Still in cash :-)

[Stephen James]

Save into the report charts folder in AB

Code:

eqname = “~~~EQUITY”;
if( Name() != eqname ) SetForeign( eqname );
eq = Close;

bslh = HighestBars(eq);

MaxWaitBars = Highest(bslh);
Plot(bslh, “#bars since last high”, colorred, styleHistogram, 0, 10 * LastValue( Highest( bslh ) ) );
Plot(MaxWaitBars, “Max Wait Bars”, colorBlue, styleline);

[MichaelRodwell]

Thanks Craig.

I credit this to someone else on the forums but my understanding is that you need to number the reports. Once you drop down the Reports Charts folder in the charts tab you will see they are numbered. Another one that I got from a user on here (sorry who ever it was!) is an enhanced profit table. Code below.

Code:

EnableTextOutput( 3 ); // enable HTML output into report (Version 5.84 or higher!)

function CalendarDays()
{
ddsince1900 = DaysSince1900();
result = ddsince1900 – ddsince1900[0];
return result;
}

// — MaxDD —
EQ = C;
MaxEQ = Highest( EQ );
DD = EQ – MaxEQ;
MaxDD = Lowest( DD );
DDpct = 100 * ( EQ – MaxEQ ) / MaxEQ;
MaxDDpct = Lowest( DDpct );

// — CAR —
bi = BarIndex();
fbr = Status( “firstbarinrange” );
lbr = Status( “lastbarinrange” );
fbrbi = LastValue( ValueWhen( fbr, bi ) );
lbrbi = LastValue( ValueWhen( lbr, bi ) );
cd = CalendarDays();
Days = cd[ lbrbi ] – cd[ fbrbi ];
CAR = 100 * ( ( eq / eq[ fbrbi ] ) ^ ( 365 / Days ) – 1 );

fillText = StrFormat( ” “);

Title = StrFormat( “Equity = $ %.2f%%, CAR = %.2f%%, MaxDD = $ %.2f%%, (= %.2f%%)”, EQ, CAR, MaxDD, MaxDDpct );

SetGradientFill( colorDarkGreen, ColorRGB( 0, 204, 0 ), 0 );

Plot( EQ, “Portfolio Equity”, colorDarkGreen, styleGradient | styleLine );

// — drawdown trenches in red —
PlotOHLC( MaxEQ, MaxEQ, EQ, MaxEQ, “”, colorRed, styleCloud );

// — paint log graph —
SetChartOptions( 2, chartLogarithmic );

////////////////////////////////////////////////////////////////////////////

////////////////////////////
// From: 3. Profit Table.afl
////////////////////////////

yr = Year();
mo = Month();

YearChange = yr != Ref( yr, 1 );
MonChange = mo != Ref( mo, 1 );

FirstYr = 0;
LastYr = 0;

startbar = 0;

////////////////////////////
// SKIP non-trading bars
////////////////////////////

for ( i = 0; i < BarCount; i++ ) { if ( eq[ i ] ) { startbar = i; break; } } //////////////////////////// // collect yearly / monthly changes in equity // into dynamic variables //////////////////////////// LastYrValue = eq[ startbar ]; LastMoValue = eq[ startbar ]; MaxYrProfit = MinYrProfit = 0; MaxMoProfit = MinMoProfit = 0; MaxYearEQ = YearDD = MaxYearDD = 0; for ( i = startbar + 1; i < BarCount; i++ ) { MaxYearEQ = Max( EQ[ i ], MaxYearEQ ); YearDD = Nz( 100 * ( EQ[ i ] - MaxYearEQ ) / MaxYearEQ ); MaxYearDD = Min( YearDD, MaxYearDD ); if ( YearChange[ i ] || i == BarCount - 1 ) { Chg = 100 * ( -1 + eq[ i ] / LastYrValue ); VarSet( "ChgYear" + yr[ i ], Chg ); MaxYrProfit = Max( MaxYrProfit, Chg ); MinYrProfit = Min( MinYrProfit, Chg ); if ( FirstYr == 0 ) FirstYr = yr[ i ]; LastYr = yr[ i ]; LastYrValue = eq[ i ]; VarSet("MaxYearDD"+ yr[ i - 1 ], MaxYearDD ); MaxYearEQ = YearDD = MaxYearDD = 0; } if ( MonChange [ i ] || i == BarCount - 1 ) { mon = mo[ i ]; Chg = 100 * ( -1 + eq[ i ] / LastMoValue ); VarSet( "ChgMon" + yr[ i ] + "-" + mon, Chg ); VarSet( "SumChgMon" + mon, Chg + Nz( VarGet( "SumChgMon" + mon ) ) ); VarSet( "SumMon" + mon, 1 + Nz( VarGet( "SumMon" + mon ) ) ); MaxMoProfit = Max( MaxMoProfit, Chg ); MinMoProfit = Min( MinMoProfit, Chg ); LastMoValue = eq[ i ]; } } MonthNames = "Jan,Feb,Mar,Apr,May,Jun,Jul,Aug,Sep,Oct,Nov,Dec"; function GenProfitTableHTML( ) { printf( "

n” );

printf( “

n” );

Header = “Year,” + MonthNames + “,Yr%%,” + “MDD”;

for ( Col = 0; ( Colname = StrExtract( Header, Col ) ) != “”; Col++ )
{
printf( “

” );
}

printf( “

n” );

for ( y = FirstYr; y <= LastYr; y++ ) { //Color = ColorRGB( IIf( row == 0 || col == 0 || col == 13, 220, 255 ), 255, IIf( row % 2, 255, 220 ) ); // new row if ( y % 2 ) printf( "

n

n

“, y );

for ( m = 1; m <= 12; m++ ) { Chg = VarGet( "ChgMon" + y + "-" + m ); if ( NOT IsNull( Chg ) ) { if ( Chg >= 0 )
printf( “

“, Chg );
else
printf( “

“, Chg );
}
else
printf( “

” );
}

if ( y % 2 )
printf( “

“, x );
else
printf( “%.1f%%

“, x );
Printf( “

“, z );
printf( “

n” ); // end row
}

printf( “

n” ); // new row

printf( “

” );

for ( m = 1; m <= 12; m++ ) { x = Nz( VarGet( "SumChgMon" + m ) / VarGet( "SumMon" + m ) ); if ( x >= 0 )
printf( “

“, x );
else
printf( “

“, x );
}
if ( CAR[ BarCount-1 ] >= 0 )
printf( “

“, CAR[ BarCount-1 ] );
//PrintInCell( StrFormat(“%.1f”, CAR[ BarCount-1 ] ), Row, 13, ColorRGB( 255, 128, 0 ) );
else
printf( “

“, CAR[ BarCount-1 ] );
//PrintInCell( StrFormat(“%.1f”, CAR[ BarCount-1 ] ), Row, 13, ColorRGB( 0, 204, 0 ) );
printf( “

“, MaxDDpct[ BarCount-1 ] );
//PrintInCell( StrFormat(“%.1f”, MaxDDpct[ BarCount-1 ] ), Row, 14, ColorRGB( 255, 255, 0) );
//printf( “

” );

printf( “

” + Colname + “
” ); else printf( “
” ); printf( “%g	%.1f%%	%.1f%%	N/A	” ); else printf( “	” ); x = VarGet( “ChgYear” + y ); z = VarGet(“maxYearDD” + y ); if ( x >= 0 ) printf( “%.1f%%
%.1f%%
Avg|Mx	%.1f%%	%.1f%%	%.1f%%	%.1f%%	%.1f%%

n” );

}

///////////////////////////
// This function checks if currently selected symbol
// is portfolio equity
//////////////////////////
function CheckSymbol()
{
if ( Name() != “~~~EQUITY” AND Name() != “~~~OSEQUITY” )
{
printf( “For accurate results switch to ~~~EQUITY symbol
” );
}
}

CheckSymbol();

////////////////////////////
// Main program
////////////////////////////
GenProfitTableHTML();

[Anonymous]

Craig and Mike, both great! thank you!

[ScottMcNab]

Do you feel data before 2002 not applicable any more Mike ? What are your thoughts re the dates for the backtest ? 90’s were amazing so can inflate the stats but nice to see how it comes thru the dot.com

[MichaelRodwell]

Hey Scott,

Just happened to be a timeframe that I picked.

I need to do some more exhaustive testing and maybe some tweaks around price and volume.

The stats are pretty much the same going back to 1996. See attached.

[ScottMcNab]

Thanks Mike…run it and see if it looks “less ugly” on US ? Last decade post GFC has not been quite as amazing just about anywhere as it has been in USA

[MichaelRodwell]

Not sure why I kept that subject line…

What universe you want me to try? Any specific?

[#REF!McGrath]

Hi Mike, how was the performance on the ASX100?

[ScottMcNab]

Michael Rodwell wrote:

Not sure why I kept that subject line…

What universe you want me to try? Any specific?

Nah…just thought the difference in the decades 2000-09 and 2010-19 may well be reflection of ASX performance rather than your system…maybe SPX

[MichaelRodwell]

Quote:

Hi Mike, how was the performance on the ASX100?

Gavin: With 5 positions on the ASX100 I can get similar performance. Around 16.5% CAR and 20-22% DD. I’m specifically looking to get exposure to smaller companies as they have lagged the broader market. This is an attempt for me to be smart but I discussed it with Nick and concluded that if the overall market takes off due to QE, low interest rates etc, the small and mids will start to fire and are coming from a lower base than the ASX100 with is performing well at the moment.

[MichaelRodwell]

Quote:

Nah…just thought the difference in the decades 2000-09 and 2010-19 may well be reflection of ASX performance rather than your system…maybe SPX

Without tweaking it at all it does pretty ordinary…

15% CAR, 30% DD…

[ScottMcNab]

Michael Rodwell wrote:

Quote:

Nah…just thought the difference in the decades 2000-09 and 2010-19 may well be reflection of ASX performance rather than your system…maybe SPX

Without tweaking it at all it does pretty ordinary…

15% CAR, 30% DD…

Personally don’t think anything wrong with that…think the tweaking can over-inflate expectations sometimes…solid returns on data never seen

[MichaelRodwell]

Yeah fair point. I’d feel pretty comfortable with some price and volume filters and looking at the regime filter. Actual momentum ranking and core system components on that back test is identical.

30% DD is the highest I’ve experienced in the past and don’t particularly want to go back there too soon! Not until I have a few more wins in the bag!

[MichaelRodwell]

Buy the Bulls Monthly Momentum

=> May: -7.79
=> June: +5.49
=> July: -0.54
=> August: -0.18
=> September: -1.72%
=> October: +3.46%

=> November: + 0.46

YTD: -1.35%

Still grinding away while I sit on my hands. Onwards and upwards or xmas please!

[MichaelRodwell]

I’ve been doing more testing, tinkering and experimenting with my ASX100 momentum system.

So far things are looking pretty good. I’ve been on a journey from relatively simple, to complex and back to really really simple.

I decided to test a lot of things I thought I already knew the answers to in predominantly 3 areas:

– Regime/ Index filter
– Momentum ranking
– Stock Filter

One of the major things I have been trying to overcome is the wait time for new equity highs. In my past attempts I could get reasonable results over a 20 year period but their were some instances where the system was in draw down for more than 1000 days.

Here’s where I’ve got to now…

[Author]

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