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In regards to a variety of questions that have surfaced:
Although trading QQQ’s throughout the day is more like trading the futures then the NDX cash, trading QQQ’s at it’s close or at the NDX cash close is a close approximation to NDX. The system I posted before included a chart and a report that showed NDX as the trade vehicle which although not tradable per se should suffice as a proxy for trading QQQ at the close.
If for some reason it doesn’t, attached are a full and a recent chart and the results of trading QQQ itself over its entire history. I don’t like to test using QQQ because its history IMHO is too short. The results are more or less the same.
Fred
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Attachment:
AB-QQQ-Full.png
Description: PNG image
Attachment:
AB-QQQ-Recent.png
Description: PNG image
Title: AmiBroker System Test Report
Settings
Initial Equity:
100000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.00 %
Annual interest rate:
0.00%
Range:
8/7/1998 00:00:00 - 1/22/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
No
Def. round lot size:
0
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Close
Sell price:
Close
Buy delay:
0
Sell delay:
0
Short trades
Short price:
Close
Cover price:
Close
Short delay:
0
Cover delay:
0
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Performance for QQQ_D
Total net profit:
49922038.42
Total commissions paid:
0.00
Return on account:
49922.04 %
Open position gain/loss
0.00
Buy&Hold profit:
-51175.09
Bars (days) in test:
973 (1415)
Buy&Hold % return:
-51.18%
System to Buy&Hold index:
97651.44%
Annual system % return:
396.88%
Annual B&H % return:
-16.88%
System drawdown:
-7988.79
B&H drawdown:
-61300.43
Max. system drawdown:
-4736103.41
B&H max. drawdown:
-197297.29
Max. system % drawdown:
-25.34%
B&H max. % drawdown:
-83.60%
Max. trade drawdown:
-4204481.76
Max. trade % drawdown:
-25.34%
Trade drawdown:
-3124731.70
Total number of trades:
162
Percent profitable:
73.5%
Number winning trades:
119
Number losing trades:
43
Profit of winners:
60806468.02
Loss of losers:
-10884429.60
Total # of bars in winners:
763
Total # of bars in losers:
199
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
4596332.48
Largest losing trade:
-1485146.63
# of bars in largest winner:
9
# bars in largest loser:
4
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
510978.72
Average losing trade:
-253126.27
Avg. # of bars in winners:
6.4
Avg. # bars in losers:
4.6
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
12
Max consec. losers:
3
Bars out of the market:
134
Interest earned:
0.00
Exposure:
86.2%
Risk adjusted ann. return:
460.27%
Ratio avg win/avg loss:
2.02
Avg. trade (win & loss):
308160.73
Profit factor:
5.59
Trade list for QQQ_D
Trade
Entry date
Entry price
Exit date
Exit price
Position size
Net Profit
Equity value
Out
3/10/1999
51.06
4/5/1999
55.50
0.00
0.00
100000.00
Short
4/5/1999
55.50
4/7/1999
55.03
100000.00
846.85
100846.85
Out
4/7/1999
55.03
4/15/1999
53.53
0.00
0.00
100846.85
Long
4/15/1999
53.53
4/22/1999
54.59
100846.85
1996.97
102843.82
Short
4/22/1999
54.59
5/6/1999
52.22
102843.82
4474.34
107318.16
Long
5/6/1999
52.22
5/11/1999
54.34
107318.16
4367.54
111685.70
Short
5/11/1999
54.34
5/24/1999
51.53
111685.70
5775.43
117461.13
Long
5/24/1999
51.53
6/7/1999
53.65
117461.13
4843.88
122305.00
Short
6/7/1999
53.65
6/18/1999
55.06
122305.00
-3202.66
119102.34
Out
6/18/1999
55.06
6/23/1999
55.85
0.00
0.00
119102.34
Short
6/23/1999
55.85
6/30/1999
57.63
119102.34
-3774.26
115328.08
Out
6/30/1999
57.63
7/1/1999
58.01
0.00
0.00
115328.08
Short
7/1/1999
58.01
7/7/1999
58.47
115328.08
-894.56
114433.53
Long
7/7/1999
58.47
7/9/1999
59.84
114433.53
2691.29
117124.81
Short
7/9/1999
59.84
7/13/1999
59.25
117124.81
1154.81
118279.62
Out
7/13/1999
59.25
7/16/1999
61.38
0.00
0.00
118279.62
Short
7/16/1999
61.38
7/20/1999
58.40
118279.62
5723.68
124003.30
Long
7/20/1999
58.40
7/21/1999
58.69
124003.30
594.49
124597.79
Out
7/21/1999
58.69
8/9/1999
54.60
0.00
0.00
124597.79
Long
8/9/1999
54.60
8/16/1999
58.10
124597.79
7986.31
132584.09
Short
8/16/1999
58.10
8/18/1999
57.75
132584.09
810.04
133394.13
Long
8/18/1999
57.75
8/19/1999
57.06
133394.13
-1593.80
131800.33
Short
8/19/1999
57.06
8/23/1999
59.81
131800.33
-6352.10
125448.23
Out
8/23/1999
59.81
8/24/1999
60.22
0.00
0.00
125448.23
Short
8/24/1999
60.22
8/26/1999
60.47
125448.23
-520.83
124927.40
Out
8/26/1999
60.47
9/8/1999
61.53
0.00
0.00
124927.40
Long
9/8/1999
61.53
9/20/1999
63.45
124927.40
3898.27
128825.67
Short
9/20/1999
63.45
10/5/1999
62.00
128825.67
2944.01
131769.68
Long
10/5/1999
62.00
10/6/1999
63.23
131769.68
2614.14
134383.82
Out
10/6/1999
63.23
10/13/1999
61.31
0.00
0.00
134383.82
Short
10/13/1999
61.31
10/18/1999
59.10
134383.82
4833.09
139216.91
Long
10/18/1999
59.10
10/22/1999
61.97
139216.91
6736.49
145953.40
Short
10/22/1999
61.97
10/28/1999
63.53
145953.40
-3686.22
142267.18
Long
10/28/1999
63.53
10/29/1999
65.75
142267.18
4971.40
147238.58
Short
10/29/1999
65.75
11/4/1999
67.50
147238.58
-3918.90
143319.68
Long
11/4/1999
67.50
11/9/1999
69.09
143319.68
3375.97
146695.65
Short
11/9/1999
69.09
11/10/1999
70.00
146695.65
-1932.17
144763.48
Out
11/10/1999
70.00
11/11/1999
71.25
0.00
0.00
144763.48
Long
11/11/1999
71.25
11/29/1999
76.40
144763.48
10473.76
155237.24
Out
11/29/1999
76.40
11/30/1999
73.50
0.00
0.00
155237.24
Long
11/30/1999
73.50
12/6/1999
79.84
155237.24
13390.52
168627.77
Short
12/6/1999
79.84
12/9/1999
79.25
168627.77
1246.11
169873.88
Long
12/9/1999
79.25
12/17/1999
83.78
169873.88
9710.14
179584.02
Short
12/17/1999
83.78
12/21/1999
89.43
179584.02
-12121.60
167462.42
Out
12/21/1999
89.43
12/23/1999
90.21
0.00
0.00
167462.42
Long
12/23/1999
90.21
12/31/1999
91.38
167462.42
2153.27
169615.69
Short
12/31/1999
91.38
1/4/2000
88.25
169615.69
5800.81
175416.50
Out
1/4/2000
88.25
1/5/2000
86.00
0.00
0.00
175416.50
Long
1/5/2000
86.00
1/18/2000
93.88
175416.50
16062.85
191479.35
Short
1/18/2000
93.88
1/28/2000
86.00
191479.35
16062.85
207542.20
Long
1/28/2000
86.00
2/3/2000
96.50
207542.20
25339.45
232881.65
Short
2/3/2000
96.50
2/7/2000
98.50
232881.65
-4826.56
228055.09
Long
2/7/2000
98.50
2/10/2000
102.25
228055.09
8682.30
236737.39
Short
2/10/2000
102.25
2/11/2000
99.88
236737.39
5498.79
242236.18
Out
2/11/2000
99.88
2/18/2000
98.43
0.00
0.00
242236.18
Long
2/18/2000
98.43
3/10/2000
114.50
242236.18
39533.96
281770.14
Short
3/10/2000
114.50
3/15/2000
102.88
281770.14
28607.67
310377.80
Long
3/15/2000
102.88
3/23/2000
116.00
310377.80
39598.63
349976.43
Short
3/23/2000
116.00
3/24/2000
117.56
349976.43
-4706.57
345269.86
Long
3/24/2000
117.56
3/27/2000
117.75
345269.86
558.03
345827.89
Out
3/27/2000
117.75
3/29/2000
110.00
0.00
0.00
345827.89
Short
3/29/2000
110.00
4/4/2000
101.93
345827.89
25371.19
371199.08
Long
4/4/2000
101.93
4/7/2000
107.00
371199.08
18463.45
389662.53
Short
4/7/2000
107.00
5/2/2000
90.12
389662.53
61471.98
451134.51
Out
5/2/2000
90.12
5/3/2000
89.12
0.00
0.00
451134.51
Short
5/3/2000
89.12
5/10/2000
79.75
451134.51
47431.91
498566.42
Long
5/10/2000
79.75
5/16/2000
90.81
498566.42
69142.86
567709.28
Short
5/16/2000
90.81
5/23/2000
74.81
567709.28
100025.86
667735.14
Long
5/23/2000
74.81
6/2/2000
93.62
667735.14
167893.36
835628.50
Short
6/2/2000
93.62
6/8/2000
93.25
835628.50
3302.55
838931.05
Out
6/8/2000
93.25
6/9/2000
93.75
0.00
0.00
838931.05
Long
6/9/2000
93.75
6/19/2000
98.00
838931.05
38031.54
876962.59
Short
6/19/2000
98.00
6/26/2000
94.00
876962.59
35794.39
912756.98
Long
6/26/2000
94.00
7/13/2000
98.50
912756.98
43695.81
956452.80
Short
7/13/2000
98.50
7/17/2000
101.75
956452.80
-31558.09
924894.71
Long
7/17/2000
101.75
7/18/2000
99.50
924894.71
-20452.22
904442.49
Short
7/18/2000
99.50
7/26/2000
95.62
904442.49
35268.69
939711.18
Long
7/26/2000
95.62
8/4/2000
90.12
939711.18
-54051.57
885659.61
Short
8/4/2000
90.12
8/10/2000
89.81
885659.61
3046.59
888706.20
Out
8/10/2000
89.81
8/21/2000
95.50
0.00
0.00
888706.20
Long
8/21/2000
95.50
8/24/2000
98.56
888706.20
28475.80
917182.00
Short
8/24/2000
98.56
8/29/2000
99.00
917182.00
-4094.59
913087.42
Out
8/29/2000
99.00
9/1/2000
102.62
0.00
0.00
913087.42
Short
9/1/2000
102.62
9/7/2000
98.12
913087.42
40039.89
953127.30
Long
9/7/2000
98.12
9/20/2000
94.62
953127.30
-33998.63
919128.67
Short
9/20/2000
94.62
10/3/2000
84.00
919128.67
103161.58
1022290.25
Long
10/3/2000
84.00
10/20/2000
86.31
1022290.25
28112.95
1050403.21
Short
10/20/2000
86.31
10/25/2000
77.87
1050403.21
102715.77
1153118.97
Out
10/25/2000
77.87
11/3/2000
83.06
0.00
0.00
1153118.97
Short
11/3/2000
83.06
11/13/2000
70.06
1153118.97
180478.53
1333597.51
Long
11/13/2000
70.06
11/15/2000
77.37
1333597.51
139146.52
1472744.03
Short
11/15/2000
77.37
11/29/2000
62.93
1472744.03
274866.57
1747610.60
Long
11/29/2000
62.93
12/11/2000
74.37
1747610.60
317696.96
2065307.55
Out
12/11/2000
74.37
12/12/2000
71.65
0.00
0.00
2065307.55
Short
12/12/2000
71.65
12/19/2000
59.12
2065307.55
361176.67
2426484.22
Long
12/19/2000
59.12
12/28/2000
61.43
2426484.22
94810.25
2521294.47
Short
12/28/2000
61.43
1/5/2001
56.62
2521294.47
197418.69
2718713.16
Out
1/5/2001
56.62
1/11/2001
61.93
0.00
0.00
2718713.16
Short
1/11/2001
61.93
1/12/2001
62.71
2718713.16
-34241.77
2684471.39
Out
1/12/2001
62.71
1/18/2001
66.56
0.00
0.00
2684471.39
Long
1/18/2001
66.56
1/23/2001
67.75
2684471.39
47994.71
2732466.09
Out
1/23/2001
67.75
1/25/2001
64.50
0.00
0.00
2732466.09
Short
1/25/2001
64.50
2/1/2001
65.15
2732466.09
-27536.54
2704929.55
Long
2/1/2001
65.15
2/15/2001
58.40
2704929.55
-280249.79
2424679.76
Short
2/15/2001
58.40
3/21/2001
40.35
2424679.76
749408.83
3174088.59
Long
3/21/2001
40.35
3/23/2001
42.80
3174088.59
192726.64
3366815.22
Short
3/23/2001
42.80
4/3/2001
34.66
3366815.22
640324.17
4007139.39
Long
4/3/2001
34.66
4/11/2001
41.00
4007139.39
732985.13
4740124.52
Short
4/11/2001
41.00
4/12/2001
42.80
4740124.52
-208102.94
4532021.58
Long
4/12/2001
42.80
4/19/2001
48.30
4532021.58
582385.96
5114407.54
Short
4/19/2001
48.30
4/23/2001
45.15
5114407.54
333548.08
5447955.62
Out
4/23/2001
45.15
5/1/2001
48.05
0.00
0.00
5447955.62
Long
5/1/2001
48.05
5/2/2001
48.98
5447955.62
105444.34
5553399.96
Short
5/2/2001
48.98
5/10/2001
45.77
5553399.96
363952.82
5917352.77
Long
5/10/2001
45.77
5/17/2001
47.90
5917352.77
275376.18
6192728.95
Short
5/17/2001
47.90
5/22/2001
50.90
6192728.95
-387853.58
5804875.38
Long
5/22/2001
50.90
5/24/2001
49.90
5804875.38
-114044.70
5690830.68
Short
5/24/2001
49.90
5/31/2001
44.73
5690830.68
589611.32
6280442.00
Long
5/31/2001
44.73
6/5/2001
47.85
6280442.00
438072.27
6718514.27
Short
6/5/2001
47.85
6/14/2001
42.25
6718514.27
786283.61
7504797.88
Long
6/14/2001
42.25
6/21/2001
43.35
7504797.88
195390.92
7700188.79
Short
6/21/2001
43.35
6/26/2001
43.51
7700188.79
-28420.51
7671768.28
Long
6/26/2001
43.51
6/28/2001
44.35
7671768.28
148110.48
7819878.76
Short
6/28/2001
44.35
7/5/2001
43.45
7819878.76
158689.36
7978568.12
Out
7/5/2001
43.45
7/10/2001
40.50
0.00
0.00
7978568.12
Long
7/10/2001
40.50
7/13/2001
43.15
7978568.12
522054.76
8500622.88
Short
7/13/2001
43.15
8/2/2001
43.91
8500622.88
-149720.95
8350901.93
Long
8/2/2001
43.91
8/6/2001
42.50
8350901.93
-268156.92
8082745.01
Short
8/6/2001
42.50
8/10/2001
40.28
8082745.01
422204.80
8504949.81
Long
8/10/2001
40.28
8/27/2001
39.35
8504949.81
-196365.59
8308584.21
Short
8/27/2001
39.35
9/6/2001
33.90
8308584.21
1150743.59
9459327.80
Long
9/6/2001
33.90
9/25/2001
29.70
9459327.80
-1171952.28
8287375.53
Short
9/25/2001
29.70
10/2/2001
28.82
8287375.53
245552.16
8532927.68
Long
10/2/2001
28.82
10/3/2001
31.00
8532927.68
645447.09
9178374.77
Out
10/3/2001
31.00
10/4/2001
31.30
0.00
0.00
9178374.77
Short
10/4/2001
31.30
10/5/2001
31.76
9178374.77
-134890.15
9043484.63
Out
10/5/2001
31.76
10/12/2001
34.55
0.00
0.00
9043484.63
Short
10/12/2001
34.55
10/17/2001
32.45
9043484.63
549675.96
9593160.59
Out
10/17/2001
32.45
10/25/2001
36.80
0.00
0.00
9593160.59
Short
10/25/2001
36.80
10/29/2001
34.04
9593160.59
719486.62
10312647.21
Long
10/29/2001
34.04
11/6/2001
38.19
10312647.21
1257269.72
11569916.92
Short
11/6/2001
38.19
11/8/2001
37.75
11569916.92
133300.54
11703217.47
Long
11/8/2001
37.75
11/13/2001
39.36
11703217.47
499130.79
12202348.26
Short
11/13/2001
39.36
11/15/2001
39.48
12202348.26
-37201.95
12165146.31
Out
11/15/2001
39.48
11/19/2001
40.49
0.00
0.00
12165146.31
Long
11/19/2001
40.49
11/20/2001
38.62
12165146.31
-561838.88
11603307.43
Short
11/20/2001
38.62
11/27/2001
40.20
11603307.43
-474708.64
11128598.79
Long
11/27/2001
40.20
12/5/2001
42.85
11128598.79
733601.01
11862199.81
Short
12/5/2001
42.85
12/13/2001
39.76
11862199.81
855407.25
12717607.06
Long
12/13/2001
39.76
12/28/2001
40.33
12717607.06
182320.95
12899928.01
Short
12/28/2001
40.33
12/31/2001
38.91
12899928.01
454200.91
13354128.91
Long
12/31/2001
38.91
1/4/2002
41.67
13354128.91
947246.81
14301375.73
Short
1/4/2002
41.67
1/16/2002
38.78
14301375.73
991863.91
15293239.63
Long
1/16/2002
38.78
1/24/2002
38.94
15293239.63
63097.37
15356337.00
Short
1/24/2002
38.94
2/6/2002
36.06
15356337.00
1135752.70
16492089.70
Long
2/6/2002
36.06
2/11/2002
36.63
16492089.70
260690.12
16752779.82
Short
2/11/2002
36.63
2/28/2002
33.78
16752779.82
1303452.35
18056232.16
Long
2/28/2002
33.78
3/4/2002
37.15
18056232.16
1801348.55
19857580.72
Short
3/4/2002
37.15
3/5/2002
37.42
19857580.72
-144319.78
19713260.94
Long
3/5/2002
37.42
3/6/2002
37.60
19713260.94
94826.11
19808087.05
Out
3/6/2002
37.60
3/12/2002
38.00
0.00
0.00
19808087.05
Short
3/12/2002
38.00
3/13/2002
37.08
19808087.05
479563.26
20287650.31
Out
3/13/2002
37.08
3/19/2002
37.38
0.00
0.00
20287650.31
Long
3/19/2002
37.38
3/20/2002
36.06
20287650.31
-716417.64
19571232.67
Out
3/20/2002
36.06
4/1/2002
36.75
0.00
0.00
19571232.67
Short
4/1/2002
36.75
4/26/2002
31.04
19571232.67
3040863.15
22612095.81
Long
4/26/2002
31.04
5/15/2002
32.81
22612095.81
1289414.26
23901510.08
Short
5/15/2002
32.81
5/20/2002
32.21
23901510.08
437091.14
24338601.21
Out
5/20/2002
32.21
5/21/2002
31.32
0.00
0.00
24338601.21
Short
5/21/2002
31.32
5/29/2002
30.28
24338601.21
808177.57
25146778.78
Long
5/29/2002
30.28
5/30/2002
30.54
25146778.78
215923.65
25362702.43
Out
5/30/2002
30.54
6/21/2002
25.82
0.00
0.00
25362702.43
Long
6/21/2002
25.82
6/28/2002
26.10
25362702.43
275041.60
25637744.03
Short
6/28/2002
26.10
7/23/2002
22.40
25637744.03
3634470.16
29272214.19
Long
7/23/2002
22.40
7/30/2002
24.31
29272214.19
2495978.82
31768193.01
Short
7/30/2002
24.31
8/13/2002
22.60
31768193.01
2234618.76
34002811.77
Out
8/13/2002
22.60
8/14/2002
24.04
0.00
0.00
34002811.77
Long
8/14/2002
24.04
8/16/2002
24.70
34002811.77
933521.20
34936332.97
Short
8/16/2002
24.70
8/21/2002
25.75
34936332.97
-1485146.63
33451186.34
Long
8/21/2002
25.75
8/23/2002
25.15
33451186.34
-779445.61
32671740.73
Short
8/23/2002
25.15
8/29/2002
23.79
32671740.73
1766740.58
34438481.31
Long
8/29/2002
23.79
9/9/2002
23.08
34438481.31
-1027799.70
33410681.61
Short
9/9/2002
23.08
9/20/2002
21.67
33410681.61
2041120.28
35451801.89
Long
9/20/2002
21.67
10/11/2002
22.22
35451801.89
899790.67
36351592.56
Short
10/11/2002
22.22
10/14/2002
22.48
36351592.56
-425356.56
35926236.01
Long
10/14/2002
22.48
10/18/2002
23.81
35926236.01
2125529.01
38051765.02
Short
10/18/2002
23.81
10/22/2002
24.14
38051765.02
-527386.81
37524378.21
Out
10/22/2002
24.14
10/31/2002
24.55
0.00
0.00
37524378.21
Long
10/31/2002
24.55
11/4/2002
25.90
37524378.21
2063459.33
39587837.54
Short
11/4/2002
25.90
11/12/2002
24.93
39587837.54
1482632.27
41070469.81
Long
11/12/2002
24.93
11/22/2002
27.72
41070469.81
4596332.48
45666802.28
Short
11/22/2002
27.72
11/26/2002
27.05
45666802.28
1103779.28
46770581.57
Out
11/26/2002
27.05
12/5/2002
26.20
0.00
0.00
46770581.57
Long
12/5/2002
26.20
12/17/2002
25.93
46770581.57
-481987.71
46288593.86
Short
12/17/2002
25.93
12/30/2002
24.63
46288593.86
2320679.69
48609273.54
Long
12/30/2002
24.63
1/3/2003
25.68
48609273.54
2072261.25
50681534.79
Short
1/3/2003
25.68
1/8/2003
25.95
50681534.79
-532867.50
50148667.29
Out
1/8/2003
25.95
1/10/2003
27.10
0.00
0.00
50148667.29
Long
1/10/2003
27.10
1/13/2003
26.94
50148667.29
-296080.41
49852586.89
Short
1/13/2003
26.94
1/15/2003
26.74
49852586.89
370102.27
50222689.16
Out
1/15/2003
26.74
1/21/2003
25.03
0.00
0.00
50222689.16
Long
1/21/2003
25.03
1/22/2003
24.93
50222689.16
-200650.74
50022038.42
Out
1/22/2003
24.93
1/22/2003
24.93
0.00
0.00
Attachment:
Description: ""
Attachment:
Description: " 50022038.42"
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