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The price oriented statements are superfluous ... With the settings I
have they do not change the results one iota ...
--- In amibroker@xxxxxxxxxxxxxxx, "laster" <laster@xxx> wrote:
>
>
>
> Your code should be fixed with
>
> Buy = C > Ref(C, -1);
>
> BuyPrice=C;
>
> Sell = C < Ref(C, -1);
>
> SellPrice=C;
>
> Short = Sell;
>
> ShortPrice= C;
>
> Cover = Buy;
>
> CoverPrice=C;
>
>
>
>
>
> And the returns are much lower. Get your point anyway.
>
> Jerry
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Fred
> Sent: Monday, October 16, 2006 18:56
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Amibroker vs. other software
>
>
>
> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> allansn@ 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com
> >
> > > 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> "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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