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Dimitris,
The "system" that you propose as a "neutral" one
is not much different from buy & hold strategy - its exposure is 100%.
(the difference is that you take multiple commission) .
Buying and selling the same day was introduced to illustrate
the impact of your preferred settings (buy low, sell high) on the results.
The illustration shown that with these settings no-brainer
strategy (buying and selling the same day) ALWAYS generates profits.
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, October 13, 2001 10:21 PM
Subject: [amibroker] Re: The peculiar System
> Dear Tomasz,
> I do not agree with your condition.
> Buy and sell the same day is artificial and I do not know how did it
> entered in the discussion.
> To give a measure of random buy/sell, I split the whole period in 32
> parts and make one trade per part.
> So, I buy the first day and sell the last day of the 1/32 th of the
> whole time. This means to me that buy/sell is equally distributed
> accross the time interval.
> Best Regards
> Dimitris Tsokakis
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Hi again,
> >
> > Just to be exact your neutral system should look like this:
> >
> > buy = cum(1)%14 == 1;
> > sell = buy; /* sell the same day as you buy */
> >
> > Best regards,
> > Tomasz Janeczko
> > ===============
> > AmiBroker - the comprehensive share manager.
> > http://www.amibroker.com
> >
> >
> > ----- Original Message -----
> > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Saturday, October 13, 2001 9:34 PM
> > Subject: [amibroker] Re: The peculiar System
> >
> >
> > > 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
> > > >
> > > >
> > > > Yahoo! Groups Sponsor
> > > >
> > > >
> > > >
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> > > Service.
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
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> > >
> > >
> > >
>
>
>
>
>
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