Торговля по пересечению двух индикаторов. Amibroker

4 сентября, 2011

Автор:Николай Камынин

Приведены результаты исследования эффективности торгового алгоритма на основе пересечения двух индикаторов.
Исходные данные:
Акции Сбербанка обычка.
Исторические данные на интервале 01.01.2011 по 02.09.2011
Тайм 5 минут
Без реинвестирования прибыли
Торговля в Short и Long
Совершение сделки на открытии следующей свечи
Комиссия 0.35%

Вариант 1
Индикаторы –MA
Параметров оптимизации – 2

All trades                  Long trades              Short trades
Initial capital                         100000.00                 100000.00                  100000.00
Ending capital                        162483.46                 121657.98                  140825.48
Net Profit                           62483.46                   21657.98                    40825.48
Net Profit %            62.48 %                     21.66 %                      40.83 %
Exposure %                           85.79 %                     43.34 %                      42.45 %
Net Risk Adjusted Return %        72.84 %                     49.98 %                      96.17 %
Annual Return %                   113.22 %                   35.77 %                      70.58 %
Risk Adjusted Return %                             131.98 %                   82.54 %                      166.26 %

All trades 246             123 (50.00 %)            123 (50.00 %)
Avg. Profit/Loss                                         254.00                       176.08                        331.91
Avg. Profit/Loss %                                     0.25 %                       0.18 %                        0.33 %
Avg. Bars Held                                           66.62                         67.40                          65.85

Winners 119 (48.37 %)            62 (25.20 %)              57 (23.17 %)
Total Profit                                                 161501.30                 72506.02                    88995.28
Avg. Profit                                                  1357.15                     1169.45                      1561.32
Avg. Profit %                                              1.36 %                       1.17 %                        1.56 %
Avg. Bars Held                                           91.80                         93.65                          89.79
Max. Consecutive                                      6                                5                                 6
Largest win                                                10126.98                   4768.36                      10126.98
# bars in largest win                                  164                            175                             164

Losers 127 (51.63 %)            61 (24.80 %)              66 (26.83 %)
Total Loss                                                  -99017.84                  -50848.04                   -48169.80
Avg. Loss                                                   -779.67                      -833.57                       -729.85
Avg. Loss %                                               -0.78 %                      -0.83 %                      -0.73 %
Avg. Bars Held                                           43.03                         40.72                          45.17
Max. Consecutive                                      9                                5                                 8
Largest loss                                              -4065.30                    -4065.30                     -2730.87
# bars in largest loss                                 51                              51                               73

Max. trade drawdown                                 -8234.68                    -4100.46                     -8234.68
Max. trade % drawdown                             -7.27 %                      -4.07 %                      -7.27 %
Max. system drawdown                              -15536.72                  -11778.38                   -10408.85
Max. system % drawdown                       -12.42 %                    -10.95 %                    -8.92 %
Recovery Factor                                         4.02                           1.84                            3.92
CAR/MaxDD                                               9.11                           3.27                            7.91
RAR/MaxDD                                               10.62                         7.54                            18.63
Profit Factor                                                1.63                           1.43                            1.85
Payoff Ratio                                                1.74                           1.40                            2.14
Standard Error                                            8403.21                     3230.14                      6462.18
Risk-Reward Ratio                                     8.05                           7.21                            6.86
Ulcer Index                                                  4.39                           3.96                            3.73
Ulcer Performance Index                            24.57                         7.68                            17.46
Sharpe Ratio of trades                               2.83                           2.23                            3.35
K-Ratio                                                        0.0117                       0.0105                        0.0100

Далее я не буду приводить полный отчет. Интересующим вышлю по запросу.

Вариант 2
Индикаторы –EMA
Параметров оптимизации – 2

All trades                   Long trades            Short trades
Initial capital                               100000.00                   100000.00                100000.00
Ending capital                              145788.50                   111384.46                134404.04
Net Profit                                  45788.50                     11384.46                  34404.04
Net Profit %                                                 45.79 %                      11.38 %                    34.40 %
Exposure %                                                  84.12 %                      41.30 %                    42.82 %

All trades 189                              94 (49.74 %)            95 (50.26 %)

Winners 66 (34.92 %)               31 (16.40 %)            35 (18.52 %)

Losers 123 (65.08 %)             63 (33.33 %)            60 (31.75 %)

Max. trade % drawdown                               -5.97 %                       -4.26 %                     -5.97 %
Max. system drawdown                                -11706.71                   -10602.85                 -9483.58
Max. system % drawdown                         -9.53 %                       -9.51 %                     -8.16 %
Вариант 3
Индикаторы  –TEMA
Параметров оптимизации – 2

All trades                   Long trades            Short trades
Initial capital                                       100000.00                   100000.00                100000.00
Ending capital                                               162480.41                   121074.85                141405.56
Net Profit                                                       62480.41                     21074.85                  41405.56
Net Profit %                                                 62.48 %                      21.07 %                    41.41 %
Exposure %                                                  81.61 %                      38.77 %                    42.85 %
Net Risk Adjusted Return %                         76.56 %                      54.37 %                    96.63 %
Annual Return %                                           113.21 %                    34.76 %                    71.67 %
Risk Adjusted Return %                               138.72 %                    89.66 %                    167.27 %

All trades 198                              99 (50.00 %)            99 (50.00 %)

Winners 89 (44.95 %)               40 (20.20 %)            49 (24.75 %)

Losers 109 (55.05 %)             59 (29.80 %)            50 (25.25 %)

Max. trade % drawdown                               -6.15 %                       -5.16 %                     -6.15 %
Max. system drawdown                                -11992.20                   -12195.20                 -8800.37
Max. system % drawdown                         -9.00 %                       -10.10 %                   -6.24 %

Выводы: Результаты получены близкие. Наилучший результат получился для индикатора TEMA. Прибыль  62%, Успешных сделок 45%, Максимальная просадка 10%

Сигнал  TakeProfit увеличивает  прибыль до 71%.

Сигналы  StopLimit и TrailingStop результат не улучшают.

Теперь я покажу как эти результаты превратить в Ну очень хорошие.

Для начала установим комиссию 0%

Тогда получим при тех же параметрах следующий результат:

All trades                  Long trades              Short trades

Initial capital                                                100000.00                 100000.00                  100000.00

Ending capital                                             179764.58                 130324.87                  149439.71

Net Profit                                                     79764.58                   30324.87                    49439.71

Net Profit %                                              79.76 %                     30.32 %                      49.44 %

All trades 246                            123 (50.00 %)            123 (50.00 %)

Winners 133 (54.07 %)            70 (28.46 %)              63 (25.61 %)

Losers 113 (45.93 %)            53 (21.54 %)              60 (24.39 %)

Max. trade % drawdown                             -7.26 %                      -4.00 %                      -7.26 %

Max. system % drawdown                       -10.98 %                    -9.71 %                      -7.49 %

Без учета комиссии для индикатора TEMA.

Прибыль 77% (было 62%)

Успешных сделок 54%(было 45%)

Следующим шагом, разрешим реинвестирование прибыли

All trades                  Long trades              Short trades

Initial capital                                                100000.00                 100000.00                  100000.00

Ending capital                                             214520.23                 143296.52                  171223.71

Net Profit                                                     114520.23                 43296.52                    71223.71

Net Profit %                                               114.52 %                   43.30 %                      71.22 %

All trades 246                            123 (50.00 %)            123 (50.00 %)

Winners 133 (54.07 %)            70 (28.46 %)              63 (25.61 %)

Losers 113 (45.93 %)            53 (21.54 %)              60 (24.39 %)

Max. trade % drawdown                             -7.26 %                      -4.00 %                      -7.26 %

Max. system % drawdown                       -12.93 %                    -10.35 %                    -9.69 %

Без учета комиссии и с реинвестированием прибыли для индикатора TEMA.
Прибыль составит 114% (было 62%)

Поэтому я в своих исследованиях всегда учитываю комиссию и запрещаю реинвестирование прибыли. Рекомендую делать также.

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Posted in Amibroker, торговые роботы (МТС), Фондовый рынок | Comments Closed

Немного о программе технического анализа Amibroker

1 сентября, 2011

Сразу оговорюсь, что данный блог не является рекламой.
Просто хочу замолвить пару добрых слов за Амиброкер.
Как говорится лучше один раз увидеть, чем сто раз услышать.
Для наглядного сравнения простоты исследования торговых алгоритмов в Амиброкере по сравнению с другими программами тех анализа, приведу пример программы торговли на исторических данных на основе пересечения двух скользящих средних.

Программа

Period1 = Optimize(«Period1», 20, 5, 300, 5 );  //задаем период  y1
Period2 = Optimize(«Period2», 80, 5, 300, 5 ); //задаем период  y2
y1=EMA(Close, Period1);    Plot( y1,»Y1″, colorYellow, styleLine );
y2=EMA(Close, Period2);   Plot( y2,»Y2″, colorWhite,  styleLine );
Buy=Cross(y1,y2);   //купить
Sell=Cross(y2,y1); //продать

Результат :

лонг
для Сбербанка обычки
Тайм 5 минут
Период 01.01.2011 – 31.08.2011

Фрагмент графика результата

All trades               Long trades        Short trades
Initial capital                                    100000.00              100000.00             100000.00
Ending capital                                  113145.38              113145.38                 100000.00
Net Profit                                         13145.38                13145.38                   0.00
Net Profit %                                    13.15 %                  13.15 %                      0.00 %
Exposure %                                     46.15 %                  46.15 %                      0.00 %
Net Risk Adjusted Return %                   28.49 %                  28.49 %                      N/A
Annual Return %                                    21.45 %                  21.45 %                      0.00 %
Risk Adjusted Return %                           46.47 %                  46.47 %                      N/A

All trades 93                       93 (100.00 %)           0 (0.00 %)
Avg. Profit/Loss                                    141.35                    141.35                        N/A
Avg. Profit/Loss %                                  0.14 %                    0.14 %                        N/A
Avg. Bars Held                                        84.47                       84.47                          N/A

Winners 31 (33.33 %)          31 (33.33 %)              0 (0.00 %)
Total Profit                                             56944.81                56944.81                   0.00
Avg. Profit                                               1836.93                  1836.93                      N/A
Avg. Profit %                                            1.84 %                    1.84 %                        N/A
Avg. Bars Held                                           177.45                    177.45                        N/A
Max. Consecutive                                      4                              4                                  0
Largest win                                              6915.05                  6915.05                      0.00
# bars in largest win                                  296                          296                             0

Losers 62 (66.67 %)          62 (66.67 %)              0 (0.00 %)
Total Loss                                                   -43799.43               -43799.43                  0.00
Avg. Loss                                                    -706.44                   -706.44                       N/A
Avg. Loss %                                               -0.71 %                   -0.71 %                       N/A
Avg. Bars Held                                           37.98                       37.98                          N/A
Max. Consecutive                                      8                              8                                  0
Largest loss                                                -3293.40                 -3293.40                    0.00
# bars in largest loss                                 31                            31                                0

Max. trade drawdown              -4306.19                 -4306.19                    0.00
Max. trade % drawdown                            -4.26 %                   -4.26 %                       0.00 %
Max. system drawdown                              -10602.85               -10602.85                  0.00
Max. system % drawdown                         -9.52 %                   -9.52 %                       0.00 %
Recovery Factor                                         1.24                         1.24                            N/A
CAR/MaxDD                                               2.25                         2.25                            N/A
RAR/MaxDD                                               4.88                         4.88                            N/A
Profit Factor                                                1.30                         1.30                            N/A
Payoff Ratio                                                 2.60                         2.60                            N/A
Standard Error                                            2797.69                  2797.69                      0.00
Risk-Reward Ratio                                     5.14                         5.14                            N/A
Ulcer Index                                             4.09                         4.09                            0.00
Ulcer Performance Index                           3.92                         3.92                            N/A
Sharpe Ratio of trades                               1.37                         1.37                            0.00
K-Ratio                                                    0.0075                    0.0075                        -1.#IND

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Posted in Amibroker, торговые роботы (МТС) | Comments Closed

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