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Eugene, back test or forward test, your paper trade results are not
that much better than random.
I've used very conservative brokerage for testing your chart trades,
and the result is a profit of just over 1%pa.
If you increase brokerage by a fraction, then you're looking at
considerable losses courtesy of whipsaw trading.
---8<----------------------------
Dell Inc
http://www.profitfromstocks.com/rnd/dell_lnr.png
Bought/sold on Close.
No slippage, no trade delays.
$profit = no brokerage
%profit = inc 0.25% total brokerage
Results:
67 trades, 35 wins, 32 losses (52% win rate)
Total profit: +0.75% (+1.2%pa)
__ Date ___ trade _ Close _ $profit _ %profit
13-Feb-04 _ short _ 34.55 __ +1.19 __ +3.19
23-Feb-04 _ long __ 33.36 __ -0.23 __ -0.94
03-Mar-04 _ short _ 33.13 __ -0.00 __ -0.25
04-Mar-04 _ long __ 33.13 __ -1.93 __ -6.08
08-Mar-04 _ short _ 31.20 __ -0.51 __ -1.88
09-Mar-04 _ long __ 31.71 __ +1.34 __ +3.98
12-Mar-04 _ short _ 33.05 __ +0.08 __ -0.01
15-Mar-04 _ long __ 32.97 __ +0.16 __ +0.24
16-Mar-04 _ short _ 33.13 __ +0.12 __ +0.11
24-Mar-04 _ long __ 33.01 __ +0.75 __ +2.02
25-Mar-04 _ short _ 33.76 __ -0.12 __ -0.61
29-Mar-04 _ long __ 33.88 __ +0.04 __ -0.13
30-Mar-04 _ short _ 33.92 __ -1.71 __ -5.29
08-Apr-04 _ long __ 35.63 __ +0.16 __ +0.2
12-Apr-04 _ short _ 35.79 __ +0.46 __ +1.04
13-Apr-04 _ long __ 35.33 __ +0.21 __ +0.34
14-Apr-04 _ short _ 35.54 __ +0.71 __ +1.75
21-Apr-04 _ long __ 34.83 __ +0.57 __ +1.39
22-Apr-04 _ short _ 35.40 __ -0.56 __ -1.83
23-Apr-04 _ long __ 35.96 __ +0.35 __ +0.72
27-Apr-04 _ short _ 36.31 __ +1.00 __ +2.5
04-May-04 _ long __ 35.31 __ +0.40 __ +0.88
05-May-04 _ short _ 35.71 __ +0.23 __ +0.39
06-May-04 _ long __ 35.48 __ +1.18 __ +3.08
11-May-04 _ short _ 36.66 __ +0.21 __ +0.32
12-May-04 _ long __ 36.45 __ -0.65 __ -2.03
13-May-04 _ short _ 35.80 __ +1.44 __ +3.77
18-May-04 _ long __ 34.36 __ -0.31 __ -1.15
19-May-04 _ short _ 34.05 __ -0.14 __ -0.66
20-May-04 _ long __ 34.19 __ +0.43 __ +1.01
21-May-04 _ short _ 34.62 __ -0.72 __ -2.33
26-May-04 _ long __ 35.34 __ -0.21 __ -0.84
27-May-04 _ short _ 35.13 __ -0.07 __ -0.45
03-Jun-04 _ long __ 35.20 __ -0.20 __ -0.82
04-Jun-04 _ short _ 35.00 __ +0.13 __ +0.12
09-Jun-04 _ long __ 34.87 __ +0.23 __ +0.41
10-Jun-04 _ short _ 35.10 __ +0.05 __ -0.11
14-Jun-04 _ long __ 35.05 __ +0.63 __ +1.55
15-Jun-04 _ short _ 35.68 __ +0.29 __ +0.56
16-Jun-04 _ long __ 35.39 __ -0.63 __ -2.03
17-Jun-04 _ short _ 34.76 __ +0.14 __ +0.15
21-Jun-04 _ long __ 34.62 __ +1.20 __ +3.22
30-Jun-04 _ short _ 35.82 __ +0.69 __ +1.68
02-Jul-04 _ long __ 35.13 __ -0.20 __ -0.82
06-Jul-04 _ short _ 34.93 __ -0.28 __ -1.05
07-Jul-04 _ long __ 35.21 __ -0.37 __ -1.3
14-Jul-04 _ short _ 34.84 __ -0.30 __ -1.11
23-Jul-04 _ long __ 35.14 __ +0.20 __ +0.32
26-Jul-04 _ short _ 35.34 __ -0.03 __ -0.33
27-Jul-04 _ long __ 35.37 __ -0.02 __ -0.31
28-Jul-04 _ short _ 35.35 __ -0.12 __ -0.59
02-Aug-04 _ long __ 35.47 __ -0.30 __ -1.1
03-Aug-04 _ short _ 35.17 __ -0.13 __ -0.62
04-Aug-04 _ long __ 35.30 __ -1.16 __ -3.54
06-Aug-04 _ short _ 34.14 __ +0.07 __ -0.04
09-Aug-04 _ long __ 34.07 __ +0.44 __ +1.04
13-Aug-04 _ short _ 34.51 __ -0.32 __ -1.18
17-Aug-04 _ long __ 34.83 __ +0.25 __ +0.47
18-Aug-04 _ short _ 35.08 __ +0.38 __ +0.83
19-Aug-04 _ long __ 34.70 __ +0.16 __ +0.21
20-Aug-04 _ short _ 34.86 __ -0.09 __ -0.51
23-Aug-04 _ long __ 34.95 __ +0.24 __ +0.44
26-Aug-04 _ short _ 35.19 __ +0.35 __ +0.74
31-Aug-04 _ long __ 34.84 __ +0.63 __ +1.56
01-Sep-04 _ short _ 35.47 __ +0.26 __ +0.48
07-Sep-04 _ long __ 35.21 __ +0.25 __ +0.46
08-Sep-04 _ short _ 35.46 __ -0.08 __ -0.48
17-Sep-04 _ long __ 35.54
---8<----------------------------
jose '-)
--- In Metastockusers@xxxxxxxxxxxxxxx, "evg_labun" <elabunsky@xxxx>
wrote:
> Jose,
>
> I guess you missed that is not back test for some days. It's walk
> forward test. I did calc system keep signals and load data for next
> trading day etc. day by day...
>
> Could you mark not profitable signals?.. And then send me...
>
> PS. It's not adv. i'm trying to say - RANDOM trading system is not
> good idea.
>
> Regards,
> Eugene.
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "Jose" <josesilva22@xxxx>
> wrote:
> > Eugene, if you ever decide to trade your system signals, you will
> then
> > understand what whipsaws are all about.
> >
> > http://www.profitfromstocks.com/rnd/dell_lnr.png
> > Assuming no slippage (unlikely in the real world), less than 50%
> of
> > the 32 Short signals in the above chart are profitable, and the
> > majority of the rest are hardly profitable.
> >
> >
> > jose '-)
> > Proud to offer non-official, ethically-sound MetaStock add-ons.
> > Proud to offer no trading systems for sale.
> >
> >
> >
> > --- In Metastockusers@xxxxxxxxxxxxxxx, "Eugene Labunsky"
> <elabunsky@xx
> > ..> wrote:
> > > >VERY VERY few systems outperform random entries....
> > > >Try to write a system with random entries.
> > > >See the results. A very humbling experience.
> > >
> > > I guess my system can be a bit better than RANDOM.
> > >
> > > 120 day by day walk test (all signals are OOS) -
> > > http://www.profitfromstocks.com/rnd/dell_lnr.png
> > >
> > > 3 randoms test:
> > >
> > > http://www.profitfromstocks.com/rnd/dell_rnd1.png
> > > http://www.profitfromstocks.com/rnd/dell_rnd2.png
> > > http://www.profitfromstocks.com/rnd/dell_rnd3.png
> > >
> > > Regards,
> > > Eugene Labunsky.
> > > http://www.TrendMedium.com - Official MetaStock Add-on
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