|
PureBytes Links
Trading Reference Links
|
On the other hand if I apply the TJ example from
the Help file to the same NDX family, long only, I get a CAR of 42%
for the
same date range. Still too high in the
drawdown but much better results, if you look at the chart.
Optimized it will produce CAR of
74%
JOE
/*****
** REGULAR PORTFOLIO mode
** This sample optimization
** finds what is optimum number of positions open simultaneously
**
****/
SetOption ("InitialEquity", 20000 );
SetTradeDelays (1,1,1,1);
RoundLotSize = 1;
posqty = Optimize("PosQty",
4, 1, 20, 1 );
SetOption ("MaxOpenPositions", posqty);
// desired position size is 100% portfolio equity
// divided by PosQty positions
PositionSize = - 100/posqty;
// The system is very simple...
// MA parameters could be optimized too...
p1 = 10;
p2 = 22;
// simple MA crossover
Short = Cross(
MA(C,p1) ,
MA(C,p2) );
Buy= Cross(
MA(C,p2) ,
MA(C,p1)
);
// always in the market
Sell = Short;
Cover=Buy;
// now additional score
// that is used to rank equities
// when there are more ENTRY signals that available
// positions/cash
PositionScore = 100-RSI();
// prefer stocks that have low
RSI;
----- Original Message -----
Sent: Wednesday, August 17, 2005 8:50
AM
Subject: [amibroker] Re: Can somebody
test this simple system and post results ?
Portfolio (for stocks)- only long with commissions of
$11. For at
least 5-10 yrs.
For futures (if you have it) - both
long and short with slippage and
commissions of, maybe, $75. 5-10
Yrs.
Thanks
--- In amibroker@xxxxxxxxxxxxxxx, "Joe
Landry" <jelandry@x...> wrote:
>
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
-----
> From: Dickie Paria
> To:
amibroker@xxxxxxxxxxxxxxx
> 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.
>
> To get support
from AmiBroker please send an e-mail directly to
> SUPPORT
{at} amibroker.com
>
> For other support material
please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
>
--------------------------------------------------------------------
----------
>
YAHOO! GROUPS LINKS
>
> a.. Visit
your group "amibroker" on the web.
>
> b.. To unsubscribe from this group,
send an email to:
>
amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> c.. Your use of Yahoo! Groups is
subject to the Yahoo! Terms
of Service.
>
>
>
--------------------------------------------------------------------
----------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
SPONSORED LINKS
YAHOO! GROUPS LINKS
|
Title: Unnamed 75 - Backtest Report
/*****
** REGULAR PORTFOLIO mode
** This sample optimization
** finds what is optimum number of positions open simultaneously
**
****/
SetOption("InitialEquity", 20000 );
SetTradeDelays(1,1,1,1);
RoundLotSize = 1;
posqty = Optimize("PosQty", 4, 1, 20, 1 );
SetOption("MaxOpenPositions", posqty);
// desired position size is 100% portfolio equity
// divided by PosQty positions
PositionSize = -100/posqty;
// The system is very simple...
// MA parameters could be optimized too...
p1 = 10;
p2 = 22;
// simple MA crossover
Short=Cross( MA(C,p1) , MA(C,p2) );
Buy=Cross( MA(C,p2) , MA(C,p1) );
// always in the market
Sell=Short;
Cover=Buy;
// now additional score
// that is used to rank equities
// when there are more ENTRY signals that available
// positions/cash
PositionScore = 100-RSI(); // prefer stocks that have low RSI;
|