Wally, You said you use three systems. Do they each operate in a different time frame? And are they all breakout systems? Runningbear
I ran an optimization and chose the highest profit with lowest drawdown, beware of curve fitting. for the hhv it was 1.0065 for the llv it was.9965, tried hard stops and they made it worse which usually seems to be the case. this is a 5min test, I also cut out the afternoon and it did work better, will have to check that on some of my own work, thank for the idea. see below for the stats wdbaker <HEAD> <TITLE>AmiBroker System Test Report</TITLE><STYLE> <!-- BODY { font-family:"Tahoma,Arial,Helvetica,Sans Serif"; font-size:8pt; } TD { font-size:8pt; text-align: right; } TH { font-size:8pt; text-align: left; font-weight:normal; } .BIG { font-size:10pt; font-weight:bold; text-align: center; } --> </STYLE></HEAD> <BODY> <TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Settings</TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Initial Equity:</TH><TD>5000</TD><TD></TD><TH>Periodicity/Positions:</TD><TD>5 minute/Long Short</TD></TR> <TR><TH>Commissions:</TH><TD>15.00 per share</TD><TD></TD><TH>Annual interest rate:</TH><TD>0.00%</TD></TR> <TR><TH>Range:</TH><TD>All quotations</TD><TD></TD><TH>Apply to:</TH><TD>Current Symbol</TD></TR><TR><TH>Margin requirement:</TH><TD>100</TD><TD></TD><TH>Futures mode:</TH><TD>Yes</TD></TR> <TR><TH>Def. round lot size:</TH><TD>1</TD><TD></TD><TH>Def. Tick Size</TH><TD>0.25</TD></TR> <TR><TH>Drawdowns based on:</TH><TD>High/Low prices</TD><TD></TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5><b>Long trades</b></TH></TR> <TR><TH>Buy price:</TH><TD>Close</TD><TD></TD><TH>Sell price:</TD><TD>Close</TD></TR> <TR><TH>Buy delay:</TH><TD>0</TD><TD></TD><TH>Sell delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Short trades</b></TH></TR> <TR><TH>Short price:</TH><TD>Close</TD><TD></TD><TH>Cover price:</TD><TD>Close</TD></TR> <TR><TH>Short delay:</TH><TD>0</TD><TD></TD><TH>Cover delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Stops</b></TH></TR> <TR><TH>Maximum loss:</TH><TD>disabled</TD><TD></TD><TH>Profit target:</TD><TD>disabled</TD></TR> <TR><TH>Value:</TH><TD>2.00</TD><TD></TD><TH>Value:</TD><TD>0.00</TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH>Exit at stop?</TD><TD>no</TD></TR> <TR><TD colspan=5> </TD></TR><TR><TH>Trailing stop:</TH><TD>disabled</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Value:</TH><TD>0.00</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH> </TD><TD> </TD></TR> </TABLE><P><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Formula</TH></TR> </TABLE><PRE>Filter=(TimeNum()>093400 AND TimeNum()<=113400) OR (TimeNum()>013400 AND TimeNum()<=155500);//TimeNum()<=113400) OR (TimeNum()>013400 AND PositionSize=2500; x=Optimize("x",1.0065,1,1.01,.0005); y=Optimize("y",.9965,.99,1,.0005); Buy=Filter AND C>(Ref(HHV(C,1),-1)*(x)) ; Sell=C<(Ref(LLV(C,1),-1)*(y)) OR TimeNum()>155500; Short=Filter AND C<(Ref(LLV(C,1),-1)*(y)); Cover=C>(Ref(HHV(C,1),-1)*(x))OR TimeNum()>155500; </PRE><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Performance for ES1min </TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total net profit:</TH><TD>13062.50</TD><TD> </TD><TH>Total commissions paid:</TH><TD>3750.00</TD></TR> <TR><TH>Return on account:</TH><TD>261.25 % </TD><TD> </TD><TH>Open position gain/loss</TH><TD>0.00</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-15805.00</TD><TD> </TD><TH>Bars (days) in test:</TH><TD>12167 (216)</TD></TR> <TR><TH>Buy&Hold % return:</TH><TD>-316.10%</TD><TD> </TD><TH>System to Buy&Hold index:</TH><TD>182.65%</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Annual system % return:</TD><TD>776.18%</TD><TD> </TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>System drawdown:</TH><TD>-555.00</TD><TD> </TD><TH>B&H drawdown:</TH><TD>-18800.00</TD></TR> <TR><TH>Max. system drawdown:</TH><TD>-4210.00</TD><TD> </TD><TH>B&H max. drawdown:</TH><TD>-20262.50</TD></TR> <TR><TH>Max. system % drawdown:</TH><TD>-30.14%</TD><TD> </TD><TH>B&H max. % drawdown:</TH><TD>-395.19%</TD></TR> <TR><TH>Max. trade drawdown:</TH><TD>-2150.00</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Max. trade % drawdown:</TH><TD>-30.08%</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Trade drawdown:</TH><TD>-1337.50</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total number of trades:</TH><TD>125</TD><TD> </TD><TH>Percent profitable:</TH><TD>49.6%</TD></TR> <TR><TH>Number winning trades:</TH><TD>62</TD><TD> </TD><TH>Number losing trades:</TH><TD>63</TD></TR> <TR><TH>Profit of winners:</TH><TD>35365.00</TD><TD> </TD><TH>Loss of losers:</TH><TD>-22302.50</TD></TR> <TR><TH>Total # of bars in winners:</TH><TD>3478</TD><TD> </TD><TH>Total # of bars in losers:</TH><TD>2351</TD></TR> <TR><TH>Commissions paid in winners:</TH><TD>1860.00</TD><TD> </TD><TH>Commissions paid in losers:</TH><TD>1890.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Largest winning trade:</TH><TD>1407.50</TD><TD> </TD><TH>Largest losing trade:</TH><TD>-1155.00</TD></TR> <TR><TH># of bars in largest winner:</TH><TD>78</TD><TD> </TD><TH># bars in largest loser:</TH><TD>78</TD></TR> <TR><TH>Commission paid in largest winner:</TH><TD>30.00</TD><TD> </TD><TH>Commission paid in largest loser:</TH><TD>30.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Average winning trade:</TH><TD>570.40</TD><TD> </TD><TH>Average losing trade:</TH><TD>-354.01</TD></TR> <TR><TH>Avg. # of bars in winners:</TH><TD> 56.1</TD><TD> </TD><TH>Avg. # bars in losers:</TH><TD> 37.3</TD></TR> <TR><TH>Avg. commission paid in winner:</TH><TD>30.00</TD><TD> </TD><TH>Avg. commission paid in loser:</TH><TD>30.00</TD></TR> <TR><TH>Max consec. winners:</TH><TD>7</TD><TD> </TD><TH>Max consec. losers:</TH><TD>7</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Bars out of the market:</TH><TD>6383</TD><TD> </TD><TH>Interest earned:</TH><TD>0.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Exposure:</TH><TD>47.5%</TD><TD> </TD><TH>Risk adjusted ann. return:</TH><TD>1632.74%</TD></TR> <TR><TH>Ratio avg win/avg loss:</TH><TD>1.61</TD><TD> </TD><TH>Avg. trade (win & loss):</TH><TD>104.50</TD></TR> <TR><TH>Profit factor:</TH><TD>1.59</TD><TD> </TD><TH></TH><TD></TD></TR></TABLE><P> <P> </BODY>
hhv is 1.005 llv is .997 See below for stats wdbaker <HEAD> <TITLE>AmiBroker System Test Report</TITLE><STYLE> <!-- BODY { font-family:"Tahoma,Arial,Helvetica,Sans Serif"; font-size:8pt; } TD { font-size:8pt; text-align: right; } TH { font-size:8pt; text-align: left; font-weight:normal; } .BIG { font-size:10pt; font-weight:bold; text-align: center; } --> </STYLE></HEAD> <BODY> <TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Settings</TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Initial Equity:</TH><TD>5000</TD><TD></TD><TH>Periodicity/Positions:</TD><TD>10 minute/Long Short</TD></TR> <TR><TH>Commissions:</TH><TD>15.00 per share</TD><TD></TD><TH>Annual interest rate:</TH><TD>0.00%</TD></TR> <TR><TH>Range:</TH><TD>All quotations</TD><TD></TD><TH>Apply to:</TH><TD>Current Symbol</TD></TR><TR><TH>Margin requirement:</TH><TD>100</TD><TD></TD><TH>Futures mode:</TH><TD>Yes</TD></TR> <TR><TH>Def. round lot size:</TH><TD>1</TD><TD></TD><TH>Def. Tick Size</TH><TD>0.25</TD></TR> <TR><TH>Drawdowns based on:</TH><TD>High/Low prices</TD><TD></TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5><b>Long trades</b></TH></TR> <TR><TH>Buy price:</TH><TD>Close</TD><TD></TD><TH>Sell price:</TD><TD>Close</TD></TR> <TR><TH>Buy delay:</TH><TD>0</TD><TD></TD><TH>Sell delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Short trades</b></TH></TR> <TR><TH>Short price:</TH><TD>Close</TD><TD></TD><TH>Cover price:</TD><TD>Close</TD></TR> <TR><TH>Short delay:</TH><TD>0</TD><TD></TD><TH>Cover delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Stops</b></TH></TR> <TR><TH>Maximum loss:</TH><TD>disabled</TD><TD></TD><TH>Profit target:</TD><TD>disabled</TD></TR> <TR><TH>Value:</TH><TD>2.00</TD><TD></TD><TH>Value:</TD><TD>0.00</TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH>Exit at stop?</TD><TD>no</TD></TR> <TR><TD colspan=5> </TD></TR><TR><TH>Trailing stop:</TH><TD>disabled</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Value:</TH><TD>0.00</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH> </TD><TD> </TD></TR> </TABLE><P><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Formula</TH></TR> </TABLE><PRE>Filter=(TimeNum()>093400 AND TimeNum()<=113400) OR (TimeNum()>013400 AND TimeNum()<=155500);//TimeNum()<=113400) OR (TimeNum()>013400 AND PositionSize=2500; x=Optimize("x",1.005,1,1.01,.0005); y=Optimize("y",.997,.99,1,.0005); Buy=Filter AND C>(Ref(HHV(C,1),-1)*(x)) ; Sell=C<(Ref(LLV(C,1),-1)*(y)) OR TimeNum()>155500; Short=Filter AND C<(Ref(LLV(C,1),-1)*(y)); Cover=C>(Ref(HHV(C,1),-1)*(x))OR TimeNum()>155500; </PRE><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Performance for ES1min </TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total net profit:</TH><TD>13402.50</TD><TD> </TD><TH>Total commissions paid:</TH><TD>6510.00</TD></TR> <TR><TH>Return on account:</TH><TD>268.05 % </TD><TD> </TD><TH>Open position gain/loss</TH><TD>0.00</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-15717.50</TD><TD> </TD><TH>Bars (days) in test:</TH><TD>6074 (216)</TD></TR> <TR><TH>Buy&Hold % return:</TH><TD>-314.35%</TD><TD> </TD><TH>System to Buy&Hold index:</TH><TD>185.27%</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Annual system % return:</TD><TD>804.23%</TD><TD> </TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>System drawdown:</TH><TD>-1205.00</TD><TD> </TD><TH>B&H drawdown:</TH><TD>-18712.50</TD></TR> <TR><TH>Max. system drawdown:</TH><TD>-5157.50</TD><TD> </TD><TH>B&H max. drawdown:</TH><TD>-20262.50</TD></TR> <TR><TH>Max. system % drawdown:</TH><TD>-42.36%</TD><TD> </TD><TH>B&H max. % drawdown:</TH><TD>-394.59%</TD></TR> <TR><TH>Max. trade drawdown:</TH><TD>-1700.00</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Max. trade % drawdown:</TH><TD>-31.15%</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Trade drawdown:</TH><TD>-1012.50</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total number of trades:</TH><TD>217</TD><TD> </TD><TH>Percent profitable:</TH><TD>51.2%</TD></TR> <TR><TH>Number winning trades:</TH><TD>111</TD><TD> </TD><TH>Number losing trades:</TH><TD>106</TD></TR> <TR><TH>Profit of winners:</TH><TD>49532.50</TD><TD> </TD><TH>Loss of losers:</TH><TD>-36130.00</TD></TR> <TR><TH>Total # of bars in winners:</TH><TD>2740</TD><TD> </TD><TH>Total # of bars in losers:</TH><TD>1733</TD></TR> <TR><TH>Commissions paid in winners:</TH><TD>3330.00</TD><TD> </TD><TH>Commissions paid in losers:</TH><TD>3180.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Largest winning trade:</TH><TD>1695.00</TD><TD> </TD><TH>Largest losing trade:</TH><TD>-942.50</TD></TR> <TR><TH># of bars in largest winner:</TH><TD>8</TD><TD> </TD><TH># bars in largest loser:</TH><TD>36</TD></TR> <TR><TH>Commission paid in largest winner:</TH><TD>30.00</TD><TD> </TD><TH>Commission paid in largest loser:</TH><TD>30.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Average winning trade:</TH><TD>446.24</TD><TD> </TD><TH>Average losing trade:</TH><TD>-340.85</TD></TR> <TR><TH>Avg. # of bars in winners:</TH><TD> 24.7</TD><TD> </TD><TH>Avg. # bars in losers:</TH><TD> 16.3</TD></TR> <TR><TH>Avg. commission paid in winner:</TH><TD>30.00</TD><TD> </TD><TH>Avg. commission paid in loser:</TH><TD>30.00</TD></TR> <TR><TH>Max consec. winners:</TH><TD>6</TD><TD> </TD><TH>Max consec. losers:</TH><TD>7</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Bars out of the market:</TH><TD>1696</TD><TD> </TD><TH>Interest earned:</TH><TD>0.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Exposure:</TH><TD>72.1%</TD><TD> </TD><TH>Risk adjusted ann. return:</TH><TD>1115.78%</TD></TR> <TR><TH>Ratio avg win/avg loss:</TH><TD>1.31</TD><TD> </TD><TH>Avg. trade (win & loss):</TH><TD>61.76</TD></TR> <TR><TH>Profit factor:</TH><TD>1.37</TD><TD> </TD><TH></TH><TD></TD></TR></TABLE><P> <P> </BODY>
hhv 1.0075 llv .998 See below for stats wdbaker <HEAD> <TITLE>AmiBroker System Test Report</TITLE><STYLE> <!-- BODY { font-family:"Tahoma,Arial,Helvetica,Sans Serif"; font-size:8pt; } TD { font-size:8pt; text-align: right; } TH { font-size:8pt; text-align: left; font-weight:normal; } .BIG { font-size:10pt; font-weight:bold; text-align: center; } --> </STYLE></HEAD> <BODY> <TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Settings</TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Initial Equity:</TH><TD>5000</TD><TD></TD><TH>Periodicity/Positions:</TD><TD>15 minute/Long Short</TD></TR> <TR><TH>Commissions:</TH><TD>15.00 per share</TD><TD></TD><TH>Annual interest rate:</TH><TD>0.00%</TD></TR> <TR><TH>Range:</TH><TD>All quotations</TD><TD></TD><TH>Apply to:</TH><TD>Current Symbol</TD></TR><TR><TH>Margin requirement:</TH><TD>100</TD><TD></TD><TH>Futures mode:</TH><TD>Yes</TD></TR> <TR><TH>Def. round lot size:</TH><TD>1</TD><TD></TD><TH>Def. Tick Size</TH><TD>0.25</TD></TR> <TR><TH>Drawdowns based on:</TH><TD>High/Low prices</TD><TD></TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5><b>Long trades</b></TH></TR> <TR><TH>Buy price:</TH><TD>Close</TD><TD></TD><TH>Sell price:</TD><TD>Close</TD></TR> <TR><TH>Buy delay:</TH><TD>0</TD><TD></TD><TH>Sell delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Short trades</b></TH></TR> <TR><TH>Short price:</TH><TD>Close</TD><TD></TD><TH>Cover price:</TD><TD>Close</TD></TR> <TR><TH>Short delay:</TH><TD>0</TD><TD></TD><TH>Cover delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Stops</b></TH></TR> <TR><TH>Maximum loss:</TH><TD>disabled</TD><TD></TD><TH>Profit target:</TD><TD>disabled</TD></TR> <TR><TH>Value:</TH><TD>2.00</TD><TD></TD><TH>Value:</TD><TD>0.00</TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH>Exit at stop?</TD><TD>no</TD></TR> <TR><TD colspan=5> </TD></TR><TR><TH>Trailing stop:</TH><TD>disabled</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Value:</TH><TD>0.00</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH> </TD><TD> </TD></TR> </TABLE><P><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Formula</TH></TR> </TABLE><PRE>Filter=(TimeNum()>093400 AND TimeNum()<=113400) OR (TimeNum()>013400 AND TimeNum()<=155500);//TimeNum()<=113400) OR (TimeNum()>013400 AND PositionSize=2500; x=Optimize("x",1.0075,1,1.01,.0005); y=Optimize("y",.998,.99,1,.0005); Buy=Filter AND C>(Ref(HHV(C,1),-1)*(x)) ; Sell=C<(Ref(LLV(C,1),-1)*(y)) OR TimeNum()>155500; Short=Filter AND C<(Ref(LLV(C,1),-1)*(y)); Cover=C>(Ref(HHV(C,1),-1)*(x))OR TimeNum()>155500; </PRE><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Performance for ES1min </TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total net profit:</TH><TD>13977.50</TD><TD> </TD><TH>Total commissions paid:</TH><TD>5310.00</TD></TR> <TR><TH>Return on account:</TH><TD>279.55 % </TD><TD> </TD><TH>Open position gain/loss</TH><TD>0.00</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-15592.50</TD><TD> </TD><TH>Bars (days) in test:</TH><TD>4158 (216)</TD></TR> <TR><TH>Buy&Hold % return:</TH><TD>-311.85%</TD><TD> </TD><TH>System to Buy&Hold index:</TH><TD>189.64%</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Annual system % return:</TD><TD>852.48%</TD><TD> </TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>System drawdown:</TH><TD>-925.00</TD><TD> </TD><TH>B&H drawdown:</TH><TD>-18587.50</TD></TR> <TR><TH>Max. system drawdown:</TH><TD>-4382.50</TD><TD> </TD><TH>B&H max. drawdown:</TH><TD>-20262.50</TD></TR> <TR><TH>Max. system % drawdown:</TH><TD>-46.70%</TD><TD> </TD><TH>B&H max. % drawdown:</TH><TD>-393.73%</TD></TR> <TR><TH>Max. trade drawdown:</TH><TD>-1725.00</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Max. trade % drawdown:</TH><TD>-24.40%</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Trade drawdown:</TH><TD>-1275.00</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total number of trades:</TH><TD>177</TD><TD> </TD><TH>Percent profitable:</TH><TD>53.1%</TD></TR> <TR><TH>Number winning trades:</TH><TD>94</TD><TD> </TD><TH>Number losing trades:</TH><TD>83</TD></TR> <TR><TH>Profit of winners:</TH><TD>46092.50</TD><TD> </TD><TH>Loss of losers:</TH><TD>-32115.00</TD></TR> <TR><TH>Total # of bars in winners:</TH><TD>1925</TD><TD> </TD><TH>Total # of bars in losers:</TH><TD>1287</TD></TR> <TR><TH>Commissions paid in winners:</TH><TD>2820.00</TD><TD> </TD><TH>Commissions paid in losers:</TH><TD>2490.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Largest winning trade:</TH><TD>1570.00</TD><TD> </TD><TH>Largest losing trade:</TH><TD>-1255.00</TD></TR> <TR><TH># of bars in largest winner:</TH><TD>24</TD><TD> </TD><TH># bars in largest loser:</TH><TD>5</TD></TR> <TR><TH>Commission paid in largest winner:</TH><TD>30.00</TD><TD> </TD><TH>Commission paid in largest loser:</TH><TD>30.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Average winning trade:</TH><TD>490.35</TD><TD> </TD><TH>Average losing trade:</TH><TD>-386.93</TD></TR> <TR><TH>Avg. # of bars in winners:</TH><TD> 20.5</TD><TD> </TD><TH>Avg. # bars in losers:</TH><TD> 15.5</TD></TR> <TR><TH>Avg. commission paid in winner:</TH><TD>30.00</TD><TD> </TD><TH>Avg. commission paid in loser:</TH><TD>30.00</TD></TR> <TR><TH>Max consec. winners:</TH><TD>7</TD><TD> </TD><TH>Max consec. losers:</TH><TD>6</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Bars out of the market:</TH><TD>985</TD><TD> </TD><TH>Interest earned:</TH><TD>0.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Exposure:</TH><TD>76.3%</TD><TD> </TD><TH>Risk adjusted ann. return:</TH><TD>1117.12%</TD></TR> <TR><TH>Ratio avg win/avg loss:</TH><TD>1.27</TD><TD> </TD><TH>Avg. trade (win & loss):</TH><TD>78.97</TD></TR> <TR><TH>Profit factor:</TH><TD>1.44</TD><TD> </TD><TH></TH><TD></TD></TR></TABLE><P> <P> </BODY>
hhv 1.008 and llv .9955 See below for stats wdbaker <HEAD> <TITLE>AmiBroker System Test Report</TITLE><STYLE> <!-- BODY { font-family:"Tahoma,Arial,Helvetica,Sans Serif"; font-size:8pt; } TD { font-size:8pt; text-align: right; } TH { font-size:8pt; text-align: left; font-weight:normal; } .BIG { font-size:10pt; font-weight:bold; text-align: center; } --> </STYLE></HEAD> <BODY> <TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Settings</TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Initial Equity:</TH><TD>5000</TD><TD></TD><TH>Periodicity/Positions:</TD><TD>30 minute/Long Short</TD></TR> <TR><TH>Commissions:</TH><TD>15.00 per share</TD><TD></TD><TH>Annual interest rate:</TH><TD>0.00%</TD></TR> <TR><TH>Range:</TH><TD>All quotations</TD><TD></TD><TH>Apply to:</TH><TD>Current Symbol</TD></TR><TR><TH>Margin requirement:</TH><TD>100</TD><TD></TD><TH>Futures mode:</TH><TD>Yes</TD></TR> <TR><TH>Def. round lot size:</TH><TD>1</TD><TD></TD><TH>Def. Tick Size</TH><TD>0.25</TD></TR> <TR><TH>Drawdowns based on:</TH><TD>High/Low prices</TD><TD></TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5><b>Long trades</b></TH></TR> <TR><TH>Buy price:</TH><TD>Close</TD><TD></TD><TH>Sell price:</TD><TD>Close</TD></TR> <TR><TH>Buy delay:</TH><TD>0</TD><TD></TD><TH>Sell delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Short trades</b></TH></TR> <TR><TH>Short price:</TH><TD>Close</TD><TD></TD><TH>Cover price:</TD><TD>Close</TD></TR> <TR><TH>Short delay:</TH><TD>0</TD><TD></TD><TH>Cover delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Stops</b></TH></TR> <TR><TH>Maximum loss:</TH><TD>disabled</TD><TD></TD><TH>Profit target:</TD><TD>disabled</TD></TR> <TR><TH>Value:</TH><TD>2.00</TD><TD></TD><TH>Value:</TD><TD>0.00</TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH>Exit at stop?</TD><TD>no</TD></TR> <TR><TD colspan=5> </TD></TR><TR><TH>Trailing stop:</TH><TD>disabled</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Value:</TH><TD>0.00</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH> </TD><TD> </TD></TR> </TABLE><P><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Formula</TH></TR> </TABLE><PRE>Filter=(TimeNum()>093400 AND TimeNum()<=113400) OR (TimeNum()>013400 AND TimeNum()<=155500);//TimeNum()<=113400) OR (TimeNum()>013400 AND PositionSize=2500; x=Optimize("x",1.008,1,1.01,.0005); y=Optimize("y",.9955,.99,1,.0005); Buy=Filter AND C>(Ref(HHV(C,1),-1)*(x)) ; Sell=C<(Ref(LLV(C,1),-1)*(y)) OR TimeNum()>155500; Short=Filter AND C<(Ref(LLV(C,1),-1)*(y)); Cover=C>(Ref(HHV(C,1),-1)*(x))OR TimeNum()>155500; </PRE><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Performance for ES1min </TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total net profit:</TH><TD>14032.50</TD><TD> </TD><TH>Total commissions paid:</TH><TD>3630.00</TD></TR> <TR><TH>Return on account:</TH><TD>280.65 % </TD><TD> </TD><TH>Open position gain/loss</TH><TD>0.00</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-15517.50</TD><TD> </TD><TH>Bars (days) in test:</TH><TD>2079 (216)</TD></TR> <TR><TH>Buy&Hold % return:</TH><TD>-310.35%</TD><TD> </TD><TH>System to Buy&Hold index:</TH><TD>190.43%</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Annual system % return:</TD><TD>857.15%</TD><TD> </TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>System drawdown:</TH><TD>-375.00</TD><TD> </TD><TH>B&H drawdown:</TH><TD>-18512.50</TD></TR> <TR><TH>Max. system drawdown:</TH><TD>-4095.00</TD><TD> </TD><TH>B&H max. drawdown:</TH><TD>-20262.50</TD></TR> <TR><TH>Max. system % drawdown:</TH><TD>-28.63%</TD><TD> </TD><TH>B&H max. % drawdown:</TH><TD>-393.21%</TD></TR> <TR><TH>Max. trade drawdown:</TH><TD>-1700.00</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Max. trade % drawdown:</TH><TD>-24.15%</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Trade drawdown:</TH><TD>-1162.50</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total number of trades:</TH><TD>121</TD><TD> </TD><TH>Percent profitable:</TH><TD>59.5%</TD></TR> <TR><TH>Number winning trades:</TH><TD>72</TD><TD> </TD><TH>Number losing trades:</TH><TD>49</TD></TR> <TR><TH>Profit of winners:</TH><TD>34640.00</TD><TD> </TD><TH>Loss of losers:</TH><TD>-20607.50</TD></TR> <TR><TH>Total # of bars in winners:</TH><TD>678</TD><TD> </TD><TH>Total # of bars in losers:</TH><TD>354</TD></TR> <TR><TH>Commissions paid in winners:</TH><TD>2160.00</TD><TD> </TD><TH>Commissions paid in losers:</TH><TD>1470.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Largest winning trade:</TH><TD>2507.50</TD><TD> </TD><TH>Largest losing trade:</TH><TD>-1142.50</TD></TR> <TR><TH># of bars in largest winner:</TH><TD>11</TD><TD> </TD><TH># bars in largest loser:</TH><TD>10</TD></TR> <TR><TH>Commission paid in largest winner:</TH><TD>30.00</TD><TD> </TD><TH>Commission paid in largest loser:</TH><TD>30.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Average winning trade:</TH><TD>481.11</TD><TD> </TD><TH>Average losing trade:</TH><TD>-420.56</TD></TR> <TR><TH>Avg. # of bars in winners:</TH><TD> 9.4</TD><TD> </TD><TH>Avg. # bars in losers:</TH><TD> 7.2</TD></TR> <TR><TH>Avg. commission paid in winner:</TH><TD>30.00</TD><TD> </TD><TH>Avg. commission paid in loser:</TH><TD>30.00</TD></TR> <TR><TH>Max consec. winners:</TH><TD>7</TD><TD> </TD><TH>Max consec. losers:</TH><TD>5</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Bars out of the market:</TH><TD>1077</TD><TD> </TD><TH>Interest earned:</TH><TD>0.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Exposure:</TH><TD>48.2%</TD><TD> </TD><TH>Risk adjusted ann. return:</TH><TD>1778.46%</TD></TR> <TR><TH>Ratio avg win/avg loss:</TH><TD>1.14</TD><TD> </TD><TH>Avg. trade (win & loss):</TH><TD>115.97</TD></TR> <TR><TH>Profit factor:</TH><TD>1.68</TD><TD> </TD><TH></TH><TD></TD></TR></TABLE><P> <P> </BODY>
hhv 1.0075 and llv .9975 See below for stats wdbaker <HEAD> <TITLE>AmiBroker System Test Report</TITLE><STYLE> <!-- BODY { font-family:"Tahoma,Arial,Helvetica,Sans Serif"; font-size:8pt; } TD { font-size:8pt; text-align: right; } TH { font-size:8pt; text-align: left; font-weight:normal; } .BIG { font-size:10pt; font-weight:bold; text-align: center; } --> </STYLE></HEAD> <BODY> <TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Settings</TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Initial Equity:</TH><TD>5000</TD><TD></TD><TH>Periodicity/Positions:</TD><TD>60 minute/Long Short</TD></TR> <TR><TH>Commissions:</TH><TD>15.00 per share</TD><TD></TD><TH>Annual interest rate:</TH><TD>0.00%</TD></TR> <TR><TH>Range:</TH><TD>All quotations</TD><TD></TD><TH>Apply to:</TH><TD>Current Symbol</TD></TR><TR><TH>Margin requirement:</TH><TD>100</TD><TD></TD><TH>Futures mode:</TH><TD>Yes</TD></TR> <TR><TH>Def. round lot size:</TH><TD>1</TD><TD></TD><TH>Def. Tick Size</TH><TD>0.25</TD></TR> <TR><TH>Drawdowns based on:</TH><TD>High/Low prices</TD><TD></TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5><b>Long trades</b></TH></TR> <TR><TH>Buy price:</TH><TD>Close</TD><TD></TD><TH>Sell price:</TD><TD>Close</TD></TR> <TR><TH>Buy delay:</TH><TD>0</TD><TD></TD><TH>Sell delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Short trades</b></TH></TR> <TR><TH>Short price:</TH><TD>Close</TD><TD></TD><TH>Cover price:</TD><TD>Close</TD></TR> <TR><TH>Short delay:</TH><TD>0</TD><TD></TD><TH>Cover delay:</TD><TD>0</TD></TR> <TR><TH COLSPAN=5><b>Stops</b></TH></TR> <TR><TH>Maximum loss:</TH><TD>disabled</TD><TD></TD><TH>Profit target:</TD><TD>disabled</TD></TR> <TR><TH>Value:</TH><TD>2.00</TD><TD></TD><TH>Value:</TD><TD>0.00</TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH>Exit at stop?</TD><TD>no</TD></TR> <TR><TD colspan=5> </TD></TR><TR><TH>Trailing stop:</TH><TD>disabled</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Value:</TH><TD>0.00</TD><TD></TD><TH> </TD><TD> </TD></TR> <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH> </TD><TD> </TD></TR> </TABLE><P><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Formula</TH></TR> </TABLE><PRE>Filter=(TimeNum()>093400 AND TimeNum()<=113400) OR (TimeNum()>013400 AND TimeNum()<=155500);//TimeNum()<=113400) OR (TimeNum()>013400 AND PositionSize=2500; x=Optimize("x",1.0075,1,1.01,.0005); y=Optimize("y",.9975,.99,1,.0005); Buy=Filter AND C>(Ref(HHV(C,1),-1)*(x)) ; Sell=C<(Ref(LLV(C,1),-1)*(y)) OR TimeNum()>155500; Short=Filter AND C<(Ref(LLV(C,1),-1)*(y)); Cover=C>(Ref(HHV(C,1),-1)*(x))OR TimeNum()>155500; </PRE><TABLE CELLSPACING=2 WIDTH=100%> <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Performance for ES1min </TH></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total net profit:</TH><TD>11190.00</TD><TD> </TD><TH>Total commissions paid:</TH><TD>4860.00</TD></TR> <TR><TH>Return on account:</TH><TD>223.80 % </TD><TD> </TD><TH>Open position gain/loss</TH><TD>0.00</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-15517.50</TD><TD> </TD><TH>Bars (days) in test:</TH><TD>1188 (216)</TD></TR> <TR><TH>Buy&Hold % return:</TH><TD>-310.35%</TD><TD> </TD><TH>System to Buy&Hold index:</TH><TD>172.11%</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Annual system % return:</TD><TD>628.24%</TD><TD> </TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>System drawdown:</TH><TD>-1310.00</TD><TD> </TD><TH>B&H drawdown:</TH><TD>-18512.50</TD></TR> <TR><TH>Max. system drawdown:</TH><TD>-4212.50</TD><TD> </TD><TH>B&H max. drawdown:</TH><TD>-20262.50</TD></TR> <TR><TH>Max. system % drawdown:</TH><TD>-29.08%</TD><TD> </TD><TH>B&H max. % drawdown:</TH><TD>-393.21%</TD></TR> <TR><TH>Max. trade drawdown:</TH><TD>-2150.00</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Max. trade % drawdown:</TH><TD>-20.49%</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH>Trade drawdown:</TH><TD>-1100.00</TD><TD> </TD><TH> </TH><TD> </TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Total number of trades:</TH><TD>162</TD><TD> </TD><TH>Percent profitable:</TH><TD>51.9%</TD></TR> <TR><TH>Number winning trades:</TH><TD>84</TD><TD> </TD><TH>Number losing trades:</TH><TD>78</TD></TR> <TR><TH>Profit of winners:</TH><TD>41330.00</TD><TD> </TD><TH>Loss of losers:</TH><TD>-30140.00</TD></TR> <TR><TH>Total # of bars in winners:</TH><TD>462</TD><TD> </TD><TH>Total # of bars in losers:</TH><TD>340</TD></TR> <TR><TH>Commissions paid in winners:</TH><TD>2520.00</TD><TD> </TD><TH>Commissions paid in losers:</TH><TD>2340.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Largest winning trade:</TH><TD>1507.50</TD><TD> </TD><TH>Largest losing trade:</TH><TD>-830.00</TD></TR> <TR><TH># of bars in largest winner:</TH><TD>7</TD><TD> </TD><TH># bars in largest loser:</TH><TD>5</TD></TR> <TR><TH>Commission paid in largest winner:</TH><TD>30.00</TD><TD> </TD><TH>Commission paid in largest loser:</TH><TD>30.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Average winning trade:</TH><TD>492.02</TD><TD> </TD><TH>Average losing trade:</TH><TD>-386.41</TD></TR> <TR><TH>Avg. # of bars in winners:</TH><TD> 5.5</TD><TD> </TD><TH>Avg. # bars in losers:</TH><TD> 4.4</TD></TR> <TR><TH>Avg. commission paid in winner:</TH><TD>30.00</TD><TD> </TD><TH>Avg. commission paid in loser:</TH><TD>30.00</TD></TR> <TR><TH>Max consec. winners:</TH><TD>7</TD><TD> </TD><TH>Max consec. losers:</TH><TD>4</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Bars out of the market:</TH><TD>420</TD><TD> </TD><TH>Interest earned:</TH><TD>0.00</TD></TR> <TR><TH COLSPAN=5> </TH></TR> <TR><TH>Exposure:</TH><TD>64.6%</TD><TD> </TD><TH>Risk adjusted ann. return:</TH><TD>971.81%</TD></TR> <TR><TH>Ratio avg win/avg loss:</TH><TD>1.27</TD><TD> </TD><TH>Avg. trade (win & loss):</TH><TD>69.07</TD></TR> <TR><TH>Profit factor:</TH><TD>1.37</TD><TD> </TD><TH></TH><TD></TD></TR></TABLE><P> <P> </BODY>