Coming along now in various facets in designing the backtesting software. This past week completed adding equity and margin limits to both systems as well as wrote a piece to run market correlation studies. I've included many more performance statistics, including robust statistics mentioned in Curtis Faith's Way of the Turtle, which I recommend for anyone designing systems. And, finally, I can now generate drawdown curves which is a nice complement to the equity curves I have been spitting out. Please enjoy as I do!
Moving ahead, I need to account for contract rollovers in my simulation as well as formally verify the Support and Resistance system output in Excel. I also am ready to buy some data -- finally! I will buy data from two vendors for about 70 markets, domestic and foreign. It runs between $100 for $250 from what I have seen, although I do not know how reliable these vendors' collections are. I'll have to write a data scanner to test the data for inconsistencies before I can employ them.
Also, here is what my system output is looking like at the moment:
| Exponential Crossover System Backtest |
| Side = Both |
| Slow Lag = 325 |
| Fast Lag = 85 |
| ATR Lag = 20 |
| ATR Multi = 5 |
| WarmUp = 20 |
| Starting Equity = 1000000 |
| Heat = 0.1 |
| Start date = 12/31/1974 |
| End date = 9/27/2005 |
| Ending Equity = 110550027.500 |
| ICAGR = 0.1531 |
| RAR = 0.1328 |
| Max. Drawdown = 0.6037 |
| Longest Drawdown = 91 mos. |
| Seykota Bliss = 0.2535 |
| R-cubed = 0.1105 |
| ----------------------------------- |
| # of Trades = 29 |
| Avg. Trade Length = 22.5 mos. |
| Max. Trade Length = 49 mos. |
| Win Percentage = 0.5517 |
| Max. Losing Streak = 4 |
| Avg. Trade = 3777893 |
| Avg. Profit = 7170253 |
| Avg. Loss = 397319 |
| Avg. Profit / Avg. Loss = 18.05 |
| Expectancy = 3777892.84 |
| T-test = 11.87 |
| Optimal F = 1305581 |
| ----------------------------------- |
| Max % of Account Employed = 1.0005 |
| # Margin Calls = 14 |
| # Forced-liquidations = 2 |
| # Pared-backed Positions = 8 |
| # Insufficent Funds for Entry = 0 |
| Total commissions = 49365.00 |
| ************************************ Be well!! |
No comments:
Post a Comment