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So I made those changes and this simulates not buying any ETFs when the S&P is below the 200 day moving average which is the blue line on the CXO chart. I ended with a 205% profit which is close to the CXO blue line performance. Are you getting the same results?
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 30573.87 30573.87 10000.00
Net Profit 20573.87 20573.87 0.00
Net Profit % 205.74 % 205.74 % 0.00 %
Exposure % 59.68 % 59.68 % 0.00 %
Net Risk Adjusted Return % 344.73 % 344.73 % N/A
Annual Return % 11.28 % 11.28 % 0.00 %
Risk Adjusted Return % 18.91 % 18.91 % N/A
--------------------------------------------------------------------------------
All trades 22 22 (100.00 %) 0 (0.00 %)
Avg. Profit/Loss 935.18 935.18 N/A
Avg. Profit/Loss % 5.54 % 5.54 % N/A
Avg. Bars Held 72.55 72.55 N/A
--------------------------------------------------------------------------------
Winners 17 (77.27 %) 17 (77.27 %) 0 (0.00 %)
Total Profit 26212.78 26212.78 0.00
Avg. Profit 1541.93 1541.93 N/A
Avg. Profit % 8.67 % 8.67 % N/A
Avg. Bars Held 85.35 85.35 N/A
Max. Consecutive 7 7 0
Largest win 3812.87 3812.87 0.00
# bars in largest win 107 107 0
--------------------------------------------------------------------------------
Losers 5 (22.73 %) 5 (22.73 %) 0 (0.00 %)
Total Loss -5638.91 -5638.91 0.00
Avg. Loss -1127.78 -1127.78 N/A
Avg. Loss % -5.09 % -5.09 % N/A
Avg. Bars Held 29.00 29.00 N/A
Max. Consecutive 2 2 0
Largest loss -1957.75 -1957.75 0.00
# bars in largest loss 43 43 0
--------------------------------------------------------------------------------
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> There are also a couple of errors in my original code:
>
> - SetTradeDelays should be (1,1,1,1)
> - MAFilter = C > MA(C,200) should be MAFilter = Foreign("^GSPC","C") > MA(Foreign("^GSPC","C"),200);
>
> The final point was that I found this code did not work for anyone using TC2005 data but worked fine with Yahoo data. That suggests that splits and/or dividends affect the results. Given that splits are less common in these ETFs (at least as far as I know - someone correct me if I'm wrong), I think it is a dividend adjustment issue.
>
> That last point indicates to me that using Telechart data for backtesting is not viable.
>
> Thoughts appreciated.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "donald_brown_48367" <donald_brown_48367@> wrote:
> >
> >
> > 1. Copied put the SPDRs into a watchlist.
> >
> > 2. I copied the Droskill's code into the formula editor and saved it.
> >
> > 3. I ran a backtest filtering it just for the SPDR watchlist with the a
> > start date of July 1, 1999 and an end date of Dec 23 2009.
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Bob Waits <bobwaits2@> wrote:
> > >
> > > Thanks Donald. Could you walk us through (steps) so that we can
> > understand how you got these returns?
> > >
> > >
> > >
> > >
> > > ________________________________
> > > From: donald_brown_48367 donald_brown_48367@
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Sat, January 2, 2010 12:15:07 PM
> > > Subject: [amibroker] Re: CXO article
> > >
> > >
> > > As I understand it your code would be duplicating the red line on the
> > CXO chart. I used your code with a start date of July 1, 1999 and an end
> > date of Dec 23, 2009 and I got a 53.9% profit over the whole period
> > which is close to (slightly higher) than the red line on their chart as
> > this increases from $10,000 to almost $15,000 over the same period. I
> > used a .25% trading cost.
> > >
> > > The results aren't exactly the same for some reason. My results show a
> > balance drawdown from April 2001 until March 2004. The red line on the
> > chart appears to be underwater only from July 2002 until September 2003.
> > >
> > > --- In amibroker@xxxxxxxxx ps.com, "droskill" droskill@ .> wrote:
> > > >
> > > > I've been trying to duplicate the results in this CXO article:
> > > >
> > > > http://www.cxoadvisory.com/blog/internal/blog12-22-09/
> > > >
> > > > It's a rotational system that trades the top fund from the SPDR
> > Select series based on a 6 month return as long as it is above the 10
> > month SMA.
> > > >
> > > > I'm not testing it monthly, but here's the daily code I've come up
> > with:
> > > >
> > > > SetBacktestMode( backtestRotation al);
> > > > SetTradeDelays( 0,0,0,0); // everything delayed 1 day
> > > > SetOption("UsePrevB arEquityForPosSi zing", True);
> > > > SetOption("MinShare s", 10);
> > > > SetOption("AllowPos itionShrinking" ,True);
> > > > SetOption("AccountM argin",100) ;
> > > >
> > > > Totalpositions = 1;
> > > >
> > > > MAFilter = C > MA(C,200);
> > > > PositionScore = MAFilter * ROC(C,120);
> > > > PositionSize = -100/Totalpositions ;
> > > >
> > > > SetOption("WorstRan kHeld", Totalpositions + 1);
> > > > SetOption("MaxOpenP ositions" , Totalpositions );
> > > >
> > > > m = Month();
> > > > newMonth = m != Ref( m, -1);
> > > > PositionScore = IIf(PositionScore < 0, 0, PositionScore) ; // Long
> > only
> > > > PositionScore = IIf(newMonth, PositionScore, scoreNoRotate) ;
> > > >
> > > > My portfolio consists of the nine SPDRs - XLF,XLE,XLP, XLY,XLI,XLK,
> > XLV,XLB,XLU
> > > >
> > > > I've been unable to duplicate anything close to their results -
> > anybody have any idea of what, if anything, I'm doing wrong?
> > > >
> > >
> >
>
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