Автор: Николай Камынин

В качестве примера того, что любая стратегия на исторических данных покажет за период 2007-2011 год более 300%  без плеч и реинвестирования прибыли, привожу результаты работы стратегии на основе пересечения двух скользящих EMA  на обычке Сбербанка.

Система реверсивная, комиссия 0.035% , без плеча, без реинвестирования прибыли в сделки.

скрипт Амиброкера:

SetBarsRequired( —2, —2 );

Comission=0.035;

FixedDollarAmount = 100000;

SetOption( «CommissionMode», 1);

SetOption( «CommissionAmount», Comission);

SetOption( «initialequity», FixedDollarAmount);

SetOption( «MaxOpenPositions»,  1);

PositionSize=FixedDollarAmount;

Period1 = Optimize(«Period1»,25, 20, 50, 5 );

Period2 = Optimize(«Period2»,50, 20, 100, 5 );

y1=EMA(Close, Period1);

y2=EMA(Close, Period2);

Buy=Cross(y1,y2);  Sell=Cross(y2,y1);

Buy = Flip( Buy, Sell );

Sell=Flip( Sell,Buy );

Short = Sell;

Cover = Buy;

Plot( y1,»Y1″, colorYellow, styleLine );

Plot( y2,»Y2″, colorWhite,  styleLine );

shape = Buy * shapeUpArrow + Sell * shapeDownArrow;

PlotShapes( shape, IIf( Buy, colorWhite, colorYellow ), 0, IIf( Buy, Low, High ) );

Тайм 5 минут

Результат таблица: 

All trades                   Long trades           Short trades

Net Profit %                                            429.76 %                    251.06 %                 178.70 %

Exposure %                                             44.06 %                      21.78 %                    22.27 %

Net Risk Adjusted Return %                   975.43 %                    1152.50 %               802.25 %

Annual Return %                                      39.65 %                      28.60 %                    22.79 %

Risk Adjusted Return %                          90.00 %                      131.31 %                  102.33 %

All trades                                                 1828                            912 (49.89 %)          916 (50.11 %)

Avg. Profit/Loss %                                 0.24 %                         0.28 %                      0.20 %

Winners                                                   583 (31.89 %)            289 (15.81 %)          294 (16.08 %)

Avg. Profit %                                           2.87 %                         2.99 %                      2.74 %

Max. Consecutive                                   6                                   4                                4

# bars in largest win                               271                              271                            298

Losers                                                     1245 (68.11 %)          623 (34.08 %)          622 (34.03 %)

Avg. Loss %                                            -1.00 %                       -0.99 %                     -1.01 %

Max. Consecutive                                   13                                14                              15

# bars in largest loss                              8                                   19                              8

Max. trade drawdown                             -25181.10                   -25181.10                -16104.27

Max. trade % drawdown                         -16.10 %                     -15.51 %                   -16.10 %

Max. system % drawdown                      -28.53 %                     -47.15 %                   -21.21 %

Recovery Factor                                      7.32                             4.11                           3.26

CAR/MaxDD                                            1.39                             0.61                           1.07

RAR/MaxDD                                            3.15                             2.79                           4.83

Profit Factor                                             1.35                             1.41                           1.29

Payoff Ratio                                             2.88                             3.04                           2.72

Risk-Reward Ratio                                  1.73                             1.77                           1.02

Ulcer Index                                               6.81                             8.04                           11.29

Ulcer Performance Index                        5.03                             2.89                           1.54

Sharpe Ratio of trades                           1.32                             1.43                           1.20

K-Ratio                                                     0.0074                         0.0076                      0.0044

Tags: AMIBROKER, технический анализ