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Eric..Here's a link to StockCharts that illustrates what I'm trying
to do with AmiBroker.
http://makeashorterlink.com/?H1664231C
Thanks for the help!
Dennis
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> wrote:
>
> 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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>
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