I have some questions I would like to ask Tech/A regarding the Techtrader system, and rather than just PM'ing him I thought it may be worthwhile (if he is kind enough) to provide some answers for all to see.
I have read numerous threads about the techtrader system and no doubt there has been many many many man hours developing and experience gone into it. I myself am not cut out for pure technicals and the amount of time required to develop the skills required for sort of analysis. (Having said that I'm not adverse to leveraging of other people that have)
I have a number of questions and I'll keep them all in this thread, but I'll start with only a couple. Some may have been answered before - apologies, but maybe we can consolidate them in this thread.
Tech/A - whether you answer the questions is obviously up to you. If you dont want to answer any thats fine.
TT = techtrader
Q1) How far back (data wise) have you tested TT, and what is the earliest time for which you have meaningful data to test the system?
Q2) What is the longest period of time that a portfolio trading TT has been negative (in loss - using zero leverage)? On second thoughts this is incredibly data intensive. I suppose you could measure it with portfolio entries at yearly intervals starting from the earliest period for which you have meaningful data (ie answer to Q1). If you wanted to increse the resolution of results, look at portfolio entries at every half year period or monthly period. If you insane, resolution of portfolio entries for every day!!........... You don't have to answer this question - this is more of a project :D :D
Q3) As a substitute for Q2 - What was the portfolio return using TT with entry on 01 Jan 2000 and finish at the low for the XAO (around Arpil 03) using no leverage?
Cheers
TJ
PS more questions to come.............................. :eek:
TjamesX
22nd-June-2005, 10:26 PM
With reference to Q3 - here's a graph of the XAO for the last 10 years.
tech/a
23rd-June-2005, 08:24 AM
Tjames.
Thanks for the questions.
(1) I have data back 8 yrs and yes this is a problem for those testing methods.
Infact I never clean my data---havent done so for 3 yrs and as a result have stocks that are no longer in the data downloads as they are delisted.This gives some more accuracy to testing.But clean accurate data is a huge issue.Not so much for portfolio traders but definately for Futures or Forex traders using tick data format.
So 8 yrs.
(2) Its not just a matter of comparing equity graph's v the All Ords.
For there are 2
1------closed trade equity this graph is less than impressive as it only records CLOSED trades.---When trading very longterm---years in T/T's case in some trades we can have a great deal of consecutive losses while a full 10 share portfolio is being purchased.So this graph looks terrible.---MEANWHILE
2------Whats not being recorded on the graph is OPEN Equity---the on going unslod profit that remains in the method until its sold out or a trade triggers an exit.This graph is MUCH smoother.I havent run these over the last 8 yrs for ages but off the top of my head I think the biggest DRAWDOWN on CLOSED TRADES was around 20%---however open trades had the method in profit continually.---The initial Drawdown was around 12%---thats the figure needed according to testing to get the method up and running.
Ill run it again and post both graphs--both closed and open equity,at latest Saturday.
3----This is a common question asked---How does the method perform in less than ideal conditions.
Firstly testing over short timeframes is pretty impossible as the AVERAGE trade time length for winning trades is just under a year (330 days) and losers is average around 40 days.---However we can test open equity as against closed trades so while no conclusive can give an idea.
Secondly the method is a LONG---UPTRENDING trading method designed to catch and ride trends---its not designed to out perform markets in downturns.
In downturns we do get drawdowns.However I have been working on reducing even these times of drawdown---more to the point reducing the drawdown.This can be done buy trading the equity curve or the index curve as a 'Portfolio" exit methodology.The Amibroker experts have been kind enough to lend a hand testing this idea (As Metastock/Tradesim combo cant do this). Their results so far in early days are that impressive I sold the total of my portfolio about 6 weeks ago when the index fell below the 180 day EMA.As doing this increased profit 3 fold---in tests.
Ive just returned to the market with my long term portfolio---Time will tell if my personal result is as good as testing---I left my re entry later than the testing model---but Im up on holding the portfolio---except for bloody tax.!
I can and will also run these periods in answer to your question for you,but place all results in context of the methods character.
tech
TjamesX
23rd-June-2005, 11:13 AM
Tech, with regards to Q1 and Q2, yes I would be evaluating the system on closed trades plus equity position at any one point in time. So if we entered the market at any point in time with say 100k cash, I would monitor TT performance at any point in time by how much cash is left in the trading account plus the value of all equity positions (ie total assets). So any comparison percentage wise of TT I would look at the % rise/fall of total assets compared to original assets (100k).
I assume (if I rememeber correctly) that in backtesting TT there is no account for dividends/franking credits recieved - but this is offset by the non inclusion of brokerage on trades.... ie we'll assume they cancel each other out.
The reason for Q2 was to basically analyse a whole basket of portfolios using TT, but entering the market at different intervals ie 8 scenarios, each with their start date 1 year apart (for 8 year data set) - or if you wanted to get more detailed analysis 8x12 = 96 portfoios with their start date being 1 month apart. Then for each portfolio we'd analyse the results over the life of the portfolio monitoring time at which point the return was worst (open + closed trades), what was the longest period of time the total return (open + closed trades) was negative. I think this would give an accurate picture (over the 8 years of data) of the periods where TT did its best and worst relative the the market - but obviously is a lot of work, which is why I eyeballed the chart and chose the period to test for Q3.
The reason i chose this period was to incorporate analysis of TT in a downmarket, but also give it enough time (> 3 years) to provide meaningful analysis. I'm not expecting TT to return positive, but am very interested in the results.
OK..... sneaking in another question :D
Q4) A day in the life of TT - using TT you have mentioned that you only use a small amount of your time out of your day implementing the system. So on an average day what would you do...... ie
When do you run TT, each day? Do you download daily EOD data and Run?
How do you implement buys/sells TT has flagged (ie online broker, full service broker, automatically?)
How do you determine position size when entering a trade?
Do you implement all buy/sell signals or some? If only some how do you chose which ones? Does TT rate the strength of buy/sell signals relative to each other?
ooooohhhhh i'm getting greedy now - was that 1 question or 10!!
Cheers
TJ
tech/a
23rd-June-2005, 02:47 PM
The reason for Q2 was to basically analyse a whole basket of portfolios using TT, but entering the market at different intervals ie 8 scenarios, each with their start date 1 year apart (for 8 year data set) - or if you wanted to get more detailed analysis 8x12 = 96 portfoios with their start date being 1 month apart. Then for each portfolio we'd analyse the results over the life of the portfolio monitoring time at which point the return was worst (open + closed trades), what was the longest period of time the total return (open + closed trades) was negative. I think this would give an accurate picture (over the 8 years of data) of the periods where TT did its best and worst relative the the market - but obviously is a lot of work, which is why I eyeballed the chart and chose the period to test for Q3.
Cheers
TJ
I have the benifit of MonteCarlo analysis.
Hence the method has been tested over 20000 portfolio's.There is a 100% success rate---IE not one of the 20000 returned a loss.I will also run the Monte Carlo analysis and post the results.--Chart form seems to be the best way for people to understand or at least visualise.
For those who dont understand Monte Carlo analysis its simplest explaination is --
Give 20000 traders each $100,000 and your method and tell them at different intervals to go trade your method and bring back the detailed results in 8 yrs.
Fortunately I can run the test in a few minutes.
Much was gleened by this analysis.
Standard deviation of wins and losses and return was small under 10% if I recall.Not EVERY trade needs to be taken to be profitable infact there are more buy signals than capital could possibly take.
OK..... sneaking in another question :D
Q4) A day in the life of TT - using TT you have mentioned that you only use a small amount of your time out of your day implementing the system. So on an average day what would you do...... ie
When do you run TT, each day? Do you download daily EOD data and Run?
How do you implement buys/sells TT has flagged (ie online broker, full service broker, automatically?)
How do you determine position size when entering a trade?
Do you implement all buy/sell signals or some? If only some how do you chose which ones? Does TT rate the strength of buy/sell signals relative to each other?
TJ
On an average day I'd just check price which is on my desk in the form of live data everyday. Unless Im closing something or buying something my time is negligable.When starting up it could take 30 mins a day for a month or so until all is up and going.
Just out of curiosity I run a search most days just to see whats flagged.
My veiw is I should be running more than 1 portfolio using this method but I'm not going to until Ive finished testing ideas with the Amibroker people.I want fixed rules not wishy washy ones. I use a full srvice broker.Only because of the ease and the low number of trades I do. Total around 40 a year over 3 methods.
Position size is a flat 10% of capital as it increase so does the parcel size.
This is a little different to testing which is $10000 a trade.
I only buy some and I do eyeball the charts picked and UNLIKE the systems test I wont trade some charts.I have 2 eyeball criteria which I have made known from implementation----this could be one reason why the realtime results outstripped the test results---but I cant test it so cant be sure.
(1) The chart must be in an OBVIOUS uptrend or in an OBVIOUS break of a downtrend.
(2) The chart cannot have been ranging like between $1 and 1.60 over 5 yrs it must have upside potential.
So as Excal said there is a very small element of discretion in my trading.
As for Questions.
I welcome them. This gives peoplereading a chance to follow how a method was developed and the questions are often those that people either would love to know and werent confident to ask or they dont know what to ask.
Every now and then i get a question that stumps me or I didnt consider---these questions are the ones that help me learn more and I want to learn all I can as I'm putting my hard earned on the line---so it better be right!!
RodC
23rd-June-2005, 03:36 PM
Hi tech,
Why do you think you should be running more than 1 portfolio? Are these slightly different versions?
I'm actually running a slight variant of TT myself and as you've said it certainly doesn't take much time once it's up and running. I usually do a scan daily as well (Amibroker) and there are certainly more buy signals than the capital allows.
I'm also interested in your exit from all positions when the index dropped below the 180EMA. This seems a little discretionary as I imagine most stocks in the portfolio didn't signal an exit.
regards,
Rod.
TjamesX
23rd-June-2005, 03:50 PM
Thanks Tech
I will also run the Monte Carlo analysis and post the results.--Chart form seems to be the best way for people to understand or at least visualise.
Looking forward to it
I only buy some and I do eyeball the charts picked and UNLIKE the systems test I wont trade some charts.I have 2 eyeball criteria which I have made known from implementation----this could be one reason why the realtime results outstripped the test results---but I cant test it so cant be sure.
(1) The chart must be in an OBVIOUS uptrend or in an OBVIOUS break of a downtrend.
(2) The chart cannot have been ranging like between $1 and 1.60 over 5 yrs it must have upside potential.
So it looks like we've covered the buy side. TT promted with some discretioanry T/A applied to individual stock charts and an entry into some. It sounds as if the discretionary part is optional, but you have been able to outperform the purely mechanical TT, but you're unsure whether this is because the discretion part is actually better or you've been lucky so far.
So onto exiting positions;
Q5) I am aware that you use a stop loss. Is this stop loss standard for all trades (in % terms)? Does the stop loss get revised up as the price increases? How does it get revised up (ie instructions to broker)?
I have never used stop losses, so i'm assuming that if the broker is instructed on a stop loss the instruction is entered into a system in some sort of automatic way such that it requires no human interaction? From there the stop loss order can be modified/adjusted by the broker?
Q6) Does TT signal other sell orders (ie that are not standard stop loss triggers)? If so do you act on those signals? Do you use your own discretion in exiting sometimes?
Q7) In the event of a sell trigger from any of the above - is it a total exit of position at all times? Or is there sometimes a partial sale or profit taking where some of the position is still held onto?
Cheers,
TJ
tech/a
23rd-June-2005, 04:53 PM
Basically yes thats right,
Q5 Its the same 10% of purchase price for all trades.
IE buy$1 stop $90c.
No thats where it stays.Its is not raised.
I watch the stop myself with 10 trades going its no problem particularly when I have a ticker on the desk.
Q6 The exit is cross of close below a 180 day exponential M/A of the low.No I dont use my own discretion.
You could say I did receiently on evidence that selling when the index is below the 180EMA gave better results.Sadly I'm worse off that those that followed the method( my own!!) to the letter due to TAX.
Q7 Its a total exit.
I'm also investigating holding the profit when exiting EG sell the initial cost of the trade---and then just hold profit ---but this is a work in progress.
tech
TjamesX
23rd-June-2005, 05:23 PM
To avoid duplication that may occur, I found Tech's post of the actual formula behind TT.
Mark there are 300 + posts on TechTrader here and a great grounding for the method.
Im happy to use the Method as a live case example as its been released for public scrutiny for 2.5yrs.I do have another method I trade which will remain proprietry.For those with Metastock here is the code.
ENTRY
Cross(H,Ref(HHV(H,10),-1)) AND H > Mov(C,40,E) AND HHVBars(H,70)=0 AND C < 10.00 AND C > O AND Fml("Liquidity") > 500000;
[In English,Todays high is greater than the highest high of the last 10 periods,AND the High is greater than the moving average of the close over the last 40 periods,AND todays Bar is the Highest High value of the last 70 periods,AND C is Less than $10,AND Close is Greater than the open,AND the average trading turnover for the last 21 periods is $500000]
The liquidity formula which should be placed in the INDICATOR BUILDER is
Ok after beefing up on a bit more reading...... I have some more Q's
Q8) I realise that the number of stocks flagged to buy using TT is quite large. Do you have actual statistics on the number of flagged buy signals over the 8 year testing period? What is the average num buy signals per year and per month during that period? Is that easy to work out.....?
Q9) You have mentioned that your stock universe is limited by the BT margin trading list (this is also the extent of fundamental analysis ;) ). What universe of stocks do you use in your back testing? Is it all listed companies on the ASX? If its different from the universe you actually trade - have you noticed any differences in performance as a result?
With reference to Q8, as a result of the large Num buy signals generated by TT, actual trades entered involves some form of discretion, whether that be random or eye balling charts for further T/A, So....
Q10) Have you considered any other form of discretionary analysis (Fundamental or technical) on the output of TT to see if it may/may not increase the overall return? If yes, is that part of your proprietory method you use? :D
Q11) Do you think overall performance can be improved by applying further analysis on the output of TT? Or do you think it will take away from the simplicity of the system?
Cheers
TJ
tech/a
23rd-June-2005, 07:08 PM
Ok after beefing up on a bit more reading...... I have some more Q's
Q8) I realise that the number of stocks flagged to buy using TT is quite large. Do you have actual statistics on the number of flagged buy signals over the 8 year testing period? What is the average num buy signals per year and per month during that period? Is that easy to work out.....?
Yes the testing programme tells me that.
Q9) You have mentioned that your stock universe is limited by the BT margin trading list (this is also the extent of fundamental analysis ;) ). What universe of stocks do you use in your back testing? Is it all listed companies on the ASX? If its different from the universe you actually trade - have you noticed any differences in performance as a result?
No the list used is the BT list.
Yes Ive tested many lists including the ASX full list.The performance on the whole list is less than impressive.(Profitable though).
I have also tested many Bourses due to Overseas interest,the best performing bourse of stocks was Hong Kong.
The NYSE list not far behind
DAX and FTSE lists also did well.
With reference to Q8, as a result of the large Num buy signals generated by TT, actual trades entered involves some form of discretion, whether that be random or eye balling charts for further T/A, So....
No thats not so to complete a full portfolio may take a few weeks ALL have been generated by the method so the only "Discretion" is which one.
Q10) Have you considered any other form of discretionary analysis (Fundamental or technical) on the output of TT to see if it may/may not increase the overall return? If yes, is that part of your proprietory method you use? :D
I have tested 100s of entry tweekings---entry is NOT the most important aspect---which most people cant get a head around---its purely a start point and not far above a random entry---
The proprietry methods are WEEKLY and not remotely the same as T/T.
Q11) Do you think overall performance can be improved by applying further analysis on the output of TT? Or do you think it will take away from the simplicity of the system?
I'm not convinced that T/T has been tweeked to its maximum potential.Infact my own view is that its about a 7.5/10 rating--purely because I have some tweeking and other methods to compare it with.A few I know who use it think its the Ducks Guts.I encourage all to have a play with it--I'd appreciate the feed back--particularly if there is improvement.Some trade it as it is and others tweek it to their style.Fine thats what its for---a foundation---a learning curve. Or simply a method that works---most people doubt that one actually exists--well here is one and FREE!
tech/a
23rd-June-2005, 09:52 PM
OK some Charts.
Firstly the RAW as in not tweeked original Techtrader.
The report below shows a lot of answers to TJ's questions so let me know if its not clear.
Chart 1 is a comparison of OPEN EQUITY to CLOSED EQUITY the top line is ofcoarse the open equity.
Chart 2 is a MonteCarlo simulation of 5000 portfolios I can do whatever number you want but chose 5000 this run.
Chart 3 is Yearly Profit or loss of all CLOSED trades
Trade Summary
Earliest Entry Date in the Trade Database: 1/2/1997
Latest Entry Date in the Trade Database: 6/22/2005
Earliest Exit Date in the Trade Database: 1/17/1997
Latest Exit Date in the Trade Database: 6/23/2005
Start Trade Entry Date: 1/2/1997
Stop Trade Entry Date: 6/22/2005
First Entry Date: 1/2/1997
Last Entry Date: 6/3/2005
First Exit Date: 1/17/1997
Last Exit Date: 6/23/2005
Total Trading duration: 3094 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $100,000.00
Finishing Capital: $352,578.29
Maximum Equity/(Date): $252,578.29 (6/23/2005)
Minimum Equity/(Date): ($1,319.47) (3/3/1997)
Gross Trade Profit: $412,766.40 (412.77%)
Gross Trade Loss: ($160,188.11) (-160.19%)
Total Net Profit: $252,578.29 (252.58%)
Average Profit per Trade: $1,180.27
Profit Factor: 2.5768
Profit Index: 61.19%
Total Transaction Cost: $12,840.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.0407%
Annualized Compound Interest Rate: 16.0272%
Normal Exit Trades: 149 (69.63%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 11 (5.14%)
Protective Stop Exit Trades: 54 (25.23%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)
Largest Winning Trade/(Date): $60,816.00 (12/15/2004)
Largest Losing Trade/(Date): ($4,167.50) (4/6/2005)
Average Winning Trade: $5,982.12
Average Losing Trade: ($1,104.75)
Average Win/Average Loss: 5.4149
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 1226 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 135 (days)
(Winning Trades)
Maximum Trade Duration: 1226 (days)
Minimum Trade Duration: 5 (days)
Average Trade Duration: 316 (days)
(Losing Trades)
Maximum Trade Duration: 222 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 48 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 7
Maximum consecutive losing trades: 15
Average consecutive winning trades: 1.73
Average consecutive losing trades: 3.63
Trade Expectation Statistics
Normalized Expectation per dollar risked: $0.8800
Maximum Reward/Risk ratio: 47.79
Minimum Reward/Risk ratio: -1.51
Average Positive Reward/Risk ratio: 4.07
Average Negative Reward/Risk ratio: -0.64
Relative Drawdown
Maximum Dollar Drawdown/(Date): $16,762.99 (10/1/2002)
Maximum Percentage Drawdown/(Date): 8.6120% (2/25/2000)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $22,161.19 (18.2600%)
Capital Peak/(Date): $121,392.44 (8/7/1998)
Capital Valley/(Date): $99,231.25 (2/25/2000)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 18.2600% ($22,161.19)
Capital Peak/(Date): $121,392.44 (8/7/1998)
Capital Valley/(Date): $99,231.25 (2/25/2000)
Trade Parameters
Initial Capital: $100,000.00
Portfolio Limit: 100.00%
Maximum number of open positions: 100
Position Size Model: Fixed Percent Risk
Percentage of capital risked per trade: 2.00%
Position size limit: 10.00%
Portfolio Heat: 30.00%
Pyramid profits: Yes
Transaction cost (Trade Entry): $30.00
Transaction cost (Trade Exit): $30.00
Margin Requirement: 100.00%
Trade Preferences
Trading Instrument: Stocks
Break Even Trades: Process separately
Trade Position Type: Process long trades only
Entry Order Type: Default Order
Exit Order Type: Default Order
Minimum Trade Size: $0.00
Accept Partial Trades: No
Volume Filter: Ignore Volume Information
Pyramid Trades: No
Use Level Zero trades only: Yes
Simulation Stats
Number of trade simulations: 5000
Trades processed per simulation: 2739
Maximum Number of Trades Executed: 216
Average Number of Trades Executed: 194
Minimum Number of Trades Executed: 175
Standard Deviation: 5.94
Profit Stats
Maximum Profit: $553,152.78 (553.15%)
Average Profit: $314,285.62 (314.29%)
Minimum Profit: $193,884.65 (193.88%)
Standard Deviation: $57,687.96 (57.69%)
Probability of Profit: 100.00%
Probability of Loss: 0.00%
Percent Winning Trade Stats
Maximum percentage of winning trades: 39.78%
Average percentage of winning trades: 35.35%
Minimum percentage of winning trades: 30.56%
Standard Deviation: 1.37%
Percent Losing Trade Stats
Maximum percentage of losing trades: 69.44%
Average percentage of losing Trades: 64.65%
Minimum percentage of losing trades: 60.22%
Standard Deviation: 1.37%
Average Relative Dollar Drawdown Stats
Maximum of the Average Relative Dollar Drawdown: $3,967.01
Average of the Average Relative Dollar Drawdown: $2,367.15
Minimum of the Average Relative Dollar Drawdown: $1,691.01
Standard Deviation: $278.56
Average Relative Percent Drawdown Stats
Maximum of the Average Relative Percent Drawdown: 2.0524%
Average of the Average Relative Percent Drawdown: 1.2679%
Minimum of the Average Relative Percent Drawdown: 0.9202%
Standard Deviation: 0.1485%
Maximum Peak-to-Valley Dollar Drawdown Stats
Maximum Absolute Dollar Drawdown: $47,454.57
Average Absolute Dollar Drawdown: $25,021.31
Minimum Absolute Dollar Drawdown: $14,831.98
Standard Deviation: $5,233.97
Maximum Peak-to-Valley Percent Drawdown Stats
Maximum Absolute Percent Drawdown: 16.7127%
Average Absolute Percent Drawdown: 11.1289%
Minimum Absolute Percent Drawdown: 6.0137%
Standard Deviation: 2.1266%
TjamesX
24th-June-2005, 11:49 AM
Thanks alot for the simulations and charts tech!!
I have tested 100s of entry tweekings---entry is NOT the most important aspect---which most people cant get a head around---its purely a start point and not far above a random entry---
I think I've had a bit of an aha!! moment.
I have a couple of questions regarding the simulations....
For simulation 1 - that was a single portfolio with $100,000 starting capital. I am assuming that obviously the simulation did not trade every buy signal from TT otherwise it would have run out of $$. So did it randomly pick which trades TT signaled to enter, or did it trade every signal until it had no money, and then wait for capital to be released?
For simulation 2 (monte carlo) - I am assuming that all potfolios started at Jan 1997 and ended Jul 2005, the only difference being which stocks they actually picked to trade?
I believe that both simulations were using no margin on any trades?
OK, so some analysis on the results;
I assuming that the best data to analyse TT performance is the average profit realised from Monte Carlo sims. This being $314,285.62, which represents an increase in total assets from $100,000 to $414,285.
Over the trade period (approx 8.5 years) this represents an annual compound return of 18.20% :eek:. Eyeballing a chart of the XAO, Jan 1997 was about 2350 and yesterday it closed at 4225... which equates to a compound return of 7.14%. Biiig difference.... and where does it come from. Random entry to stocks at the start of 1997 and holding, should return you about 7.14% compound over this period. Somehow during the trading period TT has been able to extract more value out of the rise in the All Ords..... and if TT entry signal is not much better than random entry, then its not here. So the outperformance of the system could be mostly attributed to working out when to exit a stock. In essence, TT has caused the portfolio to (in an uptrending overall market);
Hold stocks that will outperform relative to All Ords
Sell stocks that will underperform relative to All ords
All in two simple exit criteria....
Is my analysis wrong... or is that just weird. :confused:
TJ
tech/a
24th-June-2005, 01:22 PM
I think I've had a bit of an aha!! moment.
Excellent!
I have a couple of questions regarding the simulations....
For simulation 1 - that was a single portfolio with $100,000 starting capital. I am assuming that obviously the simulation did not trade every buy signal from TT otherwise it would have run out of $$. So did it randomly pick which trades TT signaled to enter, or did it trade every signal until it had no money, and then wait for capital to be released?
The latter
For simulation 2 (monte carlo) - I am assuming that all potfolios started at Jan 1997 and ended Jul 2005, the only difference being which stocks they actually picked to trade?
The portfolios are picked at random around the date of 1/1/97 buys go out as far as is needed to simulate x number of portfolio's.All close on the last date specified.
I believe that both simulations were using no margin on any trades?
Well thats a matter of perspective!!
$100,000 initial capital OR $30,000 on Margin which would equate to $100,000 on Margin---approx.Of course I'd prefer to look at it on Margin as the $250,000 profit is 800% on initial capital where as on $100,000 its 250%.
OK, so some analysis on the results;
I assuming that the best data to analyse TT performance is the average profit realised from Monte Carlo sims. This being $314,285.62, which represents an increase in total assets from $100,000 to $414,285.
Over the trade period (approx 8.5 years) this represents an annual compound return of 18.20% :eek:. Eyeballing a chart of the XAO, Jan 1997 was about 2350 and yesterday it closed at 4225... which equates to a compound return of 7.14%. Biiig difference.... and where does it come from. Random entry to stocks at the start of 1997 and holding, should return you about 7.14% compound over this period. Somehow during the trading period TT has been able to extract more value out of the rise in the All Ords..... and if TT entry signal is not much better than random entry, then its not here. So the outperformance of the system could be mostly attributed to working out when to exit a stock. In essence, TT has caused the portfolio to (in an uptrending overall market);
No the out performance comes from being able to find and stay with trades which have outperformed the ORDS.This is where our discussion will get very interesting as most people just cant understand this fact of trading--(Which fact)--the above.
Hold stocks that will outperform relative to All Ords
Sell stocks that will underperform relative to All ords
Id love to be able to use the word WILL. But we cant as this is NOT predictive---its reactive.All we can do is set parameters or a framework to trade in and test that if that framework is adhered to then we can profit and as can be seen that can vary between 100% over 8 yrs to 550% even that we dont know---hence the answer to RODS question of why I think I should be trading multiple portfolio's of the same method.
All in two simple exit criteria....
One is a stop and one an exit.
I'm yet to find the perfect exit and have tried 100s.
Exit is a much more complex issue than entry and although it seems very simple it isnt---why did I choose 180 day EMA of the low? (Thats a seperate discussion).
Is my analysis wrong... or is that just weird. :confused:
No its inquisitive,analytical and I'm sure enlightening.All traits necessary to move forward in any persuit of understanding.I dont know all the answers/truths but those I have found I'm happy to share.
RodC
24th-June-2005, 01:41 PM
tech.
Maybe it's just me. But I'm having still trouble understanding what you gain by trading multiple portfolios (of the same method) compared to say, 1 large portfolio (with more stocks in it). eg 5 portfolios of 10 stocks or 1 portfolio of 50 stocks.
Isn't it going to average out the same (roughly)?
Rod.
tech/a
24th-June-2005, 01:58 PM
Rod.
Yeh well its possible to look at it from a number of veiw points.
Here is mine.
I know that from 5000 portfolio tests that not ALL will trade the same infact the difference is dramatic.150% to 550% return.according to testing.
Now I maybe lucky and get on the 550% one or Unlucky and get on the 150%. ( IE The portfolio I end up filling and consequently trading.)
I could do as you say but I'm not going to be sure which one I'm on until years of trading has elapsed.
I feel trading different portfolio's of the same AND/OR different portfolio's of a different method/s (which will also have their high return and low return portfolio's) is mitigating risk----that I wont get in the lowest one---rather than maximising profit that I can get in the highest one---Thats just the way I think---defensive---and if I get that right the rest will follow.
Maybe its good thinking,maybe some think its not.
If I had data back 50 yrs it may show that the deviation is non existant over that time and If I was 20 then it wouldnt matter.(This can NEVER happen (Have a tested result) as its impossible to have a margin list accurate after 6 mths---yes another topic re accuracy of results from present day data----we will be here months discussing this---no problem---gets people thinking out of the square).
At 50 I need it right for the next 10 yrs so I can enjoy it!!
RodC
24th-June-2005, 02:25 PM
thanks tech,
I think I know what you mean.
Rod.
TjamesX
24th-June-2005, 02:33 PM
OK,
I'm going to pursue what you mentioned about TT entry signals not being much above random entry in improving performance.
Have you actually quantified how much of a difference there is between
a) Random entry and TT exit/stop loss.........and
b) TT Entry and TT exit/stop loss
Can you post comparitive results of a Monte Carlo sim of say 5000 portfolios using each method with the same trading period as before? :D
I'm still trying to work out exactly where the difference between 18.20% and 7.14% comes from, and I would like to know exactly how much TT entry has a part in this (every % point counts!).
If most of the difference can be attributed to the stop loss and 180 EMA - wow, for me thats pretty significant...
Why is it significant for me? Because;
My original thoughts were that I could possibly apply some of my portfolio to using the TT method, while my normal mostly fundamental part technical analysis would be used for my other half..... and see what happens. But I think there are significant ways I think the two could be intermixed.....
1) Normally a decision on entry for me would be a combination of economic/cyclical/industry conditions as well as some fundamentals on the particular company, maybe a little TA - but rarely. With TT entry signals there is no reason why i couldn't overly my analysis on top to chose/rate which if any to enter. This is because economic/cyclical/industry conditions change very slowly and would not be hard to apply, and there are certain fundamental analysis techniques that can be applied across the board to rate companies very quickly on their financial position. One of these methods has been used very successfully discussed and applied on another forum - will discuss further down the track......
and
2) Depending on how much difference tech's results come back between random entry and TT entry - there seems to be no reason why I couldn't apply my normal fundamental analysis on entry (ie no TT entry), but then apply TT exit/stop loss criteria once I have entered. The reason is becuase I have always struggled when to exit stocks to maximise my returns.
The question of whether any value can be added through my own methods 1 & 2 is obviously a big fat ???? and there is really little way of back testing easily any fundamental entry...........
so it continues
TJ
RodC
24th-June-2005, 03:10 PM
TJ,
I reckon dome of the difference between the 18.2% and the 7.14% would be due to the "universe of stocks" that TT is working with (the BT Margin List).
tech/a mentioned in one of his earlier posts that TT didn't perform as well when tested on the whole All Ords.
Rod.
TjamesX
24th-June-2005, 03:20 PM
I reckon some of the difference between the 18.2% and the 7.14% would be due to the "universe of stocks" that TT is working with (the BT Margin List).
Good point Rod.... it would be interesting to see the index return for the BT margin trading list over that time - the XJO would possibly be a better index to compare TT with, but that only has data for the last 5 years.
Maybe we should all limit our of stock universe to the BT Margin List :D
TJ
tech/a
24th-June-2005, 03:22 PM
OK,
I'm going to pursue what you mentioned about TT entry signals not being much above random entry in improving performance.
Not just t/T entry --any entry into any trade.
Have you actually quantified how much of a difference there is between
a) Random entry and TT exit/stop loss.........and
b) TT Entry and TT exit/stop loss
Yes.
Can you post comparitive results of a Monte Carlo sim of say 5000 portfolios using each method with the same trading period as before? :D
Yes my software can do this but the point is?
I'm still trying to work out exactly where the difference between 18.20% and 7.14% comes from, and I would like to know exactly how much TT entry has a part in this (every % point counts!).
TJ
Your current belief is that entry MUST be the key.The ORDS is just a record of those stocks trading within it over a period of time.Some out perform and others underperform--but on a whole over the period you mention then growth was 7%. However growth in the systems portfolio of 10 stocks was 18%.Simply those in the portfolio were skewed as growth winners.At the time of entering there was no way that this could have been known---just as Im sure other stocks didnt even come into consideration and could have outperformed the stocks held by the portfolio---purely because we didnt even get a chance to purchase because they never filled our purchase criteria.
If most of the difference can be attributed to the stop loss and 180 EMA - wow, for me thats pretty significant...
Some of it yes---all of it no. Most of it arguable.
Why is it significant for me? Because;
My original thoughts were that I could possibly apply some of my portfolio to using the TT method, while my normal mostly fundamental part technical analysis would be used for my other half..... and see what happens. But I think there are significant ways I think the two could be intermixed.....
Sure they could---others have adopted hybrids of the method---However you MUST understand what makes a method profitable.
1) Normally a decision on entry for me would be a combination of economic/cyclical/industry conditions as well as some fundamentals on the particular company, maybe a little TA - but rarely. With TT entry signals there is no reason why i couldn't overly my analysis on top to chose/rate which if any to enter. This is because economic/cyclical/industry conditions change very slowly and would not be hard to apply, and there are certain fundamental analysis techniques that can be applied across the board to rate companies very quickly on their financial position. One of these methods has been used very successfully discussed and applied on another forum - will discuss further down the track......
I'd go fundamental for portfolio selection if you wish and technical---T/T's technicals for timing and trade management.
2) Depending on how much difference tech's results come back between random entry and TT entry - there seems to be no reason why I couldn't apply my normal fundamental analysis on entry (ie no TT entry), but then apply TT exit/stop loss criteria once I have entered. The reason is becuase I have always struggled when to exit stocks to maximise my returns.
Ah--not so simple.While random entry into a trade may not have a longterm difference the entry is designed to alert those stocks "in the Position" to out perform--- where as random just selects any stock downtrend or not.
The question of whether any value can be added through my own methods 1 & 2 is obviously a big fat ???? and there is really little way of back testing easily any fundamental entry...........
I'd go fundamental for portfolio selection if you wish and technical---T/T's technicals for timing and trade management.This would be in my view the best way to go.It would however be a different universe than the one we have tested.This in itself isnt a big issue---from the myrid of tests on many many stock universes.
so it continues
Fun though
-----
TjamesX
24th-June-2005, 04:31 PM
Can you post comparitive results of a Monte Carlo sim of say 5000 portfolios using each method with the same trading period as before?
Yes my software can do this but the point is?
Quote:
I'm still trying to work out exactly where the difference between 18.20% and 7.14% comes from, and I would like to know exactly how much TT entry has a part in this (every % point counts!).
TJ
Your current belief is that entry MUST be the key.The ORDS is just a record of those stocks trading within it over a period of time.Some out perform and others underperform--but on a whole over the period you mention then growth was 7%. However growth in the systems portfolio of 10 stocks was 18%.Simply those in the portfolio were skewed as growth winners.At the time of entering there was no way that this could have been known---just as Im sure other stocks didnt even come into consideration and could have outperformed the stocks held by the portfolio---purely because we didnt even get a chance to purchase because they never filled our purchase criteria.
No, you've got that wrong - I definitly don't believe entry is the key. From what i've seen so far, the decision between holding or selling once you have entered appears to be more critical.
Putting my engineering hat on I get a bit excited when I see a bit of maths - hence the probing. A random walk down wall street suggests (so I've heard ;) ) thats any deviation overtime from the overall index is a fluke and given enough time all strategies should revert to the mean (index) ie you can't do better than the index.
The Monte Carlo sims suggest that with TT there is some deviation from the mean, and although the results for individual portfolios have a large standard deviation - on average, they do better, 18.20% to 7.14%. There are only two ways that can happen;
1) universe of stocks is different (BT trading list - cheers ROD!)
2) the methodology used to enter/exit/hold stocks
So I'm sort of attempting to quantify how each part in the TT system effects the overall result. But It's probably time I did that myself...... So
What is the cheapest way (software) to test TT. And could I 'borrow' your historical data to test it with? :D
I'm not interested in paying for monthly data as i wouldn't be implementing the strategy at this time, but I would like to have a play and do some stuff for myself.
Cheers
TJ
tech/a
24th-June-2005, 05:36 PM
TJ
The best and most affordable software for you to "Play" with is Amibroker.
The combination of M/S and tradesim which I use is beyond curiosity at a few K.
Widest variations in results will come from.Or best areas to find improvement.
(1) Selected universe of stocks.
(2) Stop Placement.
(3) Pyramiding of winning capital into more trades.
(4) Pyramiding into successful trades
(5) Finding a balance of entry and stop to increase winning trades(number of)
(6) Finding the balance of exit to price to allow profits to run---longer/est.
(7) Capital available--under 50K is difficult to portfolio trade.
(8) Leverage.
(9) Defining when a portfolio should be traded or standing aside.(Closing all).
Hope this helps.
TjamesX
24th-June-2005, 07:41 PM
Tech,
Thank you for sharing your knowledge. Once I have it up and running, I am sure there will be further questions coming your way.
After having a think about it, I believe that I should be able to do (with relative ease) the analysis in excel. I can source EOD data from float.com.au, from there I should be able to automatically update to spreadsheets and the TT equations should be easy to apply once the data has been loaded (via VB). I believe I should be able to use this for backtesting analysis as well as actual trading with the system. If anyone is interested - I will post it when its finished.
The main reason for doing this is I won't have to pay for any monthly data and I will be able to incorporate fundamental analysis techniques as well in the same program. And because in excel - I can do anything I want to!!!!! :p:
One last Q before I go -
I am relatively convinced that TT is workable during a long term uptrending market. Do you think it can hold up in a down trending market? Do you have visions of applying the theory/logic in reverse for a downtrending market using options etc???
Cheers
TJ
tech/a
24th-June-2005, 08:40 PM
TJ
T/T is designed for Bull Markets and while it has only been around a while I can say that it will suffer drawdown in a bear run.
Initial testing of selling the whole portfolio when the index turns bearish or the Equity curve Vs an Index of the Universe of stocks you trade---show marked improvements.
I'm more than interested in your testing and only wish I had your excell knowledge--mine is ZIP.
Please keep us posted. You maybe able to test things both Amibroker and Tradesim cant.
tech/a
24th-June-2005, 08:57 PM
A couple of snippets for those who maybe interested.
What can be achieved----this is the best system I have.And its Mine Mine Mine!!!!----hahahaha.
Trade Summary
Earliest Entry Date in the Trade Database: 1/3/1997
Latest Entry Date in the Trade Database: 10/29/2004
Earliest Exit Date in the Trade Database: 2/7/1997
Latest Exit Date in the Trade Database: 11/5/2004
Start Trade Entry Date: 1/3/1997
Stop Trade Entry Date: 10/29/2004
First Entry Date: 1/3/1997
Last Entry Date: 10/8/2004
First Exit Date: 2/7/1997
Last Exit Date: 11/5/2004
Total Trading duration: 2863 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $100,000.00
Finishing Capital: $1,891,184.37
Maximum Equity/(Date): $1,791,184.37 (11/5/2004)
Minimum Equity/(Date): ($6,356.39) (3/27/1997)
Gross Trade Profit: $2,171,988.28 (2171.99%)
Gross Trade Loss: ($380,803.91) (-380.80%)
Total Net Profit: $1,791,184.37 (1791.18%)
Average Profit per Trade: $9,630.02
Profit Factor: 5.7037
Profit Index: 82.47%
Total Transaction Cost: $11,160.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.1027%
Annualized Compound Interest Rate: 45.4685%
Normal Exit Trades: 173 (93.01%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 13 (6.99%)
Protective Stop Exit Trades: 0 (0.00%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)
Largest Winning Trade/(Date): $213,546.46 (8/20/2004)
Largest Losing Trade/(Date): ($21,208.82) (3/26/2004)
Average Winning Trade: $23,868.00
Average Losing Trade: ($4,008.46)
Average Win/Average Loss: 5.9544
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 994 (days)
Minimum Trade Duration: 7 (days)
Average Trade Duration: 153 (days)
(Winning Trades)
Maximum Trade Duration: 994 (days)
Minimum Trade Duration: 14 (days)
Average Trade Duration: 225 (days)
(Losing Trades)
Maximum Trade Duration: 348 (days)
Minimum Trade Duration: 7 (days)
Average Trade Duration: 83 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 12
Maximum consecutive losing trades: 8
Average consecutive winning trades: 2.33
Average consecutive losing trades: 2.44
Trade Expectation Statistics
Normalized Expectation per dollar risked: $3.1000
Maximum Reward/Risk ratio: 79.71
Minimum Reward/Risk ratio: -3.08
Average Positive Reward/Risk ratio: 7.34
Average Negative Reward/Risk ratio: -0.94
Relative Drawdown
Maximum Dollar Drawdown/(Date): $51,559.87 (4/16/2004)
Maximum Percentage Drawdown/(Date): 10.8600% (10/29/1998)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $68,560.01 (5.7950%)
Capital Peak/(Date): $1,183,179.43 (12/19/2003)
Capital Valley/(Date): $1,114,619.42 (7/9/2004)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 10.8600% ($13,828.92)
Capital Peak/(Date): $127,293.26 (6/26/1998)
Capital Valley/(Date): $113,464.34 (10/29/1998)
And those who ask what would the profit be IF I took EVERY TRADE that Techtrader signalled given $10K a trade-----If you could afford that you wouldnt need to trade!!!
See below
RodC
26th-June-2005, 11:07 AM
Tech,
Wow!
I notice that the Protective Stop Exit trades are 0.
Does this mean that no trades hit the stop?
If this is so then:
1. This must be tested during 1 hell of a Bull Market, or
2. This system is outstanding at picking winners, or
3. The protective stop is too wide.
I also note the losing trades outnumber the winning trades (just), very interesting.
I know you don't want to say too much but is this weekly system a derivative of techtrader or completely different. I remember seeing some references to a weekly techtrader system on reefcap?
thanks,
Rod.
tech/a
26th-June-2005, 12:30 PM
No its nothing to do with T/T.
The exit is the stop---which is rare.
Dan_
26th-September-2005, 01:07 PM
Tech,
Thank you for sharing your knowledge. Once I have it up and running, I am sure there will be further questions coming your way.
After having a think about it, I believe that I should be able to do (with relative ease) the analysis in excel. I can source EOD data from float.com.au, from there I should be able to automatically update to spreadsheets and the TT equations should be easy to apply once the data has been loaded (via VB). I believe I should be able to use this for backtesting analysis as well as actual trading with the system. If anyone is interested - I will post it when its finished.
TJ Any update or news on your analysis?
tech/a
26th-September-2005, 03:47 PM
Dan Emailed me for the Amibroker code for Techtrader.
For those interested.
// techtrader amibroker version tested on AB ver 4.5
PositionSize = -10; // always invest only 10% of the current Equity
// set up to delay buy & sell
SetTradeDelays(1,1,0,0);
// here we define our buy conditions
cond1=Cross(H,Ref(HHV(H,10),-1)); //todays high crosses last highest high over the last 10 periods
cond2=H > EMA(C,40); // todays high is greater than the 40 day Exp MA of closes
cond3=HHVBars(H,70) == 0; // todays high is the highest for 70 periods
cond4=EMA(V*C,21) > 500000; // ensure at least $500k of money flow
cond5=C < 10.00; // only trading in stocks less than $10
cond6=C > O; // todays close higher than open
// the following line is our buy trigger for next day open if all conditions satisfied
buysig = cond1 AND cond2 AND cond3 AND cond4 AND cond5 AND cond6;
// initial stop aim to never lose more than 10%
ApplyStop( stopTypeLoss, stopModePercent, amount=10 );
//our exit conditions if not stopped out
Sellsig= Cross(Ref(EMA(L,180),-1),C); // close crosses below yesterdays EMA of the low
// for BACKTESTING purposes only this code stops extraneous Buy when already in trade
// and Sell when NOT in trade
// the backtester uses this code as buy & sell & where necessary, the stop
Buy = ExRem(Buysig,Sellsig);
Sell = ExRem(Sellsig,Buysig);
// colour of buy trigger arrow & sell date arrows displayed on highlighted stocks from Explorations and Backtests
shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
PlotShapes( shape, IIf( Buy , colorYellow, colorRed ), 0, IIf( Buy , Low, High));
// this controls EXPLORATION list output only
Filter = Buysig; // lists exploration results conforming to our buy criteria
AddColumn(Buysig, "buy", 1.0); //
TjamesX
26th-September-2005, 11:24 PM
TJ Any update or news on your analysis?
Been a bit busy for the last month with a change of job..... so there isn't any update. I've put it on a bit of a backburner at the moment, 1) because I don't think the system will be suited to a possible correction the market may see over the next 12 months, 2) because my time is limited.
I will update if this changes
tech/a
27th-September-2005, 06:25 AM
tJ
As for corrections taking its toll.
All long methods cop a correction in a downturn.
Like most methods we have a filter to take out the whole portfolio if the correction/downturn hits it.
That being if the ALL ORDS crosss its 180 day EMA of the low.
The system is closed down until it crosses back above regardless of where each stock in the portfolio was trading.
Its a genuine concern but not one that should keep you out of the market,with any long methodology.
Kauri
27th-September-2005, 09:42 AM
Re the market having a downturn.. it would seem that the recent activity hasn't been as broad based as it the index would indicate. Not sure if it as practical,maybe using the 180 ema on individual index's? T/T seems to be doing well regardless...most impressive...
Article in the West Australian today.....
40pc of stocks miss the boom time bus
MICHAEL WEIR
Forty per cent of Australia's top-500 listed companies have lost ground on the sharemarket in the past nine months, smashing the perception that the booming bourse is a guaranteed recipe for riches.
Stockbrokers and analysts said the data sounded a warning for retail investors, who have been urged to do their homework on companies before buying shares.
Stockmarket news had been dominated by those companies recording massive share price gains - mainly on oil and gas, uranium and iron ore - but plenty of others had fallen victim to profit downgrades and tougher economic conditions, they said.
The warning coincided with another barnstorming day on the market yesterday, as record highs by perennial favourites BHP Billiton and Macquarie Bank propelled the S&P-ASX 200 to a fresh peak.
However, DJ Carmichael & Co director Ian Dorrington said it was wrong to think of the overall market as being at a record high.
"It's not, the index is," he said. "And as we all know the index is driven primarily by a handful of 30-50 stocks.
"So you have the top end resources gone crazy but outside that the market has been very selective."
Of 493 companies listed in the all-ordinaries index, 195 have recorded share price losses since the start of the year with technology stocks and retailers prominent in the list.
Of those companies in the red, 85 have seen their share prices slashed by more than 20 per cent, including 17 stocks which have lost more than half of their market value.
The biggest loser since January has been Brisbane-based seniors accommodation specialist Village Life, whose share price has slumped 83 per cent to 44¢ on the back of multiple profit downgrades.
WA winemaker Evans & Tate has had a year to forget, with its shares plummeting 73 per cent to 28¢ as a global wine glut triggered heavy stock write-downs which dragged the company $50 million into the red and forced its bankers to call in corporate doctors.
Bluestone Tin was one of the best performing floats last year with its 25¢ shares peaking at $1 in the months after listing. But a falling tin price and performance problems at its flagship Renison mine in Tasmania later sent the stock price tumbling. Although still above its issue price, Bluestone has slumped almost 62 per cent since January to 34¢.
Two profit warnings in less than three months earlier this year sent the share price of WA blind maker and retailer Kresta tumbling. In the past nine months the stock has lost 60 per cent to 23¢.
Other big losers so far this year have included technology companies Benitec (-65 per cent), Prana Biotechnologies (-65 per cent), LookSmart (-60 per cent), Compumedics (-59 per cent), QPSX (-56 per cent), Epitan (-55 per cent) and bottled water company Palm Springs (-64 per cent).
Some well-known WA companies suffered for delivering poor results, including automotive leather and pavers group Schaffer, whose shares have fallen 52 per cent on a plunge in earnings and warnings of tough times ahead.
ERG shares have lost 41 per cent of their value as the ticketing company asked long-suffering shareholders to again dip into their pockets to help replenish its coffers after delays and blowouts on big contracts.
Shares in property and construction group Multiplex hit record highs in January before shocking the market with cost blowouts at its flagship Wembley Stadium project in the UK. The stock has lost 41 per cent of its value this year.
Euroz Securities senior dealer Richard Caldow advised investors to do their homework and buy shares based on traditional valuation methods like price-earnings ratios and dividend yields.
Hartleys broker John Featherby said that although many companies were overvalued, the resources market was in a massive catch-up phase after being neglected for many years.
Dan_
6th-April-2006, 11:32 AM
Tech,
Hoping you can help me out here if possible. I've finally got Amibroker and some shiny clean data. I'd thought I would use TT to educate myself on the back testing aspect of Amibroker. However I think I may have some incorrect elements, or not set Amibroker up correctly as I don't get the same results that I've seen you publish before.
Can you please do me a favour (if possible) and publish here a TT scan for a previous date that I can use for reference (e.g. a daily scan for the 31/3/2006)
I can then compare your results with mine and figure out where the issue is. (Most like user error in not setting up Amibroker correctly)
Thanks
tech/a
6th-April-2006, 01:19 PM
Dan.
Im a metastock/tradesim User.
But a few reasons youll get different results.
(1) You need the same universe of stocks I trade.Register at Reefcap in the T/T thread for the mailing list and you'll get a copy updated 3 mthly.
(2) Make sure all trades are closed on the final exit date other wise all the profit will be locked into trades still open.
(3) different start and finish dates.
(4) coding issues.
There is an Amibroker section at Reef just post there they seem a pretty helpful bunch.
nizar
29th-December-2006, 12:51 PM
A couple of snippets for those who maybe interested.
What can be achieved----this is the best system I have.And its Mine Mine Mine!!!!----hahahaha.
Trade Summary
Earliest Entry Date in the Trade Database: 1/3/1997
Latest Entry Date in the Trade Database: 10/29/2004
Earliest Exit Date in the Trade Database: 2/7/1997
Latest Exit Date in the Trade Database: 11/5/2004
Start Trade Entry Date: 1/3/1997
Stop Trade Entry Date: 10/29/2004
First Entry Date: 1/3/1997
Last Entry Date: 10/8/2004
First Exit Date: 2/7/1997
Last Exit Date: 11/5/2004
Total Trading duration: 2863 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $100,000.00
Finishing Capital: $1,891,184.37
Maximum Equity/(Date): $1,791,184.37 (11/5/2004)
Minimum Equity/(Date): ($6,356.39) (3/27/1997)
Gross Trade Profit: $2,171,988.28 (2171.99%)
Gross Trade Loss: ($380,803.91) (-380.80%)
Total Net Profit: $1,791,184.37 (1791.18%)
Average Profit per Trade: $9,630.02
Profit Factor: 5.7037
Profit Index: 82.47%
Total Transaction Cost: $11,160.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.1027%
Annualized Compound Interest Rate: 45.4685%
Normal Exit Trades: 173 (93.01%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 13 (6.99%)
Protective Stop Exit Trades: 0 (0.00%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)
Largest Winning Trade/(Date): $213,546.46 (8/20/2004)
Largest Losing Trade/(Date): ($21,208.82) (3/26/2004)
Average Winning Trade: $23,868.00
Average Losing Trade: ($4,008.46)
Average Win/Average Loss: 5.9544
Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 994 (days)
Minimum Trade Duration: 7 (days)
Average Trade Duration: 153 (days)
(Winning Trades)
Maximum Trade Duration: 994 (days)
Minimum Trade Duration: 14 (days)
Average Trade Duration: 225 (days)
(Losing Trades)
Maximum Trade Duration: 348 (days)
Minimum Trade Duration: 7 (days)
Average Trade Duration: 83 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 12
Maximum consecutive losing trades: 8
Average consecutive winning trades: 2.33
Average consecutive losing trades: 2.44
Trade Expectation Statistics
Normalized Expectation per dollar risked: $3.1000
Maximum Reward/Risk ratio: 79.71
Minimum Reward/Risk ratio: -3.08
Average Positive Reward/Risk ratio: 7.34
Average Negative Reward/Risk ratio: -0.94
Relative Drawdown
Maximum Dollar Drawdown/(Date): $51,559.87 (4/16/2004)
Maximum Percentage Drawdown/(Date): 10.8600% (10/29/1998)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $68,560.01 (5.7950%)
Capital Peak/(Date): $1,183,179.43 (12/19/2003)
Capital Valley/(Date): $1,114,619.42 (7/9/2004)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 10.8600% ($13,828.92)
Capital Peak/(Date): $127,293.26 (6/26/1998)
Capital Valley/(Date): $113,464.34 (10/29/1998)
And those who ask what would the profit be IF I took EVERY TRADE that Techtrader signalled given $10K a trade-----If you could afford that you wouldnt need to trade!!!
See below
Amazing stuff here on this thread.
Some great wisdom.
tech/a
29th-December-2006, 01:22 PM
Much much more here and coming up in the future for those interested.
