--- In
amibroker@xxxxxxxxxxxxxxx, "donald_brown_48367" <donald_brown_48367@xxx> wrote:
>
> 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@> 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?
> > > > >
> > > >
> > >
> >
>