I've tried to reproduce using your script, but I don't get your results. What are your settings ?
Statistics All trades Long trades Short trades Initial capital 10000.00 10000.00 10000.00 Ending capital 28837.53 28837.53 10000.00 Net Profit 18837.53 18837.53 0.00 Net Profit % 188.38 % 188.38 % 0.00 % Exposure % 54.50 % 54.50 % 0.00 % Net Risk Adjusted Return % 345.67 % 345.67 % N/A Annual Return % 10.06 % 10.06 % 0.00 % Risk Adjusted Return % 18.46 % 18.46 % N/A ------------------------------ *All trades* 24 24 (100.00 %) 0 (0.00 %) Avg. Profit/Loss 784.90 784.90 N/A Avg. Profit/Loss % 4.76 % 4.76 % N/A Avg. Bars Held 64.25 64.25 N/A ------------------------------ *Winners* 17 (70.83 %) 17 (70.83 %) 0 (0.00 %) Total Profit 24052.20 24052.20 0.00 Avg. Profit 1414.84 1414.84 N/A Avg. Profit % 8.11 % 8.11 % N/A Avg. Bars Held 78.24 78.24 N/A Max. Consecutive 7 7 0 Largest win 2665.44 2665.44 0.00 # bars in largest win 148 148 0 ------------------------------ *Losers* 7 (29.17 %) 7 (29.17 %) 0 (0.00 %) Total Loss -5214.67 -5214.67 0.00 Avg. Loss -744.95 -744.95 N/A Avg. Loss % -3.35 % -3.35 % N/A Avg. Bars Held 30.29 30.29 N/A Max. Consecutive 2 2 0 Largest loss -1805.32 -1805.32 0.00 # bars in largest loss 43 43 0 ------------------------------ Max. trade drawdown -4360.64 -4360.64 0.00 Max. trade % drawdown -28.69 % -28.69 % 0.00 % Max. system drawdown -4745.95 -4745.95 0.00 Max. system % drawdown -28.69 % -28.69 % 0.00 % Recovery Factor 3.97 3.97 N/A CAR/MaxDD 0.35 0.35 N/A RAR/MaxDD 0.64 0.64 N/A Profit Factor 4.61 4.61 N/A Payoff Ratio 1.90 1.90 N/A Standard Error 1196.83 1196.83 0.00 Risk-Reward Ratio 1.43 1.43 N/A Ulcer Index 7.81 7.81 0.00 Ulcer Performance Index 1.10 1.10 N/A Sharpe Ratio of trades 1.19 1.19 0.00 K-Ratio 0.0862 0.0862 -1.#IND 2010/1/5 droskill <[email protected]> > > > Yes, fairly similar. > > > --- In [email protected] <amibroker%40yahoogroups.com>, > "donald_brown_48367" <donald_brown_48...@...> wrote: > > > > So I made those changes and this simulates not buying any ETFs when the > S&P is below the 200 day moving average which is the blue line on the CXO > chart. I ended with a 205% profit which is close to the CXO blue line > performance. Are you getting the same results? > > > > Statistics > > All trades Long trades Short trades > > Initial capital 10000.00 10000.00 10000.00 > > Ending capital 30573.87 30573.87 10000.00 > > Net Profit 20573.87 20573.87 0.00 > > Net Profit % 205.74 % 205.74 % 0.00 % > > Exposure % 59.68 % 59.68 % 0.00 % > > Net Risk Adjusted Return % 344.73 % 344.73 % N/A > > Annual Return % 11.28 % 11.28 % 0.00 % > > Risk Adjusted Return % 18.91 % 18.91 % N/A > > > > ---------------------------------------------------------- > > > > All trades 22 22 (100.00 %) 0 (0.00 %) > > Avg. Profit/Loss 935.18 935.18 N/A > > Avg. Profit/Loss % 5.54 % 5.54 % N/A > > Avg. Bars Held 72.55 72.55 N/A > > > > ---------------------------------------------------------- > > > > Winners 17 (77.27 %) 17 (77.27 %) 0 (0.00 %) > > Total Profit 26212.78 26212.78 0.00 > > Avg. Profit 1541.93 1541.93 N/A > > Avg. Profit % 8.67 % 8.67 % N/A > > Avg. Bars Held 85.35 85.35 N/A > > Max. Consecutive 7 7 0 > > Largest win 3812.87 3812.87 0.00 > > # bars in largest win 107 107 0 > > > > ---------------------------------------------------------- > > > > Losers 5 (22.73 %) 5 (22.73 %) 0 (0.00 %) > > Total Loss -5638.91 -5638.91 0.00 > > Avg. Loss -1127.78 -1127.78 N/A > > Avg. Loss % -5.09 % -5.09 % N/A > > Avg. Bars Held 29.00 29.00 N/A > > Max. Consecutive 2 2 0 > > Largest loss -1957.75 -1957.75 0.00 > > # bars in largest loss 43 43 0 > > > > ---------------------------------------------------------- > > > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, > "droskill" <droskill@> wrote: > > > > > > There are also a couple of errors in my original code: > > > > > > - SetTradeDelays should be (1,1,1,1) > > > - MAFilter = C > MA(C,200) should be MAFilter = Foreign("^GSPC","C") > > MA(Foreign("^GSPC","C"),200); > > > > > > The final point was that I found this code did not work for anyone > using TC2005 data but worked fine with Yahoo data. That suggests that splits > and/or dividends affect the results. Given that splits are less common in > these ETFs (at least as far as I know - someone correct me if I'm wrong), I > think it is a dividend adjustment issue. > > > > > > That last point indicates to me that using Telechart data for > backtesting is not viable. > > > > > > Thoughts appreciated. > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, > "donald_brown_48367" <donald_brown_48367@> wrote: > > > > > > > > > > > > 1. Copied put the SPDRs into a watchlist. > > > > > > > > 2. I copied the Droskill's code into the formula editor and saved it. > > > > > > > > 3. I ran a backtest filtering it just for the SPDR watchlist with the > a > > > > start date of July 1, 1999 and an end date of Dec 23 2009. > > > > > > > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, Bob > Waits <bobwaits2@> wrote: > > > > > > > > > > Thanks Donald. Could you walk us through (steps) so that we can > > > > understand how you got these returns? > > > > > > > > > > > > > > > > > > > > > > > > > ________________________________ > > > > > From: donald_brown_48367 donald_brown_48367@ > > > > > To: [email protected] <amibroker%40yahoogroups.com> > > > > > 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" droskill@ .> 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? > > > > > > > > > > > > > > > > > > > > > > >
