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RE: [system-traders] Three Moving Averages
Excellent - that's got me started.
Just two other questions. I've attached the output of the backtest
results and I'm not sure of a couple of things in it.
1. What's the difference between the Net Gain and the Gross Gain. My
results have a Net Gain of $8760.96 and a Gross Gain of $12135.95. I can
see that the Net Gain is the sum of the gains minus the sum of the
losses but I don't know what the Gross Gain represents.
2. Buy and Hold strategy figures don't look quite accurate but again I'm
not sure what they represent. It says there was a MaxDrawDown for B&H of
about 238% but I don't see anything that bad in the 5 years worth of
data I have.
Many thanks
Craig
-----Original Message-----
From: Oliver Bossert [mailto:olf
AT
olfsworld.de]
Sent: Wednesday, 15 June 2005 5:04 PM
To: system-traders
AT
geniustrader.org
Subject: Re: [system-traders] Three Moving Averages
Hi,
> Basically I'm trying to setup a Three Moving Averages system. I'm
> going to start with a 5, 15 and 30 day simple moving average. I'll
> open a long position when the 15 day SMA crosses above the 30 day SMA
> and the close price of the security is above the 5 day SMA. I'll close
> the long position when the 5 day SMA crosses below the 15 day SMA.
> That's basically it. Can someone give me the correct syntax for what I
> type in the [XXXX] above to represent this system. Once I see it I'll
> be able to work out the opening of a short position with the same
> rules. I'll use Basic MoneyManagement to start with so I can see how
the system works.
./backtest.pl 500340 --system="Generic {S:Generic:CrossOverUp {I:SMA 15}
{I:SMA 30}}" --close-strategy="Generic {S:Generic:CrossOverDown {I:SMA
5} {I:SMA 15}}"
CU, Olf
--
Visit my world: http://www.olfsworld.de
## Analysis of SY:Generic {S:Generic:CrossOverUp {I:EMA 15 {I:Prices CLOSE}} {I:EMA 30 {I:Prices CLOSE}}}|CS:Generic {S:Generic:CrossOverDown {I:EMA 5 {I:Prices CLOSE}} {I:EMA 15 {I:Prices CLOSE}}} {S:Generic:False }|MM:Basic
History of the portfolio :
--------------------------
Long position (0) on NATIONAL AUSTRALIA BANK LIMITED (3)
2000-03-28 Buy 758 at 13.1800
2000-07-07 Sell 758 at 18.2500
Long position (1) on NATIONAL AUSTRALIA BANK LIMITED (3)
2000-08-16 Buy 764 at 17.9400
2000-09-07 Sell 764 at 17.6200
Long position (2) on NATIONAL AUSTRALIA BANK LIMITED (3)
2000-10-04 Buy 710 at 18.7700
2000-12-14 Sell 710 at 21.5600
Long position (3) on NATIONAL AUSTRALIA BANK LIMITED (3)
2001-01-29 Buy 674 at 22.5700
2001-02-15 Sell 674 at 22.0600
Long position (4) on NATIONAL AUSTRALIA BANK LIMITED (3)
2001-04-10 Buy 655 at 22.3600
2001-04-17 Sell 655 at 21.8350
Long position (5) on NATIONAL AUSTRALIA BANK LIMITED (3)
2001-04-24 Buy 631 at 22.6390
2001-07-04 Sell 631 at 26.8890
Long position (6) on NATIONAL AUSTRALIA BANK LIMITED (3)
2001-07-17 Buy 627 at 26.6300
2001-07-27 Sell 627 at 25.8300
Long position (7) on NATIONAL AUSTRALIA BANK LIMITED (3)
2001-08-03 Buy 586 at 27.2230
2001-08-21 Sell 586 at 26.8800
Long position (8) on NATIONAL AUSTRALIA BANK LIMITED (3)
2001-10-23 Buy 681 at 23.3410
2001-12-07 Sell 681 at 25.6030
Long position (9) on NATIONAL AUSTRALIA BANK LIMITED (3)
2002-04-26 Buy 581 at 29.6100
2002-06-21 Sell 581 at 30.3300
Long position (10) on NATIONAL AUSTRALIA BANK LIMITED (3)
2002-08-14 Buy 582 at 29.4800
2002-09-26 Sell 582 at 29.7400
Long position (11) on NATIONAL AUSTRALIA BANK LIMITED (3)
2002-11-27 Buy 594 at 28.8800
2002-12-11 Sell 594 at 28.0800
Long position (12) on NATIONAL AUSTRALIA BANK LIMITED (3)
2003-01-28 Buy 588 at 27.9600
2003-01-29 Sell 588 at 28.0600
Long position (13) on NATIONAL AUSTRALIA BANK LIMITED (3)
2003-03-25 Buy 618 at 26.5300
2003-05-05 Sell 618 at 27.9400
Long position (14) on NATIONAL AUSTRALIA BANK LIMITED (3)
2003-08-18 Buy 583 at 29.6300
2003-08-21 Sell 583 at 29.0800
Long position (15) on NATIONAL AUSTRALIA BANK LIMITED (3)
2003-12-10 Buy 608 at 27.4300
2003-12-22 Sell 608 at 27.0600
Long position (16) on NATIONAL AUSTRALIA BANK LIMITED (3)
2004-01-29 Buy 587 at 27.7200
2004-03-26 Sell 587 at 28.6700
Long position (17) on NATIONAL AUSTRALIA BANK LIMITED (3)
2004-06-04 Buy 603 at 27.8100
2004-07-15 Sell 603 at 26.8500
Long position (18) on NATIONAL AUSTRALIA BANK LIMITED (3)
2004-10-06 Buy 629 at 25.5400
2005-02-21 Sell 629 at 28.6700
Long position (19) on NATIONAL AUSTRALIA BANK LIMITED (3)
2005-03-17 Buy 622 at 28.6600
2005-03-21 Sell 622 at 28.3600
Long position (20) on NATIONAL AUSTRALIA BANK LIMITED (3)
2005-05-02 Buy 616 at 28.5000
2005-06-06 Sell 616 at 30.9100
## Global analysis (full portfolio always invested)
Analysis of the portfolio (2000-01-03 / 2005-06-06) :
-----------------------------------------------------
Performance : 87.6% ( 11.9%) Buy & Hold : 104.3% ( 13.6%) () => by year
MaxDrawDown : 7.6% B&H MaxDrawDown : 238.0%
Best performance : 87.6% Worst performance : 0.0%
Net gain : 8760.96 Gross gain : 12135.95
Trades statistics :
Number of trades : 21 Trades/Year : 3.87
Number of gains : 9 Number of losses : 12 Win. ratio : 42.9%
Max consec. win : 2 Max consec. loss : 3 Expectancy : 0.03
Average gain : 11.13% Average loss : -2.65% Avg. perf : 3.04%
Biggest gain : 37.41% Biggest loss : -4.44% Profit fac : 4.20
Sum of gains : 13906.18 Sum of losses : -5145.22 Risk of ruin : 4.4%