RE: [amibroker] Re: System Performances

Mon, 17 Apr 2006 13:27:01 -0700

You may wan to read and perhaps participate in, some running polls on this topic at:
 
http://finance.groups.yahoo.com/group/amibroker/polls
 
herman
-----Original Message-----
From: [email protected] [mailto:[EMAIL PROTECTED]On Behalf Of Ed Hoopes
Sent: Monday, April 17, 2006 3:06 PM
To: [email protected]
Subject: [amibroker] Re: System Performances

Here is the YTD performance of my production stock trading system.
The results are out of the Backtester for convenience.  I don't do as
well because I take time off for vacations, surfing and laziness.
I've been trading this for 1.5+ years.

Generally it draws stocks from a carefully selected stock universe
based on fundamentals, then uses technical indicators to time entry
and exit points.  The system uses daily data & long only.

Here are some selected results from from a YTD backtest:
CAR = +42.35%
RAR = +44.07%
Max trade DD = -26.0%
Max Sys DD   = -3.6%
Profit Factor = 2.31
Winning Trades = 27
Losing Trades = 21
Avg Bars Held = 19

Just for comparison, SPY on 01/03/06 = 126.7 and SPY today = 128.18
for a 1.17% gain YTD.

Reef-Break





--- In [email protected], "intermilan04" <[EMAIL PROTECTED]> wrote:
>
> I know it depends on what you want personally for risk/reward, but I'm
> curious as to what other people's systems (developed in Amibroker) are
> performing like. You don't have to share your code or the idea behind
> your system (unless you want to), but I'm curious.
>
> Over the last 10 years, say, what is your annual profit %, max
> drawdown, % winning trades, etc.?
>
> I have a long system that has returned around 110% since 1996.  Its
> winning % is 47%, and the system drawdown is 28%.  It is a
> reversal-based, swing-daytrade system.
>

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