (1,1,1,1);
RoundLotSize = 1;
SetOption( "CommissionMode", 3 ); //3 - $ per
share/contract
SetOption( "CommissionAmount",.002); // - amount of
commission in modes 1..3
SetOption( "initialequity", 100000 );
Eric
Statistics
All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 86512.55 114380.01 84309.73
Net Profit -13487.45 14380.01 -15690.27
Net Profit % -13.49 % 14.38 % -15.69 %
Exposure % 99.71 % 85.35 % 14.36 %
Net Risk Adjusted Return % -13.53 % 16.85 % -109.27 %
Annual Return % -2.47 % 2.34 % -2.90 %
Risk Adjusted Return % -2.47 % 2.74 % -20.18 %
--------------------------------------------------------------------------------
All trades 32613 31606 (96.91 %) 1007 (3.09 %)
Avg. Profit/Loss -0.41 0.35 -24.45
Avg. Profit/Loss % 0.00 % 0.03 % -0.69 %
Avg. Bars Held 2.82 2.60 9.49
--------------------------------------------------------------------------------
Winners 15230 (46.70 %) 14806 (45.40 %) 424 (1.30 %)
Total Profit 1260958.49 1150685.97 110272.52
Avg. Profit 82.79 77.72 260.08
Avg. Profit % 2.10 % 1.97 % 6.69 %
Avg. Bars Held 3.22 3.01 10.64
Max. Consecutive 21 24 16
Largest win 5188.32 5188.32 2749.43
# bars in largest win 2 2 4
--------------------------------------------------------------------------------
Losers 17383 (53.30 %) 16800 (51.51 %) 583 (1.79 %)
Total Loss -1274469.17 -1139572.08 -134897.09
Avg. Loss -73.32 -67.83 -231.38
Avg. Loss % -1.83 % -1.69 % -6.06 %
Avg. Bars Held 2.46 2.25 8.66
Max. Consecutive 34 34 20
Largest loss -2225.17 -2083.90 -2225.17
# bars in largest loss 19 2 19
--------------------------------------------------------------------------------
Max. trade drawdown -3142.86 -2169.94 -3142.86
Max. trade % drawdown -70.29 % -50.31 % -70.29 %
Max. system drawdown -85075.75 -80019.18 -25345.59
Max. system % drawdown -66.46 % -59.00 % -23.38 %
Recovery Factor -0.16 0.18 -0.62
CAR/MaxDD -0.04 0.04 -0.12
RAR/MaxDD -0.04 0.05 -0.86
Profit Factor 0.99 1.01 0.82
Payoff Ratio 1.13 1.15 1.12
Standard Error 17049.17 18857.41 4105.11
Risk-Reward Ratio -0.25 -0.06 -0.28
Ulcer Index 38.76 30.23 16.05
Ulcer Performance Index -0.20 -0.10 -0.52
Sharpe Ratio of trades -0.11 -0.05 -0.49
K-Ratio -0.01 -0.00 -0.01
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