SP trend following System

Discussion in 'Strategy Building' started by acrary, Oct 14, 2002.

  1. How about accounting for slippage -- trading ES using intraday stops will result in substantial slippage.
     
    #11     Oct 15, 2002
  2. ddefina

    ddefina

    It will?? I never experience slippage on 5 contracts or less using simulated market order stops intraday. What do you mean exactly? I bet you could do 50-100 contracts with zero to 1 tick of slippage.
     
    #12     Oct 15, 2002
  3. wdbaker

    wdbaker

    If you read above I said that I used $30 per RT to account for slippage and commissions. It shows up in the report as $15 comm per trade.

    Thanks
    wdbaker
     
    #13     Oct 15, 2002
  4. wdbaker

    wdbaker

    In my code I used the current close plus the past 15, if that was supposed to mean the current close plus the past 14 for a total of 15 then just change my code to ref(hhv(close,14),-1). When I changed from 15 to 14 it did a little better,

    See Below

    <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>&nbsp;</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>&nbsp;</TH><TD>&nbsp;</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>0.00</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>&nbsp;</TD></TR><TR><TH>Trailing stop:</TH><TD>disabled</TD><TD></TD><TH>&nbsp;</TD><TD>&nbsp;</TD></TR>
    <TR><TH>Value:</TH><TD>0.00</TD><TD></TD><TH>&nbsp;</TD><TD>&nbsp;</TD></TR>
    <TR><TH>Exit at stop?</TH><TD>no</TD><TD></TD><TH>&nbsp;</TD><TD>&nbsp;</TD></TR>
    </TABLE><P><TABLE CELLSPACING=2 WIDTH=100%>
    <TR bgcolor="#CCCCCC"><TH COLSPAN=5 CLASS="BIG" >Formula</TH></TR>
    </TABLE><PRE>
    Filter=TimeNum()&gt;=080000 AND TimeNum()&lt;=150000;
    PositionSize=2500;

    test1=ADX(14)&lt;25 AND Close&gt;Ref(HHV(Close,14),-1);
    test2=ADX(14)&lt;25 AND Close&lt;Ref(LLV(Close,14),-1);

    //*Buy___________________________________*//

    Buy=test1 ;
    Sell=Close&lt;Ref(LLV(Close,5),-1);

    //*Sell___________________________________*//

    Short=test2 ;
    Cover=Close&gt;Ref(HHV(Close,5),-1);
    </PRE><TABLE CELLSPACING=2 WIDTH=100%>
    <TR bgcolor="#CCCCCC"><TH COLSPAN=5 class="BIG">Overall performance summary</TH></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Total net profit:</TH><TD>18620.00</TD><TD>&nbsp;</TD><TH>Total commissions paid:</TH><TD>7890.00</TD></TR>
    <TR><TH>Return on account:</TH><TD>372.40 %
    </TD><TD>&nbsp;</TD><TH>Open position gain/loss</TH><TD>7.50</TD></TR><TR><TH>Buy&Hold profit:</TH><TD>-17280.00</TD><TD>&nbsp;</TD><TH>Bars (avg. days) in test:</TH><TD>5642 (553)</TD></TR>
    <TR><TH>Buy&Hold % return:</TH><TD>-345.60%</TD><TD>&nbsp;</TD><TH>System to Buy&Hold index:</TH><TD>207.75%</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Annual system % return:</TD><TD>178.66%</TD><TD>&nbsp;</TD><TH>Annual B&H % return:</TH><TD> N/A </TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>System drawdown:</TH><TD>-2470.00</TD><TD>&nbsp;</TD><TH>B&H drawdown:</TH><TD>-21350.00</TD></TR>
    <TR><TH>Max. system drawdown:</TH><TD>-5882.50</TD><TD>&nbsp;</TD><TH>B&H max. drawdown:</TH><TD>-23687.50</TD></TR>
    <TR><TH>Max. system % drawdown:</TH><TD>-50.87%</TD><TD>&nbsp;</TD><TH>B&H max. % drawdown:</TH><TD>-458.07%</TD></TR>
    <TR><TH>Max. trade drawdown:</TH><TD>-5500.00</TD><TD>&nbsp;</TD><TH>&nbsp;</TH><TD>&nbsp;</TD></TR>
    <TR><TH>Max. trade % drawdown:</TH><TD>-50.01%</TD><TD>&nbsp;</TD><TH>&nbsp;</TH><TD>&nbsp;</TD></TR>
    <TR><TH>Trade drawdown:</TH><TD>-1150.00</TD><TD>&nbsp;</TD><TH>&nbsp;</TH><TD>&nbsp;</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Total number of trades:</TH><TD>263</TD><TD>&nbsp;</TD><TH>Percent profitable:</TH><TD>42.6%</TD></TR>
    <TR><TH>Number winning trades:</TH><TD>112</TD><TD>&nbsp;</TD><TH>Number losing trades:</TH><TD>151</TD></TR>
    <TR><TH>Profit of winners:</TH><TD>66402.50</TD><TD>&nbsp;</TD><TH>Loss of losers:</TH><TD>-47805.00</TD></TR>
    <TR><TH>Total # of bars in winners:</TH><TD>1823</TD><TD>&nbsp;</TD><TH>Total # of bars in losers:</TH><TD>985</TD></TR>
    <TR><TH>Commissions paid in winners:</TH><TD>3360.00</TD><TD>&nbsp;</TD><TH>Commissions paid in losers:</TH><TD>4530.00</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Largest winning trade:</TH><TD>2682.50</TD><TD>&nbsp;</TD><TH>Largest losing trade:</TH><TD>-955.00</TD></TR>
    <TR><TH># of bars in largest winner:</TH><TD>38</TD><TD>&nbsp;</TD><TH># bars in largest loser:</TH><TD>7</TD></TR>
    <TR><TH>Commission paid in largest winner:</TH><TD>30.00</TD><TD>&nbsp;</TD><TH>Commission paid in largest loser:</TH><TD>30.00</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Average winning trade:</TH><TD>592.88</TD><TD>&nbsp;</TD><TH>Average losing trade:</TH><TD>-316.59</TD></TR>
    <TR><TH>Avg. # of bars in winners:</TH><TD> 16.3</TD><TD>&nbsp;</TD><TH>Avg. # bars in losers:</TH><TD> 6.5</TD></TR>
    <TR><TH>Avg. commission paid in winner:</TH><TD>30.00</TD><TD>&nbsp;</TD><TH>Avg. commission paid in loser:</TH><TD>30.00</TD></TR>
    <TR><TH>Max consec. winners:</TH><TD>7</TD><TD>&nbsp;</TD><TH>Max consec. losers:</TH><TD>7</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Bars out of the market:</TH><TD>2851</TD><TD>&nbsp;</TD><TH>Interest earned:</TH><TD>0.00</TD></TR>
    <TR><TH COLSPAN=5>&nbsp;</TH></TR>
    <TR><TH>Exposure:</TH><TD>49.5%</TD><TD>&nbsp;</TD><TH>Risk adjusted ann. return:</TH><TD>361.15%</TD></TR>
    <TR><TH>Ratio avg win/avg loss:</TH><TD>1.87</TD><TD>&nbsp;</TD><TH>Avg. trade (win & loss):</TH><TD>70.71</TD></TR>
    <TR><TH>Profit factor:</TH><TD>1.39</TD><TD>&nbsp;</TD><TH></TH><TD></TD></TR></TABLE>
     
    #14     Oct 15, 2002
  5. dozu888

    dozu888


    what is the starting/end time of this curve ?
     
    #15     Oct 15, 2002
  6. ddefina

    ddefina

    #16     Oct 15, 2002
  7. mgkrebs

    mgkrebs

    $30 / trade c&s
    $800 trailing stop
    1 es contract
     
    • 000.xls
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    #17     Oct 15, 2002
  8. wdbaker

    wdbaker

    12/7/00 to 6/12/02

    wdbaker
     
    #18     Oct 15, 2002
  9. MISSSNP

    MISSSNP

    with re to your testing of this breakout 30 min system from 12/00 to 6/02 could you post the results of your "winning intraday system" that you made reference to in an earlier post on this same data span(12/00 to 6/02), but use 15 minute data.

    (make sure you use $50 per point for the es, $30 commission and slippage).

    Paula
     
    #19     Oct 15, 2002
  10. mgkrebs

    mgkrebs

    Do you want fries with that?
     
    #20     Oct 15, 2002