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Dear Tomasz,
Your comparison is not that fair and it is extremely simplified.
If you read the text you replied, you will see that I had
32 trades from Jan 2000.(~450 trading days).
This means 1 trade per 14 days.
The neutral buy-sell system would be
buy= cum(1)%14==1;
sell=ref(buy,-13);
ie 32 trades equally distributed in the whole period, whithout
any other criteria applied.
For your information, this system with the same settings for
the same stock and the same period, gives Net % profit -24%.
Best Regards
Dimitris Tsokakis
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Dimitris,
>
> The reason why you get so good results is the one
> I mentioned already sometime ago:
> you set unrealistic entry/exit settings - buy on day's low
> and sell on day's high.
>
> To prove it: please modify your selling formula to:
>
> sell = buy; /* sell on the same bar as you buy */
>
> and your system will be winning no matter
> what is a buy formula with buying day low and selling day's high!
>
> You can go further buy on low and sell on high everyday -
> This "system" generates 45272.59 % during 281 days on DJIA stocks
> without ANY optimization.
>
> Great ? Not really - it is just an effect of unrealistic settings.
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxx
> Sent: Saturday, October 13, 2001 1:30 PM
> Subject: [amibroker] The peculiar System
>
>
> I wrote yesterday that this system is strange.
> One behavior never met before is the following:
> I scan with the exposed buy/sell conditions
> Buy=Cross(C2,C1);Sell=Cross(C1,C2);
> The best % Net profit was +391% and all the 120 combinations
> from optimization were profitable.
> Then I inverse buy/sell with sell/buy, ie
> Sell=Cross(C2,C1);Buy=Cross(C1,C2);
> The best % net profit was 88.4% (!!) and the half of the 120
combinations
> were profitable, if for a period of
> two years you were making mistakes all the time (32 trades).
> It is not easy to explain this property.
> Dimitris Tsokakis
>
>
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