[JulianCohen]

I couldn’t help noticing in the Collaboration forum that Said’s latest system had Exit one profitable close. For those of you that have been using profit targets can you tell me if you are using a stop loss as well?

[JulianCohen]

No not really..it doesn’t seem to search our threads

[JulianCohen]

I learned something today. ALWAYS check the charts after writing a new system that has a piece of code you haven’t used before, to make sure it is doing the right thing, before using it to create three other systems and doing 200 tests.

[JulianCohen]

If Amibroker will attempt to convert when you use a different currency then if you set the AUD/USD exchange rate as 1:1 then you shouldn’t have to worry about changing them when testing different markets. That way it should always be producing a correct result. Does that make sense or am I missing something?

[JulianCohen]

So should you change the base currency between USD and AUD as well as the commission rates when you switch from US to AUS markets?

[JulianCohen]

Ah OK… I was thinking it was some new fangled indicator

[JulianCohen]

I did some more testing today. I set up to try and achieve a better CAGR over the last few years so I only tested from 1/1/2010 to 2/1/2016. If this looks promising I will test back over the other periods

Entry
C>MA(C,200)
RSI(2) > 10

Exit if C>MA(C,10)

Total trades 1390
Win% 66.47%
Ave P/L% 0.90%
Profit Factor 1.41
Payoff Ratio W/L Ratio 0.71
CAGR 9.4%
MDD -20.46%
MAR 0.46
Ave Winning bars held 9.85
Ave Losing bars held 20.48

It looks like the losing trades are holding for a longer period so I experimented with cutting trades after 8 bars

Total trades 2956
Win% 62.04%
Ave P/L% 0.69%
Profit Factor 1.37
Payoff Ratio W/L Ratio 0.84
CAGR 16.29%
MDD -20.91
MAR 0.78
Ave Winning bars held 6.78
Ave Losing bars held 8.94

Change price filter to $1 to $100

Total trades 2990
Win% 61.61%
Ave P/L% 0.73%
Profit Factor 1.38
Payoff Ratio W/L Ratio 0.86
CAGR 17.48%
MDD -17.24%
MAR 1.01
Ave Winning bars held 6.76
Ave Losing bars held 8.93
Only 2015 was a single digit return

Same test from 1/1/2000 to 2/6/2016
Total trades 8,024
Win% 62.31%
Ave P/L% 1.14%
Profit Factor 1.43
Payoff Ratio W/L Ratio 0.87
CAGR 30.32%
MDD -30.03%
MAR 1.01
Ave Winning bars held 6.69
Ave Losing bars held 8.96

Things are looking better…but my question is am I now venturing into curve fitting territory?

[JulianCohen]

The Ave P/L% and the payoff ratio are the same thing…is that correct?

[JulianCohen]

Darryl would you mind explaining what this is as you lost me after the first sentence

[JulianCohen]

I’ll give it a try. If I am doing an ASX test I manually adjust the commission rate in the table. I was using the US commissions for the ASX but I’ll try with the correct one and see how it goes.

[JulianCohen]

I tried your system on the ASX too with the same results. I had US commission set and it completely bombed. I thought it might be something I was doing but glad to see it wasn’t, from my point of view that is

I am working on the 2RSI system by Connors/Alvarez at the moment on the Russell 1000 so will try it on ASX as a test for robustness.

[JulianCohen]

Yes I’m going to code up the whole system, and then strip it back to one entry and one exit, and go through and see the effect of adding and subtracting different entries and exits. I might even get organised enough to write it all down and report the results!

[JulianCohen]

Yes I’m going to get a Dell XPS 13…I have a friend in the States that runs wirecutter.com which is a site for testing products and he strongly endorses it, as well as Nick, so I’m going to have to bite the bullet and get one

[JulianCohen]

OK that’s a good idea..thanks

[JulianCohen]

I couldn’t run the 64bit version of Amibroker on my system. I’m thinking about getting a Windows machine and running everything on that…all round it has to be a better bet as I have to start MC testing soon and that’s gonna be slooooow.

I assume RAM is the important thing would that be correct?

[Author]

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