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I am trying to run a test of this system on CrudeOil eMini (QM #F ...
for eSignal) however I keep getting no data:
1. What am I doing wrong
2. I get the same results on all symbols
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 100000.00 100000.00 100000.00
Net Profit 0.00 0.00 0.00
Net Profit % 0.00 % 0.00 % 0.00 %
Exposure % 0.00 % 0.00 % 0.00 %
Net Risk Adjusted Return % N/A N/A N/A
Annual Return % 0.00 % 0.00 % 0.00 %
Risk Adjusted Return % N/A N/A N/A
--------------------------------------------------------------------------------
All trades 0 0 ( N/A ) 0 ( N/A )
Avg. Profit/Loss N/A N/A N/A
Avg. Profit/Loss % N/A N/A N/A
Avg. Bars Held N/A N/A N/A
--------------------------------------------------------------------------------
Winners 0 ( N/A ) 0 ( N/A ) 0 ( N/A )
Total Profit 0.00 0.00 0.00
Avg. Profit N/A N/A N/A
Avg. Profit % N/A N/A N/A
Avg. Bars Held N/A N/A N/A
Max. Consecutive 0 0 0
Largest win 0.00 0.00 0.00
# bars in largest win 0 0 0
--------------------------------------------------------------------------------
Losers 0 ( N/A ) 0 ( N/A ) 0 ( N/A )
Total Loss 0.00 0.00 0.00
Avg. Loss N/A N/A N/A
Avg. Loss % N/A N/A N/A
Avg. Bars Held N/A N/A N/A
Max. Consecutive 0 0 0
Largest loss 0.00 0.00 0.00
# bars in largest loss 0 0 0
--------------------------------------------------------------------------------
Max. trade drawdown 0.00 0.00 0.00
Max. trade % drawdown 0.00 % 0.00 % 0.00 %
Max. system drawdown 0.00 0.00 0.00
Max. system % drawdown 0.00 % 0.00 % 0.00 %
Recovery Factor N/A N/A N/A
CAR/MaxDD N/A N/A N/A
RAR/MaxDD N/A N/A N/A
Profit Factor N/A N/A N/A
Payoff Ratio N/A N/A N/A
Standard Error 0.00 0.00 0.00
Risk-Reward Ratio N/A N/A N/A
Ulcer Index 0.00 0.00 0.00
Ulcer Performance Index N/A N/A N/A
Sharpe Ratio of trades 0.00 0.00 0.00
K-Ratio N/A N/A N/A
--- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> How would like to trade a system that will make you rich beyond your
> wildest dreams, lower your cholesterol and make you a better lover in
> bed ?!! Don't think such a system exists !! then read on - my
> sceptical friend........(afl code is below)
>
> This system was revealed to me, this morning, as I was crossing 5th
> Ave and 34th St...a bright white light shown down on me and I heard a
> Voice - "O' Grasshopper - combine a smart money flow indicator with a
> momemtum indicator". I asked - which indicators - there are so many
> of them ? The Voice replied - "must you ask such stupid qts,
> Grasshopper. There is only the FVE smart money indicator by Markos
> Katsanos and the TSI momemtum indicator by William Blau. And...test
> it only on volatile sectors".
>
> Such revelations come only once in a blue moon - so I put together
> the system (after playing around with many buy/sell rules) and tested
> it on all the stocks in the Biotech sector from Yahoo (I think about
> a 100+ stocks) from 6/14/02 - 6/13/04. $10k equity, 50% margin, Long
> only, $16 trade comm. Results - 25 trades, 15 winners and annual
> return of 312%. Gotta be a fluke, I said. So, I tried it on the
> same stocks from 6/14/04 - 6/13/05. Annual return 335% !!
>
> Ok. there is a catch. There always is ! The buy/sell delays were
> set to '0' (meaning buy/sell happened as soon as the conditions were
> met). This system would work only for those folks with fancy
> automated trading (through IB with AB).
>
> What about the rest of us Grasshoppers who buy and sell on the open
> with a 1 day trade delay ? Well, I re-tested and 6/14/02 - 6/13/04
> and 6/14/04 - 6/13/05 showed annual returns of 28% and 26%
> respectively. Respectable....I guess.
>
> What about other volatile sectors - you say ? Sheeet ! O'
> Grasshoppers in training - must I do all the work ?
>
> [Ok. Ok. So, I did exaggerate on the 'lowering cholesterol and being
> better lovers in bed' but - hey - you can't ask for everything]
>
> **************************************************************
>
> // Money Flow Indicator - FVE by Markos Katsanos - almost identical
> to proprietary TSV money flow indicator by Worden
>
> Period = Param("Period for FVE", 22, 5, 80, 1 );
> Coeff = Param("Coeff for Cutoff", 0.1, 0, 2, 0.01 );
>
> intra=log(H)-log(L);
> Vintra = StDev(intra, period );
> inter = log(Avg)-log(Ref(Avg,-1));
> Vinter = StDev(inter,period);
> Cutoff = Coeff * (Vinter+Vintra)*C;
> MF = C- (H+L)/2 + Avg - Ref( Avg, -1 );
> VC = IIf( MF > Cutoff, V,
> IIf( MF < -Cutoff, -V, 0 ));
> FVE = 100 * Sum( VC, Period )/(MA( V, Period ) * Period );
>
> // Momemtum Indicator by William Blau
>
> TSI = 100 * ( EMA( EMA( C - Ref( C, -1 ) ,25 ) ,13)
> / EMA( EMA( abs( C - Ref( C, -1) ),25 ), 13 ) );
>
> // Plots for money flow and momentum indicators
>
> Plot(TSI,"TSI",43,1); //Plots TSI line
>
> PlotGrid(25,55); // shows white grid line for black background
> PlotGrid(-25,-55); // same
>
> Plot(EMA(TSI,7),"TSI signal",32,1); // Plots a 7 day EMA of TSI
>
> Plot( FVE, "Modified FVE", colorRed, styleThick ); // FVE line is
> shown in red
> Plot (0,"",colorBlue,styleNoLabel); // shows a blue line through 0
>
>
> RAD_TO_DEG = 180/3.1415926; // radians to degrees
> LinRegAngleFVE = RAD_TO_DEG * atan( LinRegSlope( FVE, 22 ) ); //
> calculates angle of money flow indicator
>
> // Buy Rules
>
> Buy = FVE > -10 AND FVE < 10 AND
> LinRegAngleFVE > 30 AND
> FVE > EMA( FVE, 5 ) AND EMA(FVE, 5) > EMA(FVE, 22) AND
> LinRegSlope( C, 10 ) < Ref(C, -10 ) *0.6/100 AND
> LinRegSlope( C, 10 ) > -Ref( C, -10 ) * 0.3/100 AND Cross( TSI, EMA(
> TSI, 7 ) );
>
> // Sell Rules
>
> Sell = Cross (EMA (TSI, 7), TSI) OR LinRegAngleFVE < -20;
>
> ***************************************************************
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