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To me this is not an academic exercise ... there either is the
potential to make money using a product or there isn't ... If you
don't want to program but you want to make money and you have some
ideas of how to do that then I suggest you spend it on someone to
write code for you as opposed to some product with canned systems in
it ... As I said ( or asked ) before ... Do you really believe that
someone has a system for sale that makes money ? At one time I used
to be privy to every piece of existing or new trading related
software coming on the market some of which had price tags an order
of magnitude and more beyond what TradingBlox wants to charge ...
I've yet to see a canned system that worked well out of sample ...
You wanna spend two grand for the personal experience ... Don't let
me stand in your way.
By the same token one can find little gems out there that aren't very
complicated that can be successful ...
Here are the returns for a nice simple 4-line system over a 13 year
period of RUT. There was no optimization to this as it has NO
parameters thus it is all out of sample ...
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 3944049.63 2842235.59 1111814.04
Net Profit 3934049.63 2832235.59 1101814.04
Net Profit % 39340.50 % 28322.36 % 11018.14 %
Exposure % 99.97 % 58.48 % 41.48 %
Net Risk Adjusted Return % 39352.98 % 48427.54 % 26559.78 %
Annual Return % 61.43 % 57.24 % 45.85 %
Risk Adjusted Return % 61.44 % 97.88 % 110.53 %
----------------------------------------------------------------------
----------
All trades 1227 614 (50.04 %) 613 (49.96 %)
Avg. Profit/Loss 3206.23 4612.76 1797.41
Avg. Profit/Loss % 0.50 % 0.62 % 0.39 %
Avg. Bars Held 3.57 4.00 3.13
----------------------------------------------------------------------
----------
Winners 570 (46.45 %) 330 (26.89 %) 240 (19.56 %)
Total Profit 6381352.25 3861524.30 2519827.95
Avg. Profit 11195.35 11701.59 10499.28
Avg. Profit % 1.61 % 1.59 % 1.64 %
Avg. Bars Held 5.00 5.42 4.42
Max. Consecutive 7 11 5
Largest win 267549.47 267549.47 231569.01
# bars in largest win 10 10 12
----------------------------------------------------------------------
----------
Losers 657 (53.55 %) 284 (23.15 %) 373 (30.40 %)
Total Loss -2447302.62 -1029288.71 -1418013.91
Avg. Loss -3724.97 -3624.26 -3801.65
Avg. Loss % -0.45 % -0.50 % -0.42 %
Avg. Bars Held 2.33 2.36 2.31
Max. Consecutive 8 6 12
Largest loss -92804.31 -55524.28 -92804.31
# bars in largest loss 2 2 2
----------------------------------------------------------------------
----------
Max. trade drawdown -92804.31 -86737.98 -92804.31
Max. trade % drawdown -4.65 % -4.65 % -4.58 %
Max. system drawdown -228156.35 -169809.15 -191309.55
Max. system % drawdown -9.02 % -9.52 % -18.62 %
Recovery Factor 17.24 16.68 5.76
CAR/MaxDD 6.81 6.01 2.46
RAR/MaxDD 6.81 10.28 5.94
Profit Factor 2.61 3.75 1.78
Payoff Ratio 3.01 3.23 2.76
Standard Error 548831.63 338884.76 217581.17
Risk-Reward Ratio 0.35 0.36 0.32
Ulcer Index 1.42 2.01 5.62
Ulcer Performance Index 39.58 25.84 7.20
Sharpe Ratio of trades 2.28 2.43 1.67
K-Ratio 0.0223 0.0228 0.0207
... and the AFL ?
Buy = C > Ref(C, -1);
Sell = C < Ref(C, -1);
Short = Sell;
Cover = Buy;
This won't work past mid 2000 ... but put it up on RUT prior to that
time ... you'll be suprised what little nothing systems can do ...
--- In amibroker@xxxxxxxxxxxxxxx, allansn@xxx wrote:
>
> Fred,
> I know you may find it hard to believe,but Blox is a very reputable
product.We may all agree that it dam well should be for close to
3,000,but it doesnt take away from the fact that it is..I am sure you
are aware that not everyone is as gifted as you and many others when
it comes to programming,and there are many incredibly successful
traders who do not employ systems at all...
>
> I have followed this board for quite some time,and am exremely
impressed at the depth of knowledge and higher understanding of
topics such as ploynomial trendlines and Hurst cycles.This board is
exceedingly oriented toward the "technology/programming" crowd,but
in no way is that the only method of trading.
>
> In the final analysis,the best tool is the one you can and will use.
>
>
>
>
>
>
>
>
> ----- Original Message -----
> From: Fred
> Date: Monday, October 16, 2006 3:32 pm
> Subject: [amibroker] Re: Amibroker vs. other software
> To: amibroker@xxxxxxxxxxxxxxx
>
> > Given your description one would assume what you get with TB is
> > a
> > variety of Black Boxes ... As a result one would need to ask
> > themselves the following questions ...
> >
> > 1. How likely is it that someone would sell a profitable trading
> > system ... at any price ?
> >
> > 2. Do i really want to trade a system that I can't see, so as a
> > result I won't how it operates nor if and when it's broken or
> > why
> > nor will I be able to "fix" it ?
> >
> > There are probably a dozen other questions but those two should
> > be
> > enough ...
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Angelo" wrote:
> > >
> > > Hi,
> > >
> > > I was forgetting two other real important differences:
> > >
> > > - Amibroker can test intraday data, Trading Blox doesn't allow
> > > intraday testing;
> > >
> > > - Amibroker can build weekly and monthly data to test starting
> > from
> > > daily data and can emply more than one timeframe in testing
> > (Ex
> > Elder
> > > Triple screem system). Trading Blox doesn't.
> > >
> > > Greetings,
> > >
> > > Angelo.
> > >
> >
> >
> >
> >
> >
>
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