Hi Three_percent What are your settings to get 100% CAR or RAR on S&P500 ? I'm far from it trying your .afl script
2010/3/30 three_percent <[email protected]> > > > // ATR/Turtle Script by Andrew Senft > // > > Thank you very much for your notes. I took out the ExRem statements out and > now get 100% annual returns on the S&P500. A lot more than before. Not sure > if that is right. Also, I'm not sure how to get the initial occurance of the > buy trigger for the ValueWhen statement. > > ---------------------------------------------------------- > > // Backtester Options > SetOption("AllowSameBarExit", False); > SetOption("MaxOpenPositions",1); > PositionSize = -100; > > // Optimization numbers > ATRPeriod = Optimize("ATRPeriod", 15, 10, 100, 5); // 15, .30, 1.08, .15, > 25 > BuyThreshold = Optimize("BuyThreshold", .3, .1, .50, .05); // 15, .30, > 1.06, .25, 25 > > > BuySlope = Optimize("BuySlope", 1.08, 1.05, 1.10, .01); > SellThreshold = Optimize("SellThreshold", .15, .1, .50, .05); > ProfitPercent = Optimize("ProfitPercent", 25, 25, 35, 5); > > // Buy/Sell signals and prices > MyATR = ATR(ATRPeriod); > PrevClose = Ref( Close,-1); > Buy = Ref(MyATR,-1) < BuyThreshold AND > PrevClose > Ref(Close,-1 * ATRPeriod / 2) AND > > Ref(Close,-1 * ATRPeriod / 2) > Ref(Close,-1 * ATRPeriod) AND > PrevClose / Ref(Close,-1 * ATRPeriod) > BuySlope AND > Ref(MA(Volume,20),-1) > 3000 AND // 300,000 volume or more > Ref(Close,-1) >= 2; > BuyPrice = Open; > BeginATR = Ref(ValueWhen(Buy, MyATR,1), -1); > Sell = Ref(MyATR,-1) > BeginATR + SellThreshold; > SellPrice = Open; > PositionScore = 100 - Ref(MyATR,-1); > > ApplyStop( stopTypeProfit, stopModePercent, ProfitPercent ,True, 0 ); >
