Thanks Donald. Could you walk us through (steps) so that we can understand how you got these returns?
________________________________ From: donald_brown_48367 <[email protected]> To: [email protected] Sent: Sat, January 2, 2010 12:15:07 PM Subject: [amibroker] Re: CXO article As I understand it your code would be duplicating the red line on the CXO chart. I used your code with a start date of July 1, 1999 and an end date of Dec 23, 2009 and I got a 53.9% profit over the whole period which is close to (slightly higher) than the red line on their chart as this increases from $10,000 to almost $15,000 over the same period. I used a .25% trading cost. The results aren't exactly the same for some reason. My results show a balance drawdown from April 2001 until March 2004. The red line on the chart appears to be underwater only from July 2002 until September 2003. --- In amibro...@yahoogrou ps.com, "droskill" <drosk...@.. .> wrote: > > I've been trying to duplicate the results in this CXO article: > > http://www.cxoadvisory.com/blog/internal/blog12-22-09/ > > It's a rotational system that trades the top fund from the SPDR Select series > based on a 6 month return as long as it is above the 10 month SMA. > > I'm not testing it monthly, but here's the daily code I've come up with: > > SetBacktestMode( backtestRotation al); > SetTradeDelays( 0,0,0,0); // everything delayed 1 day > SetOption("UsePrevB arEquityForPosSi zing", True); > SetOption("MinShare s", 10); > SetOption("AllowPos itionShrinking" ,True); > SetOption("AccountM argin",100) ; > > Totalpositions = 1; > > MAFilter = C > MA(C,200); > PositionScore = MAFilter * ROC(C,120); > PositionSize = -100/Totalpositions ; > > SetOption("WorstRan kHeld", Totalpositions + 1); > SetOption("MaxOpenP ositions" , Totalpositions ); > > m = Month(); > newMonth = m != Ref( m, -1); > PositionScore = IIf(PositionScore < 0, 0, PositionScore) ; // Long only > PositionScore = IIf(newMonth, PositionScore, scoreNoRotate) ; > > My portfolio consists of the nine SPDRs - XLF,XLE,XLP, XLY,XLI,XLK, > XLV,XLB,XLU > > I've been unable to duplicate anything close to their results - anybody have > any idea of what, if anything, I'm doing wrong? >
