ALL: GSGCOS Results-Stop/Profit Levels, Next Day Open.
Here are system results for open next day trades. There were 4 test run:
Next Day Open, 1X, Highest Profit.
Next Day Open, 2x, Highest Profit.
Next Day Open, 1X, Lowest Max System Drawdown
Next Day Open, 2X, Lowest Max System Drawdown.
I have sweeped this over a stop loss of 2 to 30% and a profit target of 2 to 30%.
Also, at the bottom, I will post the AmiBroker code and the system settings.
Next Day Open, 1X, Highest Profit
Stop Level = 30%
Profit Level = 30%
Performance for ^NDX
Total net profit: 891599.53 Total commissions paid: 0.00
Return on account: 8916.00 % Open position gain/loss -24622.90
Buy&Hold profit: 18601.43 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 186.01% System to Buy&Hold index: 4693.18%
Annual system % return: 56.84% Annual B&H % return: 11.08%
System drawdown: -879.27 B&H drawdown: -725.58
Max. system drawdown: -122717.06 B&H max. drawdown: -67682.87
Max. system % drawdown: -35.50% B&H max. % drawdown: -82.90%
Max. trade drawdown: -104860.26
Max. trade % drawdown: -25.46%
Trade drawdown: -75269.32
Total number of trades: 374 Percent profitable: 52.1%
Number winning trades: 195 Number losing trades: 179
Profit of winners: 1997593.30 Loss of losers: -1081370.87
Total # of bars in winners: 1672 Total # of bars in losers: 980
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 102439.15 Largest losing trade: -48546.78
# of bars in largest winner: 20 # bars in largest loser: 24
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 10244.07 Average losing trade: -6041.18
Avg. # of bars in winners: 8.6 Avg. # bars in losers: 5.5
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 8 Max consec. losers: 8
Bars out of the market: 212 Interest earned: 0.00
Exposure: 91.6% Risk adjusted ann. return: 62.06%
Ratio avg win/avg loss: 1.70 Avg. trade (win & loss): 2449.79
Profit factor: 1.85
Next Day Open, 2X, Highest Profit
Stop Level = 30%
Profit Level = 30%
Performance for ^NDX
Total net profit: 28217332.19 Total commissions paid: 0.00
Return on account: 282173.32 % Open position gain/loss -1585079.47
Buy&Hold profit: 37202.85 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 372.03% System to Buy&Hold index: 75747.22%
Annual system % return: 121.30% Annual B&H % return: 16.78%
System drawdown: -1758.54 B&H drawdown: -1451.16
Max. system drawdown: -5846007.94 B&H max. drawdown: -135365.74
Max. system % drawdown: -63.85% B&H max. % drawdown: -165.79%
Max. trade drawdown: -3958845.89
Max. trade % drawdown: -50.91%
Trade drawdown: -2538637.77
Total number of trades: 374 Percent profitable: 52.1%
Number winning trades: 195 Number losing trades: 179
Profit of winners: 73122836.92 Loss of losers: -43320425.26
Total # of bars in winners: 1672 Total # of bars in losers: 980
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 4148720.39 Largest losing trade: -2430214.51
# of bars in largest winner: 59 # bars in largest loser: 42
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 374988.91 Average losing trade: -242013.55
Avg. # of bars in winners: 8.6 Avg. # bars in losers: 5.5
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 8 Max consec. losers: 8
Bars out of the market: 212 Interest earned: 0.00
Exposure: 91.6% Risk adjusted ann. return: 132.44%
Ratio avg win/avg loss: 1.55 Avg. trade (win & loss): 79685.59
Profit factor: 1.69
Next Day Open, 1X, Lowest Max System Drawdown.
Stop Level = 8%
Profit Level = 2%
Performance for ^NDX
Total net profit: 60194.22 Total commissions paid: 0.00
Return on account: 601.94 % Open position gain/loss -1917.02
Buy&Hold profit: 18601.43 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 186.01% System to Buy&Hold index: 223.60%
Annual system % return: 21.51% Annual B&H % return: 11.08%
System drawdown: -889.97 B&H drawdown: -725.58
Max. system drawdown: -7058.10 B&H max. drawdown: -67682.87
Max. system % drawdown: -17.56% B&H max. % drawdown: -82.90%
Max. trade drawdown: -3829.12
Max. trade % drawdown: -9.86%
Trade drawdown: -4272.70
Total number of trades: 374 Percent profitable: 62.3%
Number winning trades: 233 Number losing trades: 141
Profit of winners: 149782.01 Loss of losers: -87670.77
Total # of bars in winners: 686 Total # of bars in losers: 483
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 4028.73 Largest losing trade: -4218.74
# of bars in largest winner: 2 # bars in largest loser: 15
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 642.84 Average losing trade: -621.78
Avg. # of bars in winners: 2.9 Avg. # bars in losers: 3.4
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 10 Max consec. losers: 7
Bars out of the market: 1515 Interest earned: 0.00
Exposure: 39.9% Risk adjusted ann. return: 53.96%
Ratio avg win/avg loss: 1.03 Avg. trade (win & loss): 166.07
Profit factor: 1.71
Next Day Open, 2X, Lowest Max System Drawdown.
Stop Level = 8%
Profit Level = 2%
Performance for ^NDX
Total net profit: 360494.07 Total commissions paid: 0.00
Return on account: 3604.94 % Open position gain/loss -20804.75
Buy&Hold profit: 37202.85 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 372.03% System to Buy&Hold index: 869.00%
Annual system % return: 43.49% Annual B&H % return: 16.78%
System drawdown: -1764.09 B&H drawdown: -1451.16
Max. system drawdown: -61584.58 B&H max. drawdown: -135365.74
Max. system % drawdown: -32.88% B&H max. % drawdown: -165.79%
Max. trade drawdown: -32371.29
Max. trade % drawdown: -19.71%
Trade drawdown: -35396.38
Total number of trades: 374 Percent profitable: 62.3%
Number winning trades: 233 Number losing trades: 141
Profit of winners: 973075.13 Loss of losers: -591776.31
Total # of bars in winners: 686 Total # of bars in losers: 483
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 20610.85 Largest losing trade: -34949.34
# of bars in largest winner: 2 # bars in largest loser: 15
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00
Average winning trade: 4176.29 Average losing trade: -4197.00
Avg. # of bars in winners: 2.9 Avg. # bars in losers: 3.4
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 10 Max consec. losers: 7
Bars out of the market: 1515 Interest earned: 0.00
Exposure: 39.9% Risk adjusted ann. return: 109.13%
Ratio avg win/avg loss: 1.00 Avg. trade (win & loss): 1019.52
Profit factor: 1.64
AmiBroker code and Settings
Settings
Initial Equity: 10000 Periodicity/Positions: Daily/Long Short
Commissions: 0.00 (Use portfolio settings) Annual interest rate: 0.00%
Range: 1/1/1996 00:00:00 - 12/30/2005 Apply to: Current Symbol
Margin requirement: 50 Futures mode: No
Def. round lot size: 0 Def. Tick Size 0
Drawdowns based on: Close prices
Long trades
Buy price: Open Sell price: Open
Buy delay: 1 Sell delay: 1
Short trades
Short price: Open Cover price: Open
Short delay: 1 Cover delay: 1
Stops
Maximum loss: disabled Profit target: disabled
Value: 20.00 Value: 20.00
Exit at stop? no Exit at stop? no
Trailing stop: disabled
Value: 2.00
Exit at stop? no
Formula
data=OscP(5,10);
Bear_mode_a =IIf(data < Ref(data,-1),1,0);
Bear_mode_b = IIf(data >= -1.6 AND data <= 1.6,1,0);
Bear_mode=Bear_mode_a AND Bear_mode_b;
Bull_mode = NOT Bear_mode;
Adv=Foreign("NASDAQ_advn","C");
Dec=Foreign("NASDAQ_decln","C");
diff=1000*((Adv-Dec)/(Adv+Dec));
Osc=EMA(diff,19)-EMA(diff,39);
NASI=19*EMA(diff,39) - 9*EMA(diff,19);
NASI_signal=EMA(NASI,5) > EMA(NASI,24);
NASI_short_signal=EMA(NASI,5) < EMA(NASI,24);
NDX_signal=Close > EMA(Close,10);
RSI_signal_buy=Cross(28,RSI(5));
RSI_signal_sell=Cross(RSI(5),50);
RSI_signal=Flip(RSI_signal_buy,RSI_signal_sell);
RSI_short_signal=RSI(5) > 70;
bull_signal=16*RSI_signal + 8*NDX_signal -4*RSI_short_signal + 2*NASI_signal - 1*NASI_short_signal;
Bull=IIf(bull_signal > 0,1,0);
bear_signal=8*RSI_signal - 4*RSI_short_signal + 2*NASI_signal - 1*NASI_short_signal;
Bear=IIf(bear_signal > 0,1,0);
ApplyStop( 0, 1, Optimize( "stop level", 8, 2, 30, 1 ), 1 );
ApplyStop( 1, 1, Optimize( "profit level", 2, 2, 30, 1 ), 1 );
Buy=IIf(Bull_mode,Bull,Bear);
Sell=NOT Buy;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
Short=Sell;
Cover=Buy;
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