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Hello - Dickie, How do you want it run?
Individual stocks backtest or portfolio? Range?
I ran it as a portfolio backtest against
NDX100 component stocks and didn't get anything positive for CAR.
If I run it as
individual backtest for this year (YTD) I get a CAR distribution, with the top
20 starting at a CAR of
47% looking like this to a
car of -43%. Almost looks like a bell shaped curve distribution.
Looks like it needs 'something'.
Hope this helps
JOE
| Ticker |
Net Profit |
Net % Profit |
Exposure % |
CAR |
RAR |
Max. Trade Drawdown |
| GENZ |
2690.94 |
26.91 |
7.01 |
47.19 |
673.59 |
-399.94 |
| PTEN |
2362.2 |
23.62 |
3.18 |
41.06 |
1289.24 |
-268.01 |
| EBAY |
2282.21 |
22.82 |
8.28 |
39.58 |
478.02 |
-636.19 |
| ERTS |
2215.96 |
22.16 |
7.64 |
38.36 |
501.9 |
-284.99 |
| QCOM |
2126.12 |
21.26 |
7.64 |
36.71 |
480.35 |
-597.19 |
| TLAB |
2101.32 |
21.01 |
2.55 |
36.26 |
1423.27 |
-112.22 |
| YHOO |
1985.41 |
19.85 |
6.37 |
34.15 |
536.16 |
-416.49 |
| PAYX |
1788.71 |
17.89 |
4.46 |
30.6 |
686.26 |
-171.93 |
| AMZN |
1633.94 |
16.34 |
2.55 |
27.83 |
1092.22 |
-224.55 |
| PETM |
1475.05 |
14.75 |
5.1 |
25.01 |
490.77 |
-178.67 |
| ADBE |
1445.25 |
14.45 |
3.82 |
24.48 |
640.59 |
-220.1 |
| CDWC |
1439.62 |
14.4 |
6.37 |
24.38 |
382.79 |
-459.35 |
| JDSU |
1420.79 |
14.21 |
3.82 |
24.05 |
629.3 |
-880.89 |
| BRCM |
1380.04 |
13.8 |
4.46 |
23.33 |
523.32 |
-396.98 |
| LAMR |
1368.83 |
13.69 |
7.01 |
23.14 |
330.21 |
-387.15 |
| VRSN |
1351.03 |
13.51 |
3.18 |
22.82 |
716.64 |
-310.13 |
| DISH |
1346.31 |
13.46 |
5.73 |
22.74 |
396.69 |
-67.49 |
| CTXS |
1301.72 |
13.02 |
2.55 |
21.96 |
861.88 |
-343.07 |
| SEBL |
1257.06 |
12.57 |
3.18 |
21.18 |
664.98 |
-412.26 |
----- Original Message -----
Sent: Wednesday, August 17, 2005 7:55
AM
Subject: [amibroker] Can somebody test
this simple system and post results ?
This is a slight modification to a simple system from an
article in
April 2005 'Active Trader' mag (article by Xavier Raj).
It looks
for 'extreme' price bars i.e., it goes long the next day if price
today opens at the bottom 10% of the price bar and closes at the top
10% of the bar. The trade stays in the market for 24 hrs i.e., it
sells on the open of the following day. Going short is the exact
opposite.
Can somebody test it for me on the NDX100 stocks or, perhaps,
Dow30 ?
[I don't carry alot of stocks on my flash drive]
Thanks
Range = (H-L);
//Open is in the lowest 10% of the price
bar and Close
// is in the highest 10% of the price bar
PriceUp = Close
> (High - (Range/10)) AND Open < (Low + (Range/10));
//Open is in
the highest 10% of the price bar and
// Close is in lowest 10% of the
price bar
PriceDown = Close < (Low + (Range/10)) AND Open > (High
-(Range/10));
//Trade on BuyPrice and ShortPrice with one bar
delay
SetTradeDelays (1,1,1,1);
BuyPrice = ShortPrice = CoverPrice =
SellPrice = Open;
Buy = IIf (PriceUp, BuyPrice, 0);
Sell =
0;
Short = IIf (PriceDown, ShortPrice, 0);
Cover =
0;
ApplyStop (stopTypeNBar, 1, 1,0);
Please note that this group is for discussion between users only.
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