I use AB 5.29 and am having multiple errors with this code. Is anyone else have the same problem.
Thanks. ________________________________ From: droskill <[email protected]> To: [email protected] Sent: Tue, January 5, 2010 12:39:53 PM Subject: [amibroker] Re: CXO article Yes, fairly similar. --- In amibro...@yahoogrou ps.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 amibro...@yahoogrou ps.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 amibro...@yahoogrou ps.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 amibro...@yahoogrou ps.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: amibro...@yahoogrou ps.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? > > > > > > > > > > > > > > >
