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Simulation Summary
Simulation Date: 11/07/2007
Simulation Time: 10:12:33 PM
Simulation Duration: 0.95 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 11/01/1996
Latest Entry Date in the Trade Database: 28/06/2007
Earliest Exit Date in the Trade Database: 15/01/1996
Latest Exit Date in the Trade Database: 6/07/2007
Start Trade Entry Date: 11/01/1996
Stop Trade Entry Date: 28/06/2007
First Entry Date: 11/01/1996
Last Entry Date: 27/06/2007
First Exit Date: 15/01/1996
Last Exit Date: 4/07/2007
Total Trading duration: 4192 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $20,000.00
Finishing Capital: $115,105.30
Maximum Equity/(Date): $95,189.94 (13/06/2007)
Minimum Equity/(Date): $632.60 (15/01/1996)
Gross Trade Profit: $113,998.14 (569.99%)
Gross Trade Loss: -$18,892.85 (-94.46%)
Total Net Profit: $95,105.30 (475.53%)
Average Profit per Trade: $234.83
Profit Factor: 6.0339
Profit Index: 83.43%
Total Transaction Cost: $8,100.00
Total Slippage: -$30,249.57
Daily Compound Interest Rate: 0.0418%
Annualized Compound Interest Rate: 16.4607%
Trade Statistics
Trades Processed: 604
Trades Taken: 405
Partial Trades Taken: 0
Trades Rejected: 199
Winning Trades: 319 (78.77%)
Losing Trades: 86 (21.23%)
Breakeven Trades: 0 (0.00%)
Normal Exit Trades: 403 (99.51%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 0 (0.00%)
Protective Stop Exit Trades: 2 (0.49%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)
Largest Winning Trade/(Date): $2,131.62 (12/03/2003)
Largest Losing Trade/(Date): -$1,322.15 (10/07/1997)
Average Winning Trade: $357.36
Average Losing Trade: -$219.68
Average Win/Average Loss: 1.6267
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 14 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 4 (days)
(Winning Trades)
Maximum Trade Duration: 10 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 3 (days)
(Losing Trades)
Maximum Trade Duration: 14 (days)
Minimum Trade Duration: 2 (days)
Average Trade Duration: 7 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 20
Maximum consecutive losing trades: 3
Average consecutive winning trades: 4.62
Average consecutive losing trades: 1.26
Relative Drawdown
Maximum Dollar Drawdown/(Date): $1,578.20 (10/07/1997)
Maximum Percentage Drawdown/(Date): 5.2180% (10/07/1997)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $1,578.20 (5.2180%)
Capital Peak/(Date): $30,243.46 (30/06/1997)
Capital Valley/(Date): $28,665.26 (10/07/1997)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 5.2180% ($1,578.20)
Capital Peak/(Date): $30,243.46 (30/06/1997)
Capital Valley/(Date): $28,665.26 (10/07/1997)
it is a dip buy system traded on CFD market.
Simulation Summary
Simulation Date: 11/07/2007
Simulation Time: 11:11:08 PM
Simulation Duration: 0.67 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 21/02/1996
Latest Entry Date in the Trade Database: 18/06/2007
Earliest Exit Date in the Trade Database: 23/02/1996
Latest Exit Date in the Trade Database: 22/06/2007
Start Trade Entry Date: 21/02/1996
Stop Trade Entry Date: 18/06/2007
First Entry Date: 21/02/1996
Last Entry Date: 8/06/2007
First Exit Date: 23/02/1996
Last Exit Date: 22/06/2007
Total Trading duration: 4139 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $20,000.00
Finishing Capital: $118,961.78
Maximum Equity/(Date): $98,961.78 (22/06/2007)
Minimum Equity/(Date): $332.35 (23/02/1996)
Gross Trade Profit: $117,720.57 (588.60%)
Gross Trade Loss: -$18,758.78 (-93.79%)
Total Net Profit: $98,961.78 (494.81%)
Average Profit per Trade: $376.28
Profit Factor: 6.2755
Profit Index: 84.06%
Total Transaction Cost: $5,260.00
Total Slippage: -$21,628.17
Daily Compound Interest Rate: 0.0431%
Annualized Compound Interest Rate: 17.0278%
Trade Statistics
Trades Processed: 466
Trades Taken: 263
Partial Trades Taken: 0
Trades Rejected: 203
Winning Trades: 217 (82.51%)
Losing Trades: 46 (17.49%)
Breakeven Trades: 0 (0.00%)
Normal Exit Trades: 256 (97.34%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 0 (0.00%)
Protective Stop Exit Trades: 7 (2.66%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)
Largest Winning Trade/(Date): $2,708.17 (1/06/2001)
Largest Losing Trade/(Date): -$2,017.64 (28/10/1997)
Average Winning Trade: $542.49
Average Losing Trade: -$407.80
Average Win/Average Loss: 1.3303
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 35 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 8 (days)
(Winning Trades)
Maximum Trade Duration: 35 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 6 (days)
(Losing Trades)
Maximum Trade Duration: 35 (days)
Minimum Trade Duration: 4 (days)
Average Trade Duration: 13 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 16
Maximum consecutive losing trades: 2
Average consecutive winning trades: 5.43
Average consecutive losing trades: 1.18
Relative Drawdown
Maximum Dollar Drawdown/(Date): $2,027.64 (28/10/1997)
Maximum Percentage Drawdown/(Date): 7.3400% (28/10/1997)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $2,027.64 (7.3400%)
Capital Peak/(Date): $27,626.23 (24/10/1997)
Capital Valley/(Date): $25,598.59 (28/10/1997)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 7.3400% ($2,027.64)
Capital Peak/(Date): $27,626.23 (24/10/1997)
Capital Valley/(Date): $25,598.59 (28/10/1997)
another dip buy system tested over CFD market
Short sell system
Simulation Summary
Simulation Date: 11/07/2007
Simulation Time: 11:36:25 PM
Simulation Duration: 0.41 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 23/01/1996
Latest Entry Date in the Trade Database: 5/06/2007
Earliest Exit Date in the Trade Database: 25/01/1996
Latest Exit Date in the Trade Database: 7/06/2007
Start Trade Entry Date: 23/01/1996
Stop Trade Entry Date: 5/06/2007
First Entry Date: 23/01/1996
Last Entry Date: 5/06/2007
First Exit Date: 25/01/1996
Last Exit Date: 7/06/2007
Total Trading duration: 4153 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $20,000.00
Finishing Capital: $62,110.19
Maximum Equity/(Date): $42,110.19 (7/06/2007)
Minimum Equity/(Date): $405.50 (25/01/1996)
Gross Trade Profit: $50,096.55 (250.48%)
Gross Trade Loss: -$7,986.37 (-39.93%)
Total Net Profit: $42,110.19 (210.55%)
Average Profit per Trade: $328.99
Profit Factor: 6.2728
Profit Index: 84.06%
Total Transaction Cost: $2,560.00
Total Slippage: -$10,519.05
Daily Compound Interest Rate: 0.0273%
Annualized Compound Interest Rate: 10.4721%
Trade Statistics
Trades Processed: 129
Trades Taken: 128
Partial Trades Taken: 0
Trades Rejected: 1
Winning Trades: 106 (82.81%)
Losing Trades: 22 (17.19%)
Breakeven Trades: 0 (0.00%)
Normal Exit Trades: 123 (96.09%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 0 (0.00%)
Protective Stop Exit Trades: 5 (3.91%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)
Largest Winning Trade/(Date): $2,987.00 (27/08/2003)
Largest Losing Trade/(Date): -$1,137.21 (2/09/2002)
Average Winning Trade: $472.61
Average Losing Trade: -$363.02
Average Win/Average Loss: 1.3019
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 19 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 5 (days)
(Winning Trades)
Maximum Trade Duration: 11 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 4 (days)
(Losing Trades)
Maximum Trade Duration: 19 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 8 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 25
Maximum consecutive losing trades: 4
Average consecutive winning trades: 7.57
Average consecutive losing trades: 1.69
Relative Drawdown
Maximum Dollar Drawdown/(Date): $1,127.21 (2/09/2002)
Maximum Percentage Drawdown/(Date): 3.5930% (2/02/1999)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $1,539.03 (3.2870%)
Capital Peak/(Date): $46,822.16 (29/08/2002)
Capital Valley/(Date): $45,283.13 (13/01/2003)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 5.2480% ($1,489.31)
Capital Peak/(Date): $28,379.77 (14/12/1998)
Capital Valley/(Date): $26,890.47 (12/02/1999)
Last Year all gave 40% return
pumrysh <no_reply@xxxxxxxxxxxxxxx> wrote:
If you look in the older messages you will see that a formula
version was written back in the beginning of the year.
You are welcome to post your system here if you like.
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, "pet_park12" <pet_park12@xxx>
wrote:
>
> Hi All,
>
>
> After my eyes run over a few Aussie stock charts, in some cases
this
> moving average can be named as an adaptive but eventually this
moving
> average has a greater lagging effect than a normal moving average.
>
>
> Perhaps you may try Jurik Moving Average if you really want a less
> leg moving average. But in this forum I hardly ever seen a comment
on
> this moving average. Maybe since it is a commercial stuff everyone
> wish to get pay off from they had dealt with.
>
>
> On top on this conversation, I am not saying that every lagging
> effect is bad. Some creative people even made their system based on
> the lagging effect. If some one are interested, please leave their
> email address to me I will send some trade sim report on the system
> that I mentioned.
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> wrote:
> >
> >
> > Remember that input variable values in the explorer will use the
> > default value unless you either lock the value or change the
> default.
> >
> > Change to this:
> >
> > {change default}
> > PriceSeries: =Input("Prices series-0:O|1:H|2:L|3:C",0,3,2);
> >
> > {Lock}
> > PriceSeries: = 2;
> >
> >
> > Have you read the formula primer yet?
> >
> >
> > Preston
> >
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, aztraderguy <no_reply@>
> > wrote:
> > >
> > > Preston,
> > > It seems that the issue is that I would like the exploration
to
> > > show the 20 period, based on the low. The exploration is
giving
> > the
> > > close.
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@>
wrote:
> > > >
> > > > Yep,
> > > >
> > > > Make sure that you load more than the minimum records. Open
the
> > > > explorer, click on options at the bottom of the window,
select
> > load
> > > > and specify at least 500 records or preferably more and
close.
> > > >
> > > > Preston
> > > >
> > > >
> > > >
> > > > --- In equismetastock@xxxxxxxxxxxxxxx, aztraderguy
<no_reply@>
> > > > wrote:
> > > > >
> > > > > Hello again Preston,
> > > > > Although the exploration is now working I think something
> > must
> > > > > still be off. When I set the indicator to 20 periods and
the
> > Low
> > > > and
> > > > > put it on a chart I get a different result. The exploration
> > for
> > > > today
> > > > > does not match the result when I place my cursor over
today's
> > > > close
> > > > > on the chart. Any idea why?
> > > > >
> > > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@>
> > wrote:
> > > > > >
> > > > > > Again, let me strongly suggest that you read the formula
> > primer
> > > > > > provided free by Equis and the owner's manual.
> > > > > >
> > > > > > You're not a bother...that's what we're here for.
> > > > > >
> > > > > > The formula needs to be in the indicator builder group.
> > > > > >
> > > > > > Using the formula call you will be referencing its
values.
> > > > > >
> > > > > > Place the formula that I gave you in the explorer. If you
> > don't
> > > > > want
> > > > > > the filter then just leave it off.
> > > > > >
> > > > > > You may get an error stating "No indicator names in the
> > > > indicator
> > > > > > builder contain this text" if the words are not spaced
> > > correctly.
> > > > > >
> > > > > > If you get another error let us know what it says.
> > > > > >
> > > > > > Preston
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, aztraderguy
> > <no_reply@>
> > > > > > wrote:
> > > > > > >
> > > > > > > Thanks for your response Preston. Sorry to be a bother
> > since
> > > > I
> > > > > am
> > > > > > > still learning metastock language I'm sure these are
> > things I
> > > > am
> > > > > > > going to have to learn. However, I still can't get
this
> > to
> > > > work
> > > > > > even
> > > > > > > with your changes. This formula should be in one of
the
> > > > columns,
> > > > > > > correct? Also, I don't think I need the filter do I
since
> > I
> > > am
> > > > > > just
> > > > > > > trying to come up with the KAMA value as of today?
Thanks
> > > > > > >
> > > > > > > First read the manual and the formula primer.
> > > > > > >
> > > > > > > Next change the formula to:
> > > > > > >
> > > > > > > Kaufman's Adaptive Moving Average II
> > > > > > > { Kaufman AMA indicator }
> > > > > > > PriceSeries: =Input("Prices series - 0:O|1:H|2:L|
> > 3:C",0,3,
> > > 3);
> > > > > > > Periods:=Input( "Periods" ,1,32767, 20);
> > > > > > > FEndF:=Input( "Fast end factor",0,1, 0.666);
> > > > > > > SEndF:=Input( "Slow end factor",0,1, 0.0645);
> > > > > > > Pr:=If(PriceSeries= 0,OPEN,If( PriceSeries= 1,HIGH,
> > > > > > > If(PriceSeries= 2,LOW,CLOSE) ));
> > > > > > > Signal:=Abs( Pr-Ref(Pr, -Periods) );
> > > > > > > Dnoise:=Abs( Pr-Ref(Pr, -1));
> > > > > > > Noise:=Sum(Dnoise, Periods);
> > > > > > > EffRatio:=If( Noise>0., Signal/Noise, 0.);
> > > > > > > FERatio:=FEndF* EffRatio+ SEndF*(1- EffRatio) ;
> > > > > > > SmoothF:=Power( FERatio,2) ;
> > > > > > > PKAMA:=Pr*SmoothF+ (1-SmoothF) *PREV;
> > > > > > > PKAMA;
> > > > > > >
> > > > > > > On input variables the default value will be used for
the
> > > > > > > exploration so I have changed your to default to 20
> > periods.
> > > > > > > Also corrected the if(,,) so you do not get and error.
> > > > > > >
> > > > > > > Open an exploration, select new.
> > > > > > >
> > > > > > > Name it.
> > > > > > >
> > > > > > > Under Column A enter:
> > > > > > > FmlVar("Kaufman' s Adaptive Moving Average II","PKAMA")
> > > > > > >
> > > > > > > Under Column B enter:
> > > > > > > Close
> > > > > > >
> > > > > > > Under Filter enter for longs:
> > > > > > > ColB > ColA
> > > > > > >
> > > > > > > Your done.
> > > > > > >
> > > > > > > Enjoy,
> > > > > > >
> > > > > > > Preston
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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