Тестирование стратегии EMA + TRIX (1999-2011) . Amibroker

17 сентября, 2011

Автор: Николай Камынин

Предлагаю результаты работы
алгоритма торговли на двух индикаторах. EMA + TRIX ,
сбербанк обычка,
сигнал на закрытии свечи, сделка на открытии следующей.
Комиссия 0.035%.
Без реинвестирования прибыли, без плеч.

Тайм 30 минут

Оптимизация произведена по периоду 2007-2011

Исторические данные за период 1999-2006

All trades                  Long trades             Short trades
Initial capital                                           100000.00                100000.00                 100000.00
Ending capital                                        481268.64                527675.76                 53592.88
Net Profit                                                381268.64                427675.76                 -46407.12
Net Profit %                                            381.27 %                   427.68 %                   -46.41 %
Exposure %                                            24.00 %                     11.94 %                     12.06 %
Net Risk Adjusted Return %                 1588.60 %                3581.10 %                 -384.87 %
Annual Return %                                    23.02 %                     24.52 %                     -7.90 %
Risk Adjusted Return %                        95.92 %                     205.35 %                   -65.48 %


All trades 3114                          1573 (50.51 %)         1541 (49.49 %)
Avg. Profit/Loss                                    122.44                       271.89                        -30.11
Avg. Profit/Loss %                                0.13 %                       0.29 %                        -0.04 %
Avg. Bars Held                                      10.33                         10.16                          10.50


Winners 1181 (37.93 %)        638 (20.49 %)           543 (17.44 %)
Total Profit                                             2524177.11              1411796.49               1112380.62
Avg. Profit                                              2137.32                     2212.85                     2048.58
Avg. Profit %                                         2.25 %                       2.34 %                        2.15 %
Avg. Bars Held                                      15.08                         14.65                          15.59
Max. Consecutive                                 9                                 9                                  6
Largest win                                            22412.88                   13269.87                   22412.88
# bars in largest win                             3                                 3                                  3


Losers 1933 (62.07 %)        935 (30.03 %)           998 (32.05 %)
Total Loss                                              -2142908.47             -984120.74                -1158787.74
Avg. Loss                                              -1108.59                    -1052.54                    -1161.11
Avg. Loss %                                          -1.17 %                      -1.11 %                      -1.23 %
Avg. Bars Held                                      7.42                            7.10                            7.73
Max. Consecutive                                 20                               12                               12
Largest loss                                          -15180.97                 -10001.53                  -15180.97
# bars in largest loss                            8                                 24                               8


Max. trade drawdown                            -15766.38                 -15766.38                  -15180.97
Max. trade % drawdown                       -15.66 %                    -15.66 %                    -15.24 %
Max. system drawdown                        -55657.16                 -50537.27                  -193132.27
Max. system % drawdown                    -19.04 %                    -17.75 %                    -78.28 %
Recovery Factor                                    6.85                            8.46                            -0.24
CAR/MaxDD                                          1.21                            1.38                            -0.10
RAR/MaxDD                                          5.04                            11.57                          -0.84
Profit Factor                                           1.18                            1.43                            0.96
Payoff Ratio                                           1.93                            2.10                            1.76
Standard Error                                       49360.82                   30526.68                   28210.22
Risk-Reward Ratio                                0.57                            1.40                            -0.52
Ulcer Index                                              5.33                            4.01                            42.86
Ulcer Performance Index                      3.30                            4.77                            -0.31
Sharpe Ratio of trades                         0.94                            2.29                            -0.45
K-Ratio                                                   0.0073                       0.0179                        -0.0066

Исторические данные за период 2007-2011

All trades                   Long trades           Short trades
Initial capital                                             100000.00                  100000.00               100000.00
Ending capital                                          596425.63                  358785.61               337640.03
Net Profit                                                  496425.63                  258785.61               237640.03
Net Profit %                                              496.43 %                    258.79 %                  237.64 %
Exposure %                                              39.72 %                      19.00 %                    20.72 %
Net Risk Adjusted Return %                   1249.78 %                  1362.31 %               1146.65 %
Annual Return %                                      46.40 %                      31.35 %                    29.66 %

Risk Adjusted Return %                          116.82 %                    165.03 %                  143.10 %


All trades 1874                            936 (49.95 %)          938 (50.05 %)
Avg. Profit/Loss                                      264.90                        276.48                      253.35
Avg. Profit/Loss %                                  0.27 %                        0.28 %                      0.25 %
Avg. Bars Held                                        10.93                           10.55                        11.31


Winners 792 (42.26 %)            390 (20.81 %)          402 (21.45 %)
Total Profit                                               2021075.78               1001699.26             1019376.52
Avg. Profit                                                2551.86                      2568.46                    2535.76
Avg. Profit %                                           2.55 %                        2.57 %                      2.54 %
Avg. Bars Held                                        15.34                           15.03                        15.63
Max. Consecutive                                   10                                9                                7
Largest win                                              18284.77                    16039.05                  18284.77
# bars in largest win                               15                                9                                15


Losers 1082 (57.74 %)          546 (29.14 %)          536 (28.60 %)
Total Loss                                                -1524650.14              -742913.65              -781736.49
Avg. Loss                                                -1409.10                     -1360.65                   -1458.46
Avg. Loss %                                            -1.41 %                       -1.36 %                     -1.46 %
Avg. Bars Held                                        7.70                             7.34                           8.07
Max. Consecutive                                   14                                11                              17
Largest loss                                            -16639.71                   -16639.71                -16118.48
# bars in largest loss                              9                                  9                                11


Max. trade drawdown                              -20540.57                   -20540.57                -16621.66
Max. trade % drawdown                         -19.76 %                     -19.76 %                   -16.54 %
Max. system drawdown                          -44982.69                   -46477.80                -42505.22
Max. system % drawdown                      -20.88 %                     -33.44 %                   -15.58 %
Recovery Factor                                      11.04                           5.57                           5.59
CAR/MaxDD                                            2.22                             0.94                           1.90
RAR/MaxDD                                            5.59                             4.93                           9.19
Profit Factor                                             1.33                             1.35                           1.30
Payoff Ratio                                             1.81                             1.89                           1.74
Standard Error                                         49556.83                    32377.38                  42413.85
Risk-Reward Ratio                                  2.62                             2.21                           1.38
Ulcer Index                                                4.71                             5.99                           5.51
Ulcer Performance Index                        8.71                             4.33                           4.40
Sharpe Ratio of trades                           1.78                             1.91                           1.57
K-Ratio                                                     0.0258                        0.0217                      0.0136

Результат:

1999-2006  Прибыль  % Всего  381.27 % лонг      427.68 % шорт (убыток) -46.41 %
2007-2011  Прибыль % Всего 496.43 % лонг        258.79 % шорт 237.64 %



Тестирование стратегии EMA + TRIX (2007-2011) . Amibroker

17 сентября, 2011

Автор: Николай Камынин

Ниже представлены результаты тестирования стратегии на индикаторах EMA + TRIX на периоде с января 2007 по 16 сентября 2011
сбербанк обычка,
сигнал на закрытии свечи, сделка на открытии следующей.
Комиссия 0.035%.
Без реинвестирования прибыли, без плеч.
Тайм 1 час

Параметры оптимизированы на 2011 году
All trades                 Long trades            Short trades
Initial capital                                               100000.00               100000.00                100000.00
Ending capital                                           507103.84               316789.00                290314.84
Net Profit                                                    407103.84               216789.00                190314.84
Net Profit %                                               407.10 %                  216.79 %                  190.31 %
Exposure %                                               40.06 %                    19.25 %                    20.80 %
Net Risk Adjusted Return %                    1016.35 %               1125.91 %                914.93 %
Annual Return %                                       41.42 %                    27.91 %                    25.55 %
Risk Adjusted Return %                           103.40 %                  144.93 %                  122.81 %


All trades 1302                         649 (49.85 %)          653 (50.15 %)
Avg. Profit/Loss                                       312.68                      334.04                       291.45
Avg. Profit/Loss %                                   0.31 %                      0.33 %                       0.29 %
Avg. Bars Held                                         8.53                           8.23                           8.84


Winners 543 (41.71 %)          268 (20.58 %)          275 (21.12 %)
Total Profit                                                1700539.80             835433.19                865106.61
Avg. Profit                                                 3131.75                    3117.29                    3145.84
Avg. Profit %                                            3.13 %                      3.12 %                       3.15 %
Avg. Bars Held                                         11.08                        10.90                         11.25
Max. Consecutive                                    10                              8                                 7

Largest win                                               18375.66                  16039.05                  18375.66
# bars in largest win                                9                                6                                 9


Losers 759 (58.29 %)          381 (29.26 %)          378 (29.03 %)
Total Loss                                                 -1293435.96            -618644.20               -674791.77
Avg. Loss                                                  -1704.13                   -1623.74                   -1785.16
Avg. Loss %                                             -1.70 %                     -1.62 %                     -1.79 %
Avg. Bars Held                                         6.72                           6.35                           7.08
Max. Consecutive                                    11                              12                              11
Largest loss                                              -16182.22                -13374.62                 -16182.22
# bars in largest loss                               3                                15                              3


Max. trade drawdown                               -20712.39                -20712.39                 -16646.78
Max. trade % drawdown                          -20.71 %                   -20.71 %                   -16.53 %
Max. system drawdown                            -62123.29                -56589.49                 -48801.71
Max. system % drawdown                       -28.49 %                   -40.57 %                   -16.19 %
Recovery Factor                                       6.55                           3.83                           3.90
CAR/MaxDD                                             1.45                           0.69                           1.58
RAR/MaxDD                                             3.63                           3.57                           7.58
Profit Factor                                              1.31                           1.35                           1.28
Payoff Ratio                                               1.84                           1.92                           1.76
Standard Error                                          46704.01                  30129.69                  36962.80
Risk-Reward Ratio                                   2.22                           1.91                           1.25
Ulcer Index                                                 6.17                           7.66                           8.67
Ulcer Performance Index                         5.84                           2.94                           2.32
Sharpe Ratio of trades                             1.46                           1.62                           1.31
K-Ratio                                                       0.0301                      0.0258                       0.0169

~~~~~~~~~~~~~~~~~~~~~~~~~

Результат:

Прибыль:  Всего 407.10 %   Лонг 216.79 %  Шорт 190.31 %

Max. просадка% Всего    -28.49 % Лонг     -40.57 % Шорт      -16.19 %

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Оптимизация на всех исторических данных

Результат:
Прибыль:  Всего     436.19 %   Лонг     225.71 %  Шорт     210.48 %
Max. просадка% Всего    -20.66 % Лонг     -33.93 % Шорт      -16.30 %
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Тайм 30 минут

Результат:
Прибыль:  Всего     496.43 %   Лонг     258.79 %  Шорт     237.64 %
Max. просадка% Всего    -20.88 % Лонг     -33.44 % Шорт      -15.58 %
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Тайм 10 минут

Результат:
Прибыль:  Всего     474.45 %   Лонг     255.51 %  Шорт     218.93 %
Max. просадка% Всего    -39.59 % Лонг     -56.43 % Шорт      -26.40 %
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