JCPKO automated trading development ws turbo 2000

[jonatanus]

hadanka pre coudyho:

ktory z tychto 2 backtestov je v uptrende a ktory v downtrende:

All trades 17444
Avg. Profit/Loss 0.84%
Avg. Bars Held 11.00
Winners 8179 (46.89 %) Avg. Profit 10.31%
Losers 9265 (53.11 %) Avg. Loss -7.52%

All trades 11756
Avg. Profit/Loss 2.25%
Avg. Bars Held 11.00
Winners 6230 (52.99 %) Avg. Profit 11.20%
Losers 5526 (47.01 %) Avg. Loss -7.85%

[jonatanus]

inac kocinavi preco sa tebe paci to CCIcko? pozri jake kovadiny to ukazuje, slabne (vraca sa k nule) aj v SILNEJUCOM trende

[osamely chodec]

Tak ja ho pouzivam jednoznacne na urcenie a potvrdenie na ktoru stranu obchodovat.Inak ak je CCI50 nad 100 idem do obchodov na long a pri vystupoch pri dlhsich trejdoch ak cci14,cci50 pretne nulovu linku , jasna indikacia zmeny trendu cize exit .Tieto dve sposoby pouzitia ukazuju aj tvoje grafy.Este sa mi paci,ze je zpozdeny oproti Williamsovi, ktory je zas velmi rychly. Teraz zacnem rucne testovat ADX,pretoze tvoje vysledky sa mi zdaju pozoruhodne.

[jonatanus]

Kód: Vybrať všetko

Buy=Close > MA(Close, 200) AND 
Ref(RSI(2), -2) < 65 AND 
Ref(RSI(2), -1) < Ref(RSI(2), -2) AND 
RSI(2) < Ref(RSI(2), -1); 
Sell=Cross(RSI(2), 75); 
PositionSize=100;

All trades 170090
Avg. Profit/Loss 0.71%
Avg. Bars Held 7.29
Winners 116306 (68.38 %) Avg. Profit 3.62%
Losers 53784 (31.62 %) Avg. Loss -5.58%

ten avg profit/loss neni zazracny, ale to win:loss ratio na 170tisic trejdoch

tak tento uzasny system som este vylepsil

Kód: Vybrať všetko

Buy=Cross(25, RSI(2)); 
Sell=Cross(RSI(2), 75); 
PositionSize=100; 

All trades 405547
Avg. Profit/Loss 0.75%
Avg. Bars Held 7.76
Winners 269878 (66.55 %) Avg. Profit 4.44%
Losers 135669 (33.45 %) Avg. Loss -6.60%

uzasnost tohto systemu bude ale mozno v limite amibrokera na pocet pozicii, lebo ten entry signal stoji za hovno ked som ho testoval samostatne...

inac som skusal vseliake zajimave veci a prekvapivo vsetko stalo za hovno

[jonatanus]

kupim som delistovane data a poslednu verziu amibrokeru.

este jednu dolezitu vec som zabudol, hlavny rozdiel medzi listovanymi a delistovanymi datami je performance na $0.00000001 akciach, teda ked to ide uz dovidenia a potom sa stane zazrak a vyskoci to milion %. toto dost kazi statistku.
v kazdom pripade minimum na entry mam cenu $1 a volume ten den musi byt aspon 100tisic aby to bolo aspon trocha pouzitelne (trejdovatelne).

te data vyzeraju slusne, destattisice akcii, trocha som to pofiltroval, teraz mam taketo 3 vzorky:

listovane data: (mam sice od 1985, ale berem 1995-dnes, aby to malo aku-taku vypovednu hodnotu).
5521 akcii (vyhodil som ETF a CEF)
statistika na 10 barovy hold:
samples 7,600,097 (pocet moznych trejdov)
avg profit/loss 0.578935664854283%
win 51.4298435927857%
loss 47.0930963117971%

win/loss mam bez 0, nech je videt co je skutocny win a skutocny loss, takze tam je este 1.6% "nula" performance.
a koli amibroker 1000 positions limitu (naraz otvorenych pozciii), teto vacsie statistiky musim exportovat a preratavat vlastnymi prepocitavatkami.

delistovane data:
11434 akcii
10 barovy hold:
samples 4,366,446
avg profit/loss 0.673805817429035%
win 49.7680951510679%
loss 46.9905502094839%

win/loss je horsi jak na listovanych datach, ale avg profit/loss je trocha lepsi, co moze byt napr. koli akciam co boli delistovane koli tomu ze ich niekdo kupil.

vid teto grafy, to je histogram close ceny (najaktualnejsi bar v historii) v listed a delisted datach...
podiel akcii co konci na $0 (na zaokruhlenej nule, teda 0-0.5) je len 29% a na cene $1 (0.5-1.5) je to 9%.
na listovanych akciach konci (dneska) na $0 3% a na $1 8%.
teda ani ne 1/3 delistovanych akcii zbankrotuje, resp. skonci na "nule".

[jonatanus]

este par grafov k tym samplom... (na vysvetlenie - ked mam 2 akcie a kazda akcia ma 100 barov, tak mam dokopy 200 samplov - miest kde mozem nakupit)

toto prve je histogram cien.. teda kolko % z tych samplov/trejdov je na jakych cenach

v tom az tak velky rozdiel neni, te delistovane su samozrejme vacsie mnozstvo $1. inak by to vyzeralo keby tam boli aj $0 akcie, ale ako som hovoril te som vyhodil, minimalna cena do trejdu co berem je $1. (Buy=.... AND Close>=1 AND Volume>=100000)

ten kopec na konci 100 je tam preto, lebo tam su vsetky ceny 100+.

[jonatanus]

toto su priemerne vykonnsti (10 bar) tych samplov podla cien

tu je jasny ten long-bias v listovanych datach, akcie okolo $1 robia 3%, kdezto v delistovanych je priemer 1.5%, co je logicke kedze akcia ktora sa trejdovala okolo $1 a skrachovala, tam robi zapornu performance (co bude v delistovanych), kdezto v listovanych bude vacsie mnozstvo takych $1 akcii/trejdov, ktore uz sa zdalo ze idu skrachovat a stal sa zazrak a vyskocili na $5 a pod.

zvysok je podobny

[jonatanus]

no a ta tretia vzorka je samozrejme obidve dokopy, listovane aj delistovane, to potom vypada takto:

16,954 akcii
11,966,543 samplov
10 bar exit:
avg profit/loss 0.613552629689427%
win 50.8234917970879%
loss 47.0556784862596%

len uz to uz troska trva... na tom robit backtesty....

[jonatanus]

Rate Of Change
nasiel som prima indikator
All trades 3359
Avg. Profit/Loss 12.85%
Avg. Bars Held 10.99
Winners 1993 (59.33 %) Avg. Profit 34.29%
Losers 1366 (40.67 %) Avg. Loss -18.44%

Kód: Vybrať všetko

Buy=Cross(-50, ROC(Close, 14)); 
Sell=False; 
ApplyStop(stopTypeNBar, stopModeBars, 10); 
PositionSize=100; 

entry: rate of change pod -50%, akorat ze delistovane akcie tu statistiku asi trocha zmenia

Buy=Cross(-50, ROC(Close, 14)) AND Close>=1 AND Volume>=100000;

All trades 7467
Avg. Profit/Loss 9.12%
Avg. Bars Held 23.08 (ma byt 11, amibroker to spatne rata na delistovanych datach, plus je tam par chyb, ale to by nemalo mat vyrazny vplyv)
Winners 4173 (55.89 %) Avg. Profit 31.66%
Losers 3294 (44.11 %) Avg. Loss -19.42%

toto tazko povazovat za indikator co dava buy/sell signaly, nakupovat akcie co padnu 50% sice moze byt profitabilne ale.... asi na to bude treba silne nervy

[jonatanus]

MassIndex
downtrend:
All trades 5225
Avg. Profit/Loss 2.29%
Avg. Bars Held 10.99
Winners 2927 (56.02 %) Avg. Profit 10.26%
Losers 2298 (43.98 %) Avg. Loss -7.86%

ok - uvidime na delistovanych akciach

bez trendovych podmienok to stoji za uplne hovno:
All trades 41888
Avg. Profit/Loss 0.84%
Winners 21375 (51.03 %) Avg. Profit 9.46%
Losers 20513 (48.97 %) Avg. Loss -8.14%

v downtrende by sa aj dalo, keby random v downtrende nebol tiez dobry

NAPRD

[radvan]

toto tazko povazovat za indikator co dava buy/sell signaly, nakupovat akcie co padnu 50% sice moze byt profitabilne ale.... asi na to bude treba silne nervy

da sa to osetrit tym, ze das stopku ze ak ta akcia padne dalsich 5-10% tak ju proste predas ... a drzis sa toho ... ked som testil RSI, tak som to takto robil a zvysuje to performance a znizuje drawdown, plus je to psychicky lepsie ... kupis padajuci noz a ked pada dalej tak ho proste predas a ides dalej ... len to treba robit jak stroj a nedufat (co je ta tazsia cast, kedze ked kupis akciu co padla 50% a poveis si jaka je super lacna a ona padne dalej a je este lacnejsia, tak to chce silnu psychiku predat to ale je to jedina moznost:) ) ...

[jonatanus]

da sa to osetrit tym, ze das stopku ze ak ta akcia padne dalsich 5-10% tak ju proste predas ... a drzis sa toho ... ked som testil RSI, tak som to takto robil a zvysuje to performance a znizuje drawdown, plus je to psychicky lepsie ... kupis padajuci noz a ked pada dalej tak ho proste predas a ides dalej ... len to treba robit jak stroj a nedufat (co je ta tazsia cast, kedze ked kupis akciu co padla 50% a poveis si jaka je super lacna a ona padne dalej a je este lacnejsia, tak to chce silnu psychiku predat to ale je to jedina moznost:) ) ...

1. stopky tomu moc nepomahaju, brutalne klesa win:loss ratio pri 5% aj 10%.. aj avg profit/loss..
a pri avg loss -20% viacej nema vyznam (aj som skusal - nema )

2. pri 3 barovom exite to spravi 6%, pri 5 barovom 7%, pri 7 barovom 8%.. (10 bar je 9%)
exit na RSI(2) > 75
All trades 7678
Avg. Profit/Loss 9.13%
Winners 5008 (65.23 %) Avg. Profit 24.43%
Losers 2670 (34.77 %) Avg. Loss -19.58%

takto to vyzera pri investovani 1% na trejd:
Annual Return % 24.60 %
Max. system % drawdown -28.43 %
Recovery Factor 3.78
CAR/MaxDD 0.87
RAR/MaxDD 4.77
Profit Factor 1.51
Payoff Ratio 1.06
Standard Error 1775670.41
Risk-Reward Ratio 0.86
Ulcer Index 2.70
Ulcer Performance Index 7.10
Sharpe Ratio of trades 0.65
K-Ratio 0.0599

no ale ma to hlavny problem v tom, ze je to vacsinu casu cash a potom sa zacne sypat burza a hned to vsetko nakupi...

takze ine periody (doteraz som to testoval na 14):
Buy=Cross(-50, ROC(Close, 7)) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
All trades 3590
Avg. Profit/Loss 11.71%
Winners 2006 (55.88 %) Avg. Profit 37.08%
Losers 1584 (44.12 %) Avg. Loss -20.43%

Buy=Cross(-50, ROC(Close, 28)) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
All trades 14531
Avg. Profit/Loss 4.54%
Winners 7449 (51.26 %) Avg. Profit 26.49%
Losers 7082 (48.74 %) Avg. Loss -18.55%

takze by to chcelo krastie periody jak dlhsie.

ale system na 1% per trade
Buy=Cross(-50, ROC(Close, 7)) AND Close>=1 AND Volume>=100000;
Sell=Cross(RSI(2), 75);
ApplyStop(stopTypeNBar, stopModeBars, 10);
ma horsie vysledky jak ten predtym
Annual Return % 20.17 %
Max. system % drawdown -28.03 %


atd. dalo by sa stym dlho hrajkat.... v principe myslim ze to fungovat moze (pri 50% poklesoch sa casto jedna o overreaction), len by to chcelo zmysluplne nastavit vsetky mozne parametre a money management...
a zrejme porovnavat ten pokles voci indexu, aby to bralo individualne akcie miesto celej burzy..

nech sa paci, holy grail... zadarmo

[jonatanus]

Ultimate Oscillator
7,14,28 < 25
All trades 26979
Avg. Profit/Loss 2.14%
Avg. Bars Held 10.97
Winners 13979 (51.81 %) Avg. Profit 11.59%
Losers 13000 (48.19 %) Avg. Loss -8.02%

trejdov dost, avg profit/loss ok, win:loss ratio o nicom.
delistovane akcie to predpokladam zrusia cele

Kód: Vybrať všetko

Buy=Cross(25, Ultimate(7, 14, 28)); 
Sell=False; 
ApplyStop(stopTypeNBar, stopModeBars, 10); 
PositionSize=100; 

All trades 121584
Avg. Profit/Loss % 3.38 %
Winners 57034 (46.91 %) Avg. Profit 16.99 %
Losers 64550 (53.09 %) Avg. Loss % -8.65

edit: zabudol som podmienku na Close>=1 AND Volume>=100000

All trades 29607
Avg. Profit/Loss 1.96%
Winners 15650 (52.86 %) Avg. Profit 12.54%
Losers 13957 (47.14 %) Avg. Loss -9.91%

a 1.96% uz taky zazrak neni.. este to prepocitam ci tam neni problem s amibroker pos. limitom...

[jonatanus]

este to prepocitam ci tam neni problem s amibroker pos. limitom...

tak neni

trades 46242
avg profit/loss 1.90%
win 52.93% avg profit 11.49%
loss 43.03% avg loss -9.71%

asi o 1% lepsie jak random.. na 46242 trejdov by to mohlo byt trejdovatelne...

takto vypada system s 1% na trejd
Annual Return % 27.47 %
Max. system % drawdown -30.25 %

ked zaratame este povedzme 0.5% naklady per trade (poplatky+slippage, buy 0.25%+sell 0.25%):
All trades 20193
Avg. Profit/Loss 1.40%
Winners 10378 (51.39 %) Avg. Profit % 11.88 %
Losers 9815 (48.61 %) Avg. Loss % -9.68 %
Annual Return % 18.89 %
Max. system % drawdown -32.86 %

zazrak to neni, ale trocha lepsie jak random to asi bude

[jonatanus]

doktor inzinier profesor kozmonaut martin lobista csc: tak pomali by sme mohli zacat to pisat, zoberes indikator, napises omacku a ja ktomu pridam relevantne cisla, podla toho jak ty napises ze sa to ma trejdovat...

chces to zacat pisat hala-bala, alebo spravime najprv naky zoznam indikatorov, nejak to podelime, atd?
netreba aby tam toho bolo 5000, ale skorej poriadne spravenych hlavnych 10-20, co je v kazdej platforme...
plus malo zname co funguju, ktorych nastastie moc neni

idealne by bolo keby to bola vycerpavajuca prirucka pre vsetkych, od debila po profika, proste hocikdo ked to otvori 1. tomu bude rozumet 2. bude mu jasne ci ten indikator ma alebo nema pouzivat

a aj to ci ho ma alebo nema pouzivat.. napriklad malovat MAcka do grafu nemusi byt uplne zbytocne, lebo vies zhruba kde ta cena je (pod/nad), co sice nic nehovori o tom kam pojde akcia dalej, ale aspon vies kde je..

sak ty povec, ty si sefredaktor

[jogo]

tak naimportoval som sp500 historicke data 1990-dnes (yahoo), trvalo to miesto 10 hodin ani ne 10 minut.

Ako sa da stiahnut naraz vsetkych 500 akcii indexu, aby som nemusel rucne kazdu jednu osobitne stahovat?

[jonatanus]

Ako sa da stiahnut naraz vsetkych 500 akcii indexu, aby som nemusel rucne kazdu jednu osobitne stahovat?

tazko... ja som ich uz mal stiahnute na disku. inac tiez stahujem po jednej, akorat mam napr. 8 connections naraz.

[jonatanus]

CCI

Buy=Cross(0, CCI(50)) AND Close>=1 AND Volume>=100000; // nulu presekne z hora
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 338986
avg profit/loss 0.24%
win 50.07% avg win 7.37%
loss 47.72% avg loss -7.24%

Buy=Cross(CCI(50), 0) AND Close>=1 AND Volume>=100000; // nulu presekne z dola
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 368430
avg profit/loss 0.34%
win 49.57% avg win 7.81%
loss 48.11% avg loss -7.33%

Buy=Cross(CCI(50), -200) AND Close>=1 AND Volume>=100000; // -200 presekne z dola
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 105466
avg profit/loss 0.04%
win 49.37% avg win 8.65%
loss 48.38% avg loss -8.75%

Buy=Cross(-200, CCI(50)) AND Close>=1 AND Volume>=100000; // -200 presekne z hora
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 119188
avg profit/loss 0.68%
win 51.80% avg win 9.38%
loss 45.83% avg loss -9.13%


NA HOVNO

[jonatanus]

Stochastics
Buy=StochD(14, 3, 3) < 20 AND Cross(StochK(14, 3), StochD(14, 3, 3));
Sell=False;
ApplyStop(stopTypeNBar, stopModeBars, 10);
PositionSize=100;
entry: stoch %d (14) < 20 a stoch %k(14) presekne stoch %d(14)
exit: 10 bars

All trades 38685
Avg. Profit/Loss 0.55%
Avg. Bars Held 10.94
Winners 20250 (52.35 %) Avg. Profit 6.49%
Losers 18435 (47.65 %) Avg. Loss -5.98%

Buy=StochD(14, 3, 3) < 20 AND Cross(StochK(14, 3), StochD(14, 3, 3)) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 492072
avg profit/loss 0.70%
win 50.75% avg win 9.29%
loss 47.06% avg loss -8.53%

NA HOVNO

nepouziva volakdo stoch? poradte nake ine signaly na com to otestovat... nemyslim ze to bude fungovat, ale troska tomu chcem dat sancu

[jonatanus]

Random Walk Index

Kód: Vybrať všetko

Buy=RWIHi(20, 20) > 1 AND Cross(RWILo(5, 5), 1);

All trades 18406
Avg. Profit/Loss 1.87%
Avg. Bars Held 11.00
Winners 10182 (55.32 %) Avg. Profit 8.06%
Losers 8224 (44.68 %) Avg. Loss -5.78%

celkom slusne..

Buy=RWIHi(20, 20) > 1 AND Cross(RWILo(5, 5), 1) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 35239
avg profit/loss 1.93%
win 55.72% avg win 8.32%
loss 42.03% avg loss -6.43%

neviem ani poriadne co to ma byt za indikator, ale zda sa ze uplne naprd neni...

nepouziva to volakdo?

[jonatanus]

Stochastic Momentum
entry: stochastics (13, 25, 2) presekne -40 z hora
exit: 10 bars
All trades 68311 Avg. Profit/Loss 0.70%
Avg. Bars Held 10.97
Winners 35116 (51.41 %) Avg. Profit 9.20%
Losers 33195 (48.59 %) Avg. Loss -8.29%

trades 115110
avg profit/loss 0.78%
win 51.87% avg win 9.56%
loss 45.93% avg loss -9.10%

a aj ked to obmedzim na stop 10 barov (exit ostava)
All trades 71148
Avg. Profit/Loss 0.85%
Avg. Bars Held 8.57
Winners 41494 (58.32 %) Avg. Profit 7.64%
Losers 29654 (41.68 %) Avg. Loss -8.64%

to win:loss ratio je stale slusne.
ale avg profi/loss stoji za prd vo vsetkych pripadoch.

All trades 89285
Avg. Profit/Loss % 0.75%
Winners 51668 (57.87 %) Avg. Profit % 8.38 %
Losers 37617 (42.13 %) Avg. Loss % -9.74 %


NA HOVNO

[jonatanus]

Relative Momentum Index
ked to sprisnime pod 10, je to trocha lepsie
All trades 24523
Avg. Profit/Loss 1.85%
Avg. Bars Held 10.99
Winners 12963 (52.86 %) Avg. Profit 11.84%
Losers 11560 (47.14 %) Avg. Loss -9.35%

Buy=Cross(10, RMI(14)) AND Close>=1 AND Volume>=100000;
trades 46903
avg profit/loss 2.15%
win 53.84% avg win 12.40%
loss 43.99% avg loss -10.28%

OK

[jonatanus]

Money Flow Index

Buy=Cross(20, MFI(14)) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 176046
avg profit/loss 1.32%
win 52.29% avg win 9.83%
loss 44.44% avg loss -8.60%

Buy=Cross(10, MFI(14)) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 47869
avg profit/loss 2.11%
win 53.90% avg win 10.86%
loss 41.90% avg loss -8.94%

OK

[jonatanus]

zosrandy este raz MACD:
Buy=Cross(MACD(12, 26), Signal(12,26,9)) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 508850
avg profit/loss 0.53%
win 49.68% avg win 8.21%
loss 48.06% avg loss -7.39%

fantasticke signaly

[jonatanus]

RSI 14
entry: rsi(14) < 30
exit: 10 bars

All trades 13760
Avg. Profit/Loss 1.25%
Avg. Bars Held 10.91
Winners 7531 (54.73%) Avg. Profit 7.94%
Losers 6229 (45.27%) Avg. Loss -6.84%

toto uz je trocha lepsie. len je otazka jaky maju na to vplyv te delistovane akcie ktore tam chybaju.

Buy=Cross(30, RSI(14)) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 175844
avg profit/loss 1.22%
win 52.95% avg win 10.57%
loss 44.94% avg loss -9.73%

Buy=Cross(20, RSI(14)) AND Close>=1 AND Volume>=100000;
ApplyStop(stopTypeNBar, stopModeBars, 10);
trades 28036
avg profit/loss 2.76%
win 55.64% avg win 13.29%
loss 42.18% avg loss -10.99%

na tych 30 je tam toho este dost a neni to az taky zazrak, ale pod 20 je to velmi slusne

OK

ps. toto je este cisto na delistovanych datach
RSI(14)<30:
trades 70415
avg profit/loss 1.28%
win 52.05% avg win 11.86%
loss 44.76% avg loss -10.93%

RSI(14)<20:
trades 12651
avg profit/loss 2.82%
win 54.87% avg win 14.67%
loss 42.27% avg loss -12.36%

ako vidno te delistovane data tomu moc neskodia.. takze sme sa radvan obavali uplne zbytocne a mohol som usetrit 10tisic

[jonatanus]

ADX
entry: -DI presekne +DI v silnom trende ADX > 30... teda pullback v silnom trende
exit: 10 bars

Kód: Vybrať všetko

Buy=Cross(MDI(14), PDI(14)) AND ADX(14) > 30;
Sell=False;
ApplyStop(stopTypeNBar, stopModeBars, 10);
PositionSize=100;

All trades 27521
Avg. Profit/Loss 1.39%
Avg. Bars Held 10.98
Winners 14851 (53.96 %) Avg. Profit 8.20%
Losers 12670 (46.04 %) Avg. Loss -6.59%

zajimave

Buy=Cross(MDI(14), PDI(14)) AND ADX(14) > 30 AND Close>=1 AND Volume>=100000;
trades 57113
avg profit/loss 1.16%
win 53.39% avg win 8.39%
loss 43.75% avg loss -7.57%

troska to kleslo.. silnejsie trendy:

Buy=Cross(MDI(14), PDI(14)) AND ADX(14) > 40 AND Close>=1 AND Volume>=100000;
trades 12209
avg profit/loss 1.73%
win 54.74% avg win 8.93%
loss 41.50% avg loss -7.61%

lepsie..

Buy=Cross(MDI(14), PDI(14)) AND ADX(14) > 50 AND Close>=1 AND Volume>=100000;
trades 2361
avg profit/loss 1.50%
win 53.37% avg win 8.83%
loss 40.79% avg loss -7.86%

sa to az tak moc nezlepsilo a 2361 je uz malo trejdov


tento indikator urcite neni na hovno, ale neni to ani zazracny generator buy/sell signalov, skorej vie dobre povedat ci je akcia v uptrende/downtrende a v jak silnom.

[jonatanus]

este par RSI testov...

RSI(3) < 5
trades 150442
avg profit/loss 1.35%
win 53.09% avg win 10.21%
loss 44.61% avg loss -9.13%

RSI(7) < 15
trades 89653
avg profit/loss 1.84%
win 54.23% avg win 11.32%
loss 43.54% avg loss -9.87%

RSI(28) < 25
trades 7904
avg profit/loss 3.61%
win 56.71% avg win 15.46%
loss 41.11% avg loss -12.56%

RSI(50) < 30
trades 3815
avg profit/loss 3.79%
win 56.20% avg win 16.74%
loss 41.60% avg loss -13.49%

RSI(100) < 35
trades 1582
avg profit/loss 4.39%
win 55.37% avg win 19.88%
loss 42.41% avg loss -15.61%

toto je proste funkcny indikator. funguje na bar jakej periode, ked sa sprisnuju podmienky dava lepsie vysledky...

este skusim short

[jonatanus]

short je bohuzial natom spatne

RSI(3) > 95
trades 171985
avg profit/loss -0.63%
win 47.76% avg win 7.12%
loss 49.80% avg loss -8.11%

RSI(28) > 75
trades 22591
avg profit/loss -1.41%
win 48.75% avg win 8.77%
loss 49.28% avg loss -11.54%

RSI(100) > 65
trades 15767
avg profit/loss -1.59%
win 47.85% avg win 9.46%
loss 50.50% avg loss -12.11%

[jonatanus]

Ultimate Oscillator este par testov.. najradsej by som to vyhodil, ale zda sa ze to trocha funguje...

Ultimate(3,7,14)<30
trades 541197
avg profit/loss 1.01%
win 52.69% avg win 9.03%
loss 44.91% avg loss -8.34%

Ultimate(3,7,14)<20
trades 136051
avg profit/loss 1.44%
win 53.03% avg win 9.87%
loss 43.36% avg loss -8.75%

Ultimate(7,14,28)<15
trades 3145
avg profit/loss 1.81%
win 49.63% avg win 11.16%
loss 39.24% avg loss -9.50%

Ultimate(5,10,15)<20
trades 44308
avg profit/loss 1.89%
win 53.11% avg win 11.01%
loss 42.48% avg loss -9.31%

Ultimate(14,28,56)<30
trades 22709
avg profit/loss 2.46%
win 52.82% avg win 13.28%
loss 43.01% avg loss -10.59%

Ultimate(14,28,56)<20
trades 1013
avg profit/loss 1.69%
win 48.47% avg win 11.87%
loss 38.30% avg loss -10.62%

OK

[radvan]

ako vidno te delistovane data tomu moc neskodia.. takze sme sa radvan obavali uplne zbytocne a mohol som usetrit 10tisic

jop, pravda ... ale keby si to neskusil, tak tu istotu nemas a prva vec ako sa rsi da napadnut je ze co s tym urobia delisted data ... takto vies, ze sa to da pouzit ...

[jonatanus]

takze teraz to celkovo vypada zhruba takto:

MACD - na hovno
RSI - gut
CCI - na hovno
Stochastics - na hovno
Moving Averages - na hovno
x down/up dni posebe - na hovno
ADX - ok, aj ked zazrak to neni
Chaikin Money Flow - na hovno
Chaikin Oscillator - na hovno
Candlesticks - na hovno
Mass Index - na hovno
Money Flow Index -podobne jak RSI
Random Walk Index - podobne jak ADX
Parabolic SAR - na hovno
Stochastic Momentum - na hovno
Relative Momentum Index - podobne jak RSI
Trix - na hovno
Ultimate Oscillator - podobne jak RSI
Williams %R - na hovno
Bollinger Bands - na hovno
Keltner Bands - na hovno
Rate Of Change - tazko povazovat za indikator co dava signaly, ale -50% funguje
Ease of movement - nejakym zazrakom to funguje na short ale tam neni znormalizovany rozsah takze to moze byt nahoda.. budem to muset nejak prerobit aby sa to dalo normalne otestovat.
breakouty - bude treba este otestovat poriadne

[jonatanus]

jop, pravda ... ale keby si to neskusil, tak tu istotu nemas a prva vec ako sa rsi da napadnut je ze co s tym urobia delisted data ... takto vies, ze sa to da pouzit ...

jaska.. a uz to mam hlavne otestovane na 3 roznych datach a 2 roznych systemoch.. takze RSI (long) povazujem za jednoznacne funkcny indikator.

[jonatanus]

TRENDY

co sa tyka trendov... ked zobereme 3 MA-cka zoradene podsebou:
(este upozornujem ze toto nesu crossy, ale uplne vsetky miesta na vsetkych grafoch kde plati ze MA1>MA2>MA3, teda statistika co by sa stalo keby sme kupili na kazdom jednom mieste ktore splna takto definovany trend)

uptrend:

entry: MA(5)>MA(10) AND MA(10)>MA(15)
exit: 10 bars
trades 4517960
avg profit/loss 0.61%
win 50.52% avg win 7.48%
loss 47.39% avg loss -6.68%

entry: MA(5)>MA(10) AND MA(10)>MA(20)
exit: 10 bars
trades 4372410
avg profit/loss 0.64%
win 50.61% avg win 7.43%
loss 47.29% avg loss -6.60%

entry: MA(10)>MA(20) AND MA(20)>MA(30)
exit: 10 bars
trades 4706719
avg profit/loss 0.73%
win 51.07% avg win 7.37%
loss 46.84% avg loss -6.47%

entry: MA(10)>MA(20) AND MA(20)>MA(40)
exit: 10 bars
trades 4542937
avg profit/loss 0.73%
win 51.07% avg win 7.31%
loss 46.85% avg loss -6.41%

entry: MA(15)>MA(30) AND MA(30)>MA(50)
exit: 10 bars
trades 4727888
avg profit/loss 0.69%
win 51.08% avg win 7.23%
loss 46.86% avg loss -6.42%

entry: MA(20)>MA(40) AND MA(40)>MA(60)
exit: 10 bars
trades 4831451
avg profit/loss 0.65%
win 51.08% avg win 7.18%
loss 46.87% avg loss -6.43%

entry: MA(20)>MA(40) AND MA(40)>MA(80)
exit: 10 bars
trades 4619203
avg profit/loss 0.69%
win 51.25% avg win 7.11%
loss 46.71% avg loss -6.33%

entry: MA(25)>MA(50) AND MA(50)>MA(100)
exit: 10 bars
trades 4624729
avg profit/loss 0.68%
win 51.26% avg win 7.05%
loss 46.71% avg loss -6.29%

entry: MA(20)>MA(50) AND MA(50)>MA(200)
exit: 10 bars
trades 4190775
avg profit/loss 0.71%
win 51.76% avg win 6.78%
loss 46.27% avg loss -6.05%

entry: MA(50)>MA(100) AND MA(100)>MA(150)
exit: 10 bars
trades 4833872
avg profit/loss 0.62%
win 51.53% avg win 6.91%
loss 46.51% avg loss -6.33%

entry: MA(50)>MA(100) AND MA(100)>MA(200)
exit: 10 bars
trades 4614203
avg profit/loss 0.66%
win 51.92% avg win 6.82%
loss 46.15% avg loss -6.24%

este pre uplnost random, aby bolo jasne s cim treba porovnavat:
avg profit/loss 0.61%
win 50.82%
loss 47.05%

no.. tak aspon ze to neni horsie, teda okrem toho prveho pripadu
samo o sebe je to samozrejme
NA HOVNO

a teraz pride downtrend

[jonatanus]

downtrend (short):

entry: MA(5)<MA(10)<MA(20)
exit: 10 bars
trades 3737764
avg profit/loss -0.65%
win 46.82% avg win 8.38%
loss 51.08% avg loss -8.95%

entry: MA(10)<MA(20)<MA(30)
exit: 10 bars
trades 3864515
avg profit/loss -0.59%
win 47.16% avg win 8.54%
loss 50.71% avg loss -9.10%

entry: MA(20)<MA(40)<MA(80)
exit: 10 bars
trades 3467315
avg profit/loss -0.70%
win 47.08% avg win 8.88%
loss 50.76% avg loss -9.61%

entry: MA(25)<MA(50)<MA(100)
exit: 10 bars
trades 3403262
avg profit/loss -0.74%
win 47.06% avg win 8.93%
loss 50.76% avg loss -9.74%

entry: MA(20)<MA(50)<MA(200)
exit: 10 bars
trades 2924415
avg profit/loss -0.69%
win 47.60% avg win 9.22%
loss 50.19% avg loss -10.11%

entry: MA(50)<MA(100)<MA(150)
exit: 10 bars
trades 3189553
avg profit/loss -0.65%
win 47.89% avg win 9.02%
loss 49.89% avg loss -9.96%

tu je situacia presne opacna, jedina vynimka kde sa oplati shortovat v downtrende je 10/20/30 a to je lepsie proti randomu o cele 0.02%, takze:
stoji to za
UPLNE HOVNO

V DOWNTRENDE NENI TREND NAS FRIEND ANI NAHODOU
(v pripade trendu definovaneho cez MA1<MA2<MA3; v akciach)

[Lobista]

doktor inzinier profesor kozmonaut martin lobista csc: tak pomali by sme mohli zacat to pisat, zoberes indikator, napises omacku a ja ktomu pridam relevantne cisla, podla toho jak ty napises ze sa to ma trejdovat...

Hej, nejako takto by sa to dalo -- co to je, ako sa to pocita, kedy by to podla teorie malo fungovat, nejaky graf k tomu modelovy kde to ide a potom tie tvoje data a zaver, ci a kedy je to skutocne dobre.

Mohli by sme z toho spravit serial stylom, ze najprv jeden taky uvod -- co je to technicka analyza, ako sa deli, na com je zalozena a podobne. Tu by sme taktiez vysvetlili co znamenaju tie cisla, co ti vypluje backtest.


Potom samotne indikatori rozdelene do skupin -- najprv asi indikatory do trendu ako su klzave priemery a SAR, potom oscilatory ako MACD, stochastics a pod. , dalej volatility-based indicators ako ATR, bollinger bands, potom volume-related ako OBV, demand index a nakoniec asi tie najsofistikovanejsie od Larryho Williamsa a pod., co to ma vzorec na 2 riadky .

Mozem prejst toto vlakno a tie veci, co si testoval skusit zadelit do skupin a od dalsieho tyzdna mozme zacat pisat .

[jonatanus]

Mozem prejst toto vlakno a tie veci, co si testoval skusit zadelit do skupin a od dalsieho tyzdna mozme zacat pisat .

dobre, povec este ktore indikatory tam chybaju, co sa bude dat otestovat este otestujem....

[Lobista]

Tak som to predbezne rozdelil do skupin:

Random:
Random 10 bars,
buy po x down days

Lagging indicators:
Simple moving average - SMA
Exponential moving average - EMA
Double exponential moving average – DEMA
Triple exponential moving average – TEMA
Wilders MA 50
TRIX

Oscilatory:
MACD
RSI
CCI
Stochastics
ADX
Chaikin Oscillator
Relative momentum index
Ultimate oscillator
Williams %R

Volume-based:
Chaikin money flow
Ease of movement
Money flow index


Volatility-based:
MassIndex
Parabolic SAR
Stochastic momentum
Rate of change
Bollinger bands
Keltner bands

Ine:
Random walk index
Breakout
Trendy

Este ma napadlo, ze by si mohol skusit otestovat trading na zaklade Advance/Decline line -- ciara, ktora zobrazuje pomer poctu stupajucich a klesajucich akcii v ramci celeho trhu. Na nej sa hladaju divergencie napr. s pouzitim McLelland oscillatora, ktory funguje podobne ako MACD s tym, ze berie data z advance/decline line.

Este by sa dalo pozriet aj na Upside/downside volume, pripadne New High - New Low index.

[Lobista]

Este by som tam skusil dat Williamsov Swing index a McLelland oscillator:
http://www.investopedia.com/articles/te ... 100702.asp" onclick="window.open(this.href);return false;

Btw, tie stochastics si robil dve -- fast aj slow, alebo si testoval len jedno s tym, ze druhe da taky isty vysledok?

Ako ceresnicka by sa mohol dat Demand index -- ma asi najkomplikovanejsi vypocet, aky som u indikatorov videl .
Tu to nejaky chlapik naprogramoval:

http://www.purebytes.com/archives/omega ... 04345.html" onclick="window.open(this.href);return false;

[jonatanus]

te trendy este skusam.. aby sme vybrali len te krajsie a pokial mozno s minimalnym lagom, tak napr:
TEMA 10>20>30>40>50>60>70>80>90>100>110>120>130>140>150>160>170>180>190>200
10 bar hold
trades 695744
avg profit/loss 0.89%
win 48.96% avg win 9.08%
loss 48.59% avg loss -7.32%

avg profit/loss je lepsie, ale win:loss ratio uplna bieda

short:
TEMA 10<20<30....<200
trades 471843
avg profit/loss -1.23%
win 44.32% avg win 8.20%
loss 53.54% avg loss -9.08%

short je beznadejny, kdo sa snazi shortovat downtrendy nech mi racej posle svoje peniaze...

este je dost mozne ze sila trendov sa podstatne meni v roznych obdobiach... otestujem

[jonatanus]

TEMA10>20>...200
1995-1999 - brutalny bull market
trades 356488
avg profit/loss 1.08%
win 48.22% avg win 9.04%
loss 47.73% avg loss -6.86%

win:loss nanic

2000-2002 - brutalny bear market
trades 95931
avg profit/loss 0.70%
win 46.85% avg win 12.67%
loss 51.92% avg loss -10.08%

2004-2007 - bull market
trades 167248
avg profit/loss 0.11%
win 49.35% avg win 6.87%
loss 50.04% avg loss -6.56%

uplne zle

2008 - brutalny bear market
trades 25554
avg profit/loss -1.33%
win 44.85% avg win 7.72%
loss 54.64% avg loss -8.77%

cele obdobie - akcie z russell micro cap
trades 86344
avg profit/loss 1.14%
win 47.78% avg win 12.11%
loss 50.37% avg loss -9.23%

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