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Re: [EquisMetaStock Group] Re:Kaufman's Adaptive Moving Average II



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Simulation Summary
  Simulation Date:                                            11/07/2007
  Simulation Time:                                           10:12:33 PM
  Simulation Duration:                                      0.95 seconds
   
  Trade Summary
  Earliest Entry Date in the Trade Database:                  11/01/1996
  Latest Entry Date in the Trade Database:                    28/06/2007
  Earliest Exit Date in the Trade Database:                   15/01/1996
  Latest Exit Date in the Trade Database:                      6/07/2007
   
  Start Trade Entry Date:                                     11/01/1996
  Stop Trade Entry Date:                                      28/06/2007
  First Entry Date:                                           11/01/1996
  Last Entry Date:                                            27/06/2007
  First Exit Date:                                            15/01/1996
  Last Exit Date:                                              4/07/2007
   
  Total Trading duration:                                      4192 days
   
  Profit Summary
  Profit Status:                                              PROFITABLE
  Starting Capital:                                           $20,000.00
  Finishing Capital:                                         $115,105.30
  Maximum Equity/(Date):                         $95,189.94 (13/06/2007)
  Minimum Equity/(Date):                            $632.60 (15/01/1996)
  Gross Trade Profit:                              $113,998.14 (569.99%)
  Gross Trade Loss:                                -$18,892.85 (-94.46%)
  Total Net Profit:                                 $95,105.30 (475.53%)
  Average Profit per Trade:                                      $234.83
  Profit Factor:                                                  6.0339
  Profit Index:                                                   83.43%
  Total Transaction Cost:                                      $8,100.00
  Total Slippage:                                            -$30,249.57
  Daily Compound Interest Rate:                                  0.0418%
  Annualized Compound Interest Rate:                            16.4607%
   
  Trade Statistics
  Trades Processed:                                                  604
  Trades Taken:                                                      405
  Partial Trades Taken:                                                0
  Trades Rejected:                                                   199
  Winning Trades:                                           319 (78.77%)
  Losing Trades:                                             86 (21.23%)
  Breakeven Trades:                                            0 (0.00%)
   
  Normal Exit Trades:                                       403 (99.51%)
  Delayed Normal Exit Trades:                                  0 (0.00%)
  Open Trades:                                                 0 (0.00%)
  Protective Stop Exit Trades:                                 2 (0.49%)
  Time Stop Exit Trades:                                       0 (0.00%)
  Profit Stop Exit Trades:                                     0 (0.00%)
   
  Largest Winning Trade/(Date):                   $2,131.62 (12/03/2003)
  Largest Losing Trade/(Date):                   -$1,322.15 (10/07/1997)
  Average Winning Trade:                                         $357.36
  Average Losing Trade:                                         -$219.68
  Average Win/Average Loss:                                       1.6267
   
  Trade Duration Statistics
  (All Trades)
  Maximum Trade Duration:                                      14 (days)
  Minimum Trade Duration:                                       0 (days)
  Average Trade Duration:                                       4 (days)
  (Winning Trades)
  Maximum Trade Duration:                                      10 (days)
  Minimum Trade Duration:                                       0 (days)
  Average Trade Duration:                                       3 (days)
  (Losing Trades)
  Maximum Trade Duration:                                      14 (days)
  Minimum Trade Duration:                                       2 (days)
  Average Trade Duration:                                       7 (days)
   
  Consecutive Trade Statistics
  Maximum consecutive winning trades:                                 20
  Maximum consecutive losing trades:                                   3
  Average consecutive winning trades:                               4.62
  Average consecutive losing trades:                                1.26
   
  Relative Drawdown
  Maximum Dollar Drawdown/(Date):                 $1,578.20 (10/07/1997)
  Maximum Percentage Drawdown/(Date):               5.2180% (10/07/1997)
   
  Absolute (Peak-to-Valley) Dollar Drawdown
  Maximum Dollar Drawdown:                           $1,578.20 (5.2180%)
  Capital Peak/(Date):                           $30,243.46 (30/06/1997)
  Capital Valley/(Date):                         $28,665.26 (10/07/1997)
   
  Absolute (Peak-to-Valley) Percent Drawdown
  Maximum Percentage Drawdown:                       5.2180% ($1,578.20)
  Capital Peak/(Date):                           $30,243.46 (30/06/1997)
  Capital Valley/(Date):                         $28,665.26 (10/07/1997)
   
  it is a dip buy system traded on CFD market. 
   
   
   
   
  Simulation Summary
  Simulation Date:                                            11/07/2007
  Simulation Time:                                           11:11:08 PM
  Simulation Duration:                                      0.67 seconds
   
  Trade Summary
  Earliest Entry Date in the Trade Database:                  21/02/1996
  Latest Entry Date in the Trade Database:                    18/06/2007
  Earliest Exit Date in the Trade Database:                   23/02/1996
  Latest Exit Date in the Trade Database:                     22/06/2007
   
  Start Trade Entry Date:                                     21/02/1996
  Stop Trade Entry Date:                                      18/06/2007
  First Entry Date:                                           21/02/1996
  Last Entry Date:                                             8/06/2007
  First Exit Date:                                            23/02/1996
  Last Exit Date:                                             22/06/2007
   
  Total Trading duration:                                      4139 days
   
  Profit Summary
  Profit Status:                                              PROFITABLE
  Starting Capital:                                           $20,000.00
  Finishing Capital:                                         $118,961.78
  Maximum Equity/(Date):                         $98,961.78 (22/06/2007)
  Minimum Equity/(Date):                            $332.35 (23/02/1996)
  Gross Trade Profit:                              $117,720.57 (588.60%)
  Gross Trade Loss:                                -$18,758.78 (-93.79%)
  Total Net Profit:                                 $98,961.78 (494.81%)
  Average Profit per Trade:                                      $376.28
  Profit Factor:                                                  6.2755
  Profit Index:                                                   84.06%
  Total Transaction Cost:                                      $5,260.00
  Total Slippage:                                            -$21,628.17
  Daily Compound Interest Rate:                                  0.0431%
  Annualized Compound Interest Rate:                            17.0278%
   
  Trade Statistics
  Trades Processed:                                                  466
  Trades Taken:                                                      263
  Partial Trades Taken:                                                0
  Trades Rejected:                                                   203
  Winning Trades:                                           217 (82.51%)
  Losing Trades:                                             46 (17.49%)
  Breakeven Trades:                                            0 (0.00%)
   
  Normal Exit Trades:                                       256 (97.34%)
  Delayed Normal Exit Trades:                                  0 (0.00%)
  Open Trades:                                                 0 (0.00%)
  Protective Stop Exit Trades:                                 7 (2.66%)
  Time Stop Exit Trades:                                       0 (0.00%)
  Profit Stop Exit Trades:                                     0 (0.00%)
   
  Largest Winning Trade/(Date):                    $2,708.17 (1/06/2001)
  Largest Losing Trade/(Date):                   -$2,017.64 (28/10/1997)
  Average Winning Trade:                                         $542.49
  Average Losing Trade:                                         -$407.80
  Average Win/Average Loss:                                       1.3303
   
  Trade Duration Statistics
  (All Trades)
  Maximum Trade Duration:                                      35 (days)
  Minimum Trade Duration:                                       0 (days)
  Average Trade Duration:                                       8 (days)
  (Winning Trades)
  Maximum Trade Duration:                                      35 (days)
  Minimum Trade Duration:                                       0 (days)
  Average Trade Duration:                                       6 (days)
  (Losing Trades)
  Maximum Trade Duration:                                      35 (days)
  Minimum Trade Duration:                                       4 (days)
  Average Trade Duration:                                      13 (days)
   
  Consecutive Trade Statistics
  Maximum consecutive winning trades:                                 16
  Maximum consecutive losing trades:                                   2
  Average consecutive winning trades:                               5.43
  Average consecutive losing trades:                                1.18
   
  Relative Drawdown
  Maximum Dollar Drawdown/(Date):                 $2,027.64 (28/10/1997)
  Maximum Percentage Drawdown/(Date):               7.3400% (28/10/1997)
   
  Absolute (Peak-to-Valley) Dollar Drawdown
  Maximum Dollar Drawdown:                           $2,027.64 (7.3400%)
  Capital Peak/(Date):                           $27,626.23 (24/10/1997)
  Capital Valley/(Date):                         $25,598.59 (28/10/1997)
   
  Absolute (Peak-to-Valley) Percent Drawdown
  Maximum Percentage Drawdown:                       7.3400% ($2,027.64)
  Capital Peak/(Date):                           $27,626.23 (24/10/1997)
  Capital Valley/(Date):                         $25,598.59 (28/10/1997)
   
   
   
  another dip buy system tested over CFD market 
   
   
   
  
  Short sell system 
   
   
   
   
  Simulation Summary
  Simulation Date:                                            11/07/2007
  Simulation Time:                                           11:36:25 PM
  Simulation Duration:                                      0.41 seconds
   
  Trade Summary
  Earliest Entry Date in the Trade Database:                  23/01/1996
  Latest Entry Date in the Trade Database:                     5/06/2007
  Earliest Exit Date in the Trade Database:                   25/01/1996
  Latest Exit Date in the Trade Database:                      7/06/2007
   
  Start Trade Entry Date:                                     23/01/1996
  Stop Trade Entry Date:                                       5/06/2007
  First Entry Date:                                           23/01/1996
  Last Entry Date:                                             5/06/2007
  First Exit Date:                                            25/01/1996
  Last Exit Date:                                              7/06/2007
   
  Total Trading duration:                                      4153 days
   
  Profit Summary
  Profit Status:                                              PROFITABLE
  Starting Capital:                                           $20,000.00
  Finishing Capital:                                          $62,110.19
  Maximum Equity/(Date):                          $42,110.19 (7/06/2007)
  Minimum Equity/(Date):                            $405.50 (25/01/1996)
  Gross Trade Profit:                               $50,096.55 (250.48%)
  Gross Trade Loss:                                 -$7,986.37 (-39.93%)
  Total Net Profit:                                 $42,110.19 (210.55%)
  Average Profit per Trade:                                      $328.99
  Profit Factor:                                                  6.2728
  Profit Index:                                                   84.06%
  Total Transaction Cost:                                      $2,560.00
  Total Slippage:                                            -$10,519.05
  Daily Compound Interest Rate:                                  0.0273%
  Annualized Compound Interest Rate:                            10.4721%
   
  Trade Statistics
  Trades Processed:                                                  129
  Trades Taken:                                                      128
  Partial Trades Taken:                                                0
  Trades Rejected:                                                     1
  Winning Trades:                                           106 (82.81%)
  Losing Trades:                                             22 (17.19%)
  Breakeven Trades:                                            0 (0.00%)
   
  Normal Exit Trades:                                       123 (96.09%)
  Delayed Normal Exit Trades:                                  0 (0.00%)
  Open Trades:                                                 0 (0.00%)
  Protective Stop Exit Trades:                                 5 (3.91%)
  Time Stop Exit Trades:                                       0 (0.00%)
  Profit Stop Exit Trades:                                     0 (0.00%)
   
  Largest Winning Trade/(Date):                   $2,987.00 (27/08/2003)
  Largest Losing Trade/(Date):                    -$1,137.21 (2/09/2002)
  Average Winning Trade:                                         $472.61
  Average Losing Trade:                                         -$363.02
  Average Win/Average Loss:                                       1.3019
   
  Trade Duration Statistics
  (All Trades)
  Maximum Trade Duration:                                      19 (days)
  Minimum Trade Duration:                                       0 (days)
  Average Trade Duration:                                       5 (days)
  (Winning Trades)
  Maximum Trade Duration:                                      11 (days)
  Minimum Trade Duration:                                       0 (days)
  Average Trade Duration:                                       4 (days)
  (Losing Trades)
  Maximum Trade Duration:                                      19 (days)
  Minimum Trade Duration:                                       0 (days)
  Average Trade Duration:                                       8 (days)
   
  Consecutive Trade Statistics
  Maximum consecutive winning trades:                                 25
  Maximum consecutive losing trades:                                   4
  Average consecutive winning trades:                               7.57
  Average consecutive losing trades:                                1.69
   
  Relative Drawdown
  Maximum Dollar Drawdown/(Date):                  $1,127.21 (2/09/2002)
  Maximum Percentage Drawdown/(Date):                3.5930% (2/02/1999)
   
  Absolute (Peak-to-Valley) Dollar Drawdown
  Maximum Dollar Drawdown:                           $1,539.03 (3.2870%)
  Capital Peak/(Date):                           $46,822.16 (29/08/2002)
  Capital Valley/(Date):                         $45,283.13 (13/01/2003)
   
  Absolute (Peak-to-Valley) Percent Drawdown
  Maximum Percentage Drawdown:                       5.2480% ($1,489.31)
  Capital Peak/(Date):                           $28,379.77 (14/12/1998)
  Capital Valley/(Date):                         $26,890.47 (12/02/1999)
   
  Last Year all gave 40% return
   
   
  

pumrysh <no_reply@xxxxxxxxxxxxxxx> wrote:
          If you look in the older messages you will see that a formula 
version was written back in the beginning of the year.

You are welcome to post your system here if you like.

Preston

--- In equismetastock@xxxxxxxxxxxxxxx, "pet_park12" <pet_park12@xxx> 
wrote:
>
> Hi All,
> 
> 
> After my eyes run over a few Aussie stock charts, in some cases 
this
> moving average can be named as an adaptive but eventually this 
moving
> average has a greater lagging effect than a normal moving average.
> 
> 
> Perhaps you may try Jurik Moving Average if you really want a less
> leg moving average. But in this forum I hardly ever seen a comment 
on
> this moving average. Maybe since it is a commercial stuff everyone
> wish to get pay off from they had dealt with.
> 
> 
> On top on this conversation, I am not saying that every lagging
> effect is bad. Some creative people even made their system based on
> the lagging effect. If some one are interested, please leave their
> email address to me I will send some trade sim report on the system
> that I mentioned.
> 
> 
> 
> --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> wrote:
> >
> >
> > Remember that input variable values in the explorer will use the
> > default value unless you either lock the value or change the
> default.
> >
> > Change to this:
> >
> > {change default}
> > PriceSeries: =Input("Prices series-0:O|1:H|2:L|3:C",0,3,2);
> >
> > {Lock}
> > PriceSeries: = 2;
> >
> >
> > Have you read the formula primer yet?
> >
> >
> > Preston
> >
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, aztraderguy <no_reply@>
> > wrote:
> > >
> > > Preston,
> > > It seems that the issue is that I would like the exploration 
to
> > > show the 20 period, based on the low. The exploration is 
giving
> > the
> > > close.
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> 
wrote:
> > > >
> > > > Yep,
> > > >
> > > > Make sure that you load more than the minimum records. Open 
the
> > > > explorer, click on options at the bottom of the window, 
select
> > load
> > > > and specify at least 500 records or preferably more and 
close.
> > > >
> > > > Preston
> > > >
> > > >
> > > >
> > > > --- In equismetastock@xxxxxxxxxxxxxxx, aztraderguy 
<no_reply@>
> > > > wrote:
> > > > >
> > > > > Hello again Preston,
> > > > > Although the exploration is now working I think something
> > must
> > > > > still be off. When I set the indicator to 20 periods and 
the
> > Low
> > > > and
> > > > > put it on a chart I get a different result. The exploration
> > for
> > > > today
> > > > > does not match the result when I place my cursor over 
today's
> > > > close
> > > > > on the chart. Any idea why?
> > > > >
> > > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@>
> > wrote:
> > > > > >
> > > > > > Again, let me strongly suggest that you read the formula
> > primer
> > > > > > provided free by Equis and the owner's manual.
> > > > > >
> > > > > > You're not a bother...that's what we're here for.
> > > > > >
> > > > > > The formula needs to be in the indicator builder group.
> > > > > >
> > > > > > Using the formula call you will be referencing its 
values.
> > > > > >
> > > > > > Place the formula that I gave you in the explorer. If you
> > don't
> > > > > want
> > > > > > the filter then just leave it off.
> > > > > >
> > > > > > You may get an error stating "No indicator names in the
> > > > indicator
> > > > > > builder contain this text" if the words are not spaced
> > > correctly.
> > > > > >
> > > > > > If you get another error let us know what it says.
> > > > > >
> > > > > > Preston
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, aztraderguy
> > <no_reply@>
> > > > > > wrote:
> > > > > > >
> > > > > > > Thanks for your response Preston. Sorry to be a bother
> > since
> > > > I
> > > > > am
> > > > > > > still learning metastock language I'm sure these are
> > things I
> > > > am
> > > > > > > going to have to learn. However, I still can't get 
this
> > to
> > > > work
> > > > > > even
> > > > > > > with your changes. This formula should be in one of 
the
> > > > columns,
> > > > > > > correct? Also, I don't think I need the filter do I 
since
> > I
> > > am
> > > > > > just
> > > > > > > trying to come up with the KAMA value as of today? 
Thanks
> > > > > > >
> > > > > > > First read the manual and the formula primer.
> > > > > > >
> > > > > > > Next change the formula to:
> > > > > > >
> > > > > > > Kaufman's Adaptive Moving Average II
> > > > > > > { Kaufman AMA indicator }
> > > > > > > PriceSeries: =Input("Prices series - 0:O|1:H|2:L|
> > 3:C",0,3,
> > > 3);
> > > > > > > Periods:=Input( "Periods" ,1,32767, 20);
> > > > > > > FEndF:=Input( "Fast end factor",0,1, 0.666);
> > > > > > > SEndF:=Input( "Slow end factor",0,1, 0.0645);
> > > > > > > Pr:=If(PriceSeries= 0,OPEN,If( PriceSeries= 1,HIGH,
> > > > > > > If(PriceSeries= 2,LOW,CLOSE) ));
> > > > > > > Signal:=Abs( Pr-Ref(Pr, -Periods) );
> > > > > > > Dnoise:=Abs( Pr-Ref(Pr, -1));
> > > > > > > Noise:=Sum(Dnoise, Periods);
> > > > > > > EffRatio:=If( Noise>0., Signal/Noise, 0.);
> > > > > > > FERatio:=FEndF* EffRatio+ SEndF*(1- EffRatio) ;
> > > > > > > SmoothF:=Power( FERatio,2) ;
> > > > > > > PKAMA:=Pr*SmoothF+ (1-SmoothF) *PREV;
> > > > > > > PKAMA;
> > > > > > >
> > > > > > > On input variables the default value will be used for 
the
> > > > > > > exploration so I have changed your to default to 20
> > periods.
> > > > > > > Also corrected the if(,,) so you do not get and error.
> > > > > > >
> > > > > > > Open an exploration, select new.
> > > > > > >
> > > > > > > Name it.
> > > > > > >
> > > > > > > Under Column A enter:
> > > > > > > FmlVar("Kaufman' s Adaptive Moving Average II","PKAMA")
> > > > > > >
> > > > > > > Under Column B enter:
> > > > > > > Close
> > > > > > >
> > > > > > > Under Filter enter for longs:
> > > > > > > ColB > ColA
> > > > > > >
> > > > > > > Your done.
> > > > > > >
> > > > > > > Enjoy,
> > > > > > >
> > > > > > > Preston
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>



         

       
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