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input settings would be more beneficial
But have you used any range of dates for backtesting in AA window?
On 6/16/05, Alex Dolaptchiev <axle_d@xxxxxxxxx> wrote:
> 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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>
> To get support from AmiBroker please send an e-mail directly to
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>
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>
--
Cheers
Graham
http://e-wire.net.au/~eb_kavan/
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