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Hmm ... must be some data discrepancies somewhere (I have QP data). It
seems that this method has no room for these discrepancies since your
backtest is > 1100% and mine just 565%.
I did download data from Yahoo (in another database) to run another test. I
am still not getting the same results (only 1055%).
Peter
-----Original Message-----
From: dtsokakis [mailto:TSOKAKIS@x...]
Sent: Sunday, June 23, 2002 2:16 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: QQQ Individual Analysis
Peter,
My data begin on 3/1/2000.
See analytic #
http://groups.yahoo.com/group/amibroker/message/20095
DT
--- In amibroker@xxxx, "bluesinvestor" <investor@xxxx> wrote:
> Dimitris,
>
> Again great performance and yet not the same trades or results ...
does your
> history go back further than Jan 2000?
>
> Peter
> -----Original Message-----
> From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> Sent: Sunday, June 23, 2002 11:59 AM
> To: amibroker@xxxx
> Subject: [amibroker] QQQ Individual Analysis
>
>
> If you are fed up from my Composite Analysis, let us make a break
with an
> individual one.
> Simple logic, simple profits, pre-indicator era.[High, Low and
thats all
> !!]
> Dimitris Tsokakis
>
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.50 %
Annual interest rate:
0.00%
Range:
1/1/2000 - 6/21/2002
Apply to:
Current Symbol
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
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
Formulad1=14;
d2=43;
F2=H-L<=0.001*d1*(H+L);
F1=H-L>=0.001*d2*(H+L);
Sell=F2;Buy=F1;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
//QQQ [14,43]=+177% [LONG]
//QQQ [14,43]=+359% [SHORT] AND
//QQQ [14,43]=+1175% [LONG & SHORT]
Performance for QQQ
Total net profit:
105504.85
Total commissions paid:
5400.92
Return on account:
1055.05 %
Open position gain/loss
24414.71
Buy&Hold profit:
-7323.29
Bars (days) in test:
619 (901)
Buy&Hold % return:
-73.23%
System to Buy&Hold index:
1540.68%
Annual system % return:
169.44%
Annual B&H % return:
-41.37%
System drawdown:
-2399.91
B&H drawdown:
-7333.40
Max. system drawdown:
-20691.87
B&H max. drawdown:
-9860.69
Max. system % drawdown:
-44.31%
B&H max. % drawdown:
-78.71%
Max. trade drawdown:
-17785.95
Max. trade % drawdown:
-44.31%
Trade drawdown:
-17534.74
Total number of trades:
17
Percent profitable:
88.2%
Number winning trades:
15
Number losing trades:
2
Profit of winners:
82222.56
Loss of losers:
-1132.42
Total # of bars in winners:
399
Total # of bars in losers:
75
Commissions paid in winners:
5193.19
Commissions paid in losers:
207.73
Largest winning trade:
17706.79
Largest losing trade:
-755.18
# of bars in largest winner:
97
# bars in largest loser:
56
Commission paid in largest winner:
590.76
Commission paid in largest loser:
106.71
Average winning trade:
5481.50
Average losing trade:
-566.21
Avg. # of bars in winners:
26.6
Avg. # bars in losers:
37.5
Avg. commission paid in winner:
346.21
Avg. commission paid in loser:
103.87
Max consec. winners:
14
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
0.00
Exposure:
99.4%
Risk adjusted ann. return:
170.54%
Ratio avg win/avg loss:
9.68
Avg. trade (win & loss):
4770.01
Profit factor:
72.61
Trade list for QQQ
Trade
Entry date
Exit date
Net Profit
Equity value
Long
1/7/2000
1/18/2000
995.29
10995.29
Short
1/18/2000
4/5/2000
-755.18
10240.11
Long
4/5/2000
5/2/2000
-377.24
9862.87
Short
5/2/2000
5/24/2000
1956.77
11819.64
Long
5/24/2000
6/12/2000
2909.75
14729.39
Short
6/12/2000
8/4/2000
211.68
14941.07
Long
8/4/2000
8/16/2000
83.28
15024.35
Short
8/16/2000
10/16/2000
1820.80
16845.15
Long
10/16/2000
11/3/2000
193.13
17038.28
Short
11/3/2000
12/20/2000
5058.54
22096.83
Long
12/20/2000
1/31/2001
3592.40
25689.23
Short
1/31/2001
4/4/2001
12111.11
37800.33
Long
4/4/2001
4/30/2001
12126.60
49926.93
Short
4/30/2001
9/20/2001
17706.79
67633.73
Long
9/20/2001
10/16/2001
11634.39
79268.11
Short
10/16/2001
10/18/2001
3667.46
82935.58
Long
10/18/2001
11/5/2001
8154.56
91090.14
Open Short
11/5/2001
6/21/2002
24414.71
115504.85
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