Николай Камынин

ТОРГОВЛЯ ИНДЕКСОМ РТС c 2001 по 2009 гг. ч.2

20 января, 2009

(продолжение результаты торговли )

Monthly Trading Summary

Monthly Average Analysis (Mark-To-Market):

Period	Net Profit	% к капиталу	Profit Factor	# Trades	% Profitable
January	$1 580.53	16%	3.82	31.00	48.39%
February	$1 336.50	13%	3.57	31.63	50.59%
March	$2 025.84	20%	5.24	33.13	49.81%
April	$1 428.66	14%	3.17	34.88	51.97%
May	$1 888.54	19%	3.87	34.63	47.29%
June	$1 889.59	19%	3.95	34.13	49.08%
July	$2 041.42	20%	4.18	34.38	54.18%
August	$1 943.42	19%	4.45	33.50	49.63%
September	$2 028.31	20%	3.80	35.63	49.47%
October	$2 798.25	28%	3.61	38.88	52.09%
November	$2 621.53	26%	5.10	33.63	49.81%
December	$1 763.94	18%	4.30	33.38	49.06%

Monthly Period Analysis (Mark-To-Market):

Period	Net Profit	% к капиталу	Profit Factor	# Trades	% Profitable
12.08	$5 387.98	54%	8.53	43	55.81%
11.08	$9 726.30	97%	7.68	39	53.85%
10.08	$10 623.61	106%	4.66	45	51.11%
9.08	$6 713.45	67%	4.83	45	48.89%
8.08	$2 997.26	30%	3.46	51	39.22%
7.08	$1 524.54	15%	2.32	61	40.98%
6.08	$686.52	7%	1.80	55	45.45%
5.08	$547.60	5%	1.38	65	29.23%
4.08	$463.84	5%	1.56	53	39.62%
3.08	$1 001.25	10%	2.04	53	45.28%
2.08	$2 207.46	22%	4.94	46	50.00%
1.08	$1 791.69	18%	2.68	44	43.18%
12.07	$740.92	7%	2.31	51	41.18%
11.07	$1 166.80	12%	3.00	48	41.67%
10.07	$1 239.72	12%	3.65	51	56.86%
9.07	$1 260.55	13%	8.28	30	63.33%
8.07	$2 121.00	21%	4.88	35	60.00%
7.07	$1 684.57	17%	6.00	33	60.61%
6.07	$982.50	10%	3.18	43	51.16%
5.07	$1 207.75	12%	3.34	39	53.85%
4.07	$1 116.55	11%	3.72	41	53.66%
3.07	$1 767.55	18%	3.92	39	41.03%
2.07	$1 365.55	14%	3.21	30	46.67%
1.07	$1 361.70	14%	2.69	34	52.94%
12.06	$703.40	7%	2.56	41	43.90%
11.06	$1 193.96	12%	6.94	33	48.48%
10.06	$1 368.68	14%	3.52	44	52.27%
9.06	$1 868.92	19%	5.79	39	51.28%
8.06	$1 723.48	17%	6.26	39	56.41%
7.06	$1 885.88	19%	5.83	38	57.89%
6.06	$4 600.86	46%	6.08	41	53.66%
5.06	$4 290.20	43%	6.62	37	59.46%
4.06	$2 134.98	21%	14.54	26	73.08%
3.06	$2 352.38	24%	5.18	45	48.89%
2.06	$2 032.70	20%	5.71	41	58.54%
1.06	$2 569.64	26%	8.08	26	61.54%
12.05	$1 076.17	11%	5.52	31	51.61%
11.05	$1 523.85	15%	6.09	37	48.65%
10.05	$2 784.19	28%	4.34	41	48.78%
9.05	$2 345.11	23%	5.84	45	53.33%
8.05	$1 632.61	16%	5.02	40	45.00%
7.05	$1 394.42	14%	5.82	30	60.00%
6.05	$282.46	3%	1.63	33	42.42%
5.05	$885.58	9%	3.40	35	37.14%
4.05	$1 074.10	11%	2.93	36	50.00%
3.05	$1 468.76	15%	4.62	34	50.00%
2.05	$817.49	8%	2.86	36	44.44%
1.05	$842.03	8%	3.34	28	39.29%
12.04	$3 047.76	30%	7.88	28	60.71%
11.04	$1 404.60	14%	6.21	26	65.38%
10.04	$1 606.31	16%	3.64	30	53.33%
9.04	$534.29	5%	2.35	28	50.00%
8.04	$1 545.40	15%	4.59	27	51.85%
7.04	$1 662.65	17%	3.04	28	50.00%
6.04	$2 411.90	24%	3.14	28	50.00%
5.04	$2 089.05	21%	3.92	27	51.85%
4.04	$1 514.14	15%	2.60	33	48.48%
3.04	$2 285.64	23%	9.35	25	60.00%
2.04	$679.74	7%	2.12	30	46.67%
1.04	$1 295.30	13%	4.26	30	43.33%
12.03	$712.18	7%	1.81	27	44.44%
11.03	$2 395.39	24%	3.54	26	50.00%
10.03	$2 370.07	24%	2.53	33	54.55%
9.03	$1 013.84	10%	2.42	38	44.74%
8.03	$863.84	9%	2.13	29	34.48%
7.03	$2 731.93	27%	5.70	29	62.07%
6.03	$1 866.07	19%	7.70	26	53.85%
5.03	$1 821.58	18%	6.89	28	53.57%
4.03	$1 274.07	13%	2.46	31	54.84%
3.03	$1 195.73	12%	4.37	27	48.15%
2.03	$548.64	5%	1.96	30	46.67%
1.03	$494.10	5%	1.76	32	43.75%
12.02	$696.64	7%	2.57	23	52.17%
11.02	$151.90	2%	1.18	35	40.00%
10.02	$948.33	9%	2.07	36	47.22%
9.02	$686.47	7%	1.73	31	45.16%
8.02	$2 194.98	22%	4.05	29	48.28%
7.02	$2 782.02	28%	3.46	34	47.06%
6.02	$2 791.25	28%	9.39	21	57.14%
5.02	$3 065.99	31%	16.36	21	61.90%
4.02	$2 298.90	23%	7.46	31	58.06%
3.02	$3 293.56	33%	13.94	19	52.63%
2.02	$1 328.60	13%	2.69	27	51.85%
1.02	$2 709.23	27%	10.71	23	60.87%
12.01	$1 746.49	17%	4.25	23	47.83%
11.01	$3 409.41	34%	7.79	25	60.00%
10.01	$1 445.12	14%	2.83	31	51.61%
9.01	$1 803.87	18%	2.89	29	37.93%
8.01	$2 468.75	25%	27.31	18	77.78%
7.01	$2 665.36	27%	7.04	22	72.73%
6.01	$1 495.16	15%	3.08	26	42.31%
5.01	$1 200.54	12%	2.26	25	56.00%
4.01	$1 552.70	16%	2.36	28	50.00%
3.01	$2 841.83	28%	8.07	23	65.22%
2.01	$1 711.80	17%	12.88	13	69.23%

Monthly Rolling Period Analysis (Mark-To-Market):

<td style=»borde

Period	Net Profit	% к капиталу	Profit Factor	# Trades	% Profitable
12.08	$5 387.98	54%	8.53	43	55.81%
11.08-12.08	$15 114.28	151%	7.96	82	54.88%
10.08-12.08	$25 737.89	257%	6.07	127	53.54%
9.08-12.08	$32 451.34	325%	5.76	172	52.33%
8.08-12.08	$35 448.60	354%	5.41	223	49.33%
7.08-12.08	$36 973.14	370%	5.02	284	47.54%
6.08-12.08	$37 659.66	377%	4.74	339	47.20%
5.08-12.08	$38 207.26	382%	4.32	404	44.31%
4.08-12.08	$38 671.10	387%	4.14	457	43.76%
3.08-12.08	$39 672.35	397%	3.99	510	43.92%
2.08-12.08	$41 879.81	419%	4.03	556	44.42%
1.08-12.08	$43 671.50	437%	3.93	600	44.33%
12.07-12.08	$44 412.42	444%	3.87	651	44.09%
11.07-12.08	$45 579.22	456%	3.84	699	43.92%
10.07-12.08	$46 818.94	468%	3.83	750	44.80%
9.07-12.08	$48 079.49	481%	3.88	780	45.51%
8.07-12.08	$50 200.49	502%	3.91	815	46.13%
7.07-12.08	$51 885.06	519%	3.95	848	46.70%
6.07-12.08	$52 867.56	529%	3.93	891	46.91%
5.07-12.08	$54 075.31	541%	3.92	930	47.20%
4.07-12.08	$55 191.86	552%	3.91	971	47.48%
3.07-12.08	$56 959.41	570%	3.91	1010	47.23%
2.07-12.08	$58 324.96	583%	3.89	1040	47.21%
1.07-12.08	$59 686.66	597%	3.84	1074	47.39%
12.06-12.08	$60 390.06	604%	3.82	1115	47.26%
11.06-12.08	$61 584.02	616%	3.85	1148	47.30%
10.06-12.08	$62 952.70	630%	3.84	1192	47.48%
9.06-12.08	$64 821.62	648%	3.87	1231	47.60%
8.06-12.08	$66 545.10	665%	3.91	1270	47.87%
7.06-12.08	$68 430.98	684%	3.94	1308	48.17%
6.06-12.08	$73 031.84	730%	4.02	1349	48.33%
5.06-12.08	$77 322.04	773%	4.10	1386	48.63%
4.06-12.08	$79 457.02	795%	4.16	1412	49.08%
3.06-12.08	$81 809.40	818%	4.19	1457	49.07%
2.06-12.08	$83 842.10	838%	4.21	1498	49.33%
1.06-12.08	$86 411.74	864%	4.26	1524	49.54%
12.05-12.08	$87 487.91	875%	4.27	1555	49.58%
11.05-12.08	$89 011.76	890%	4.29	1592	49.56%
10.05-12.08	$91 795.96	918%	4.30	1633	49.54%
9.05-12.08	$94 141.07	941%	4.32	1678	49.64%
8.05-12.08	$95 773.68	958%	4.33	1718	49.53%
7.05-12.08	$97 168.10	972%	4.35	1748	49.71%
6.05-12.08	$97 450.56	975%	4.31	1781	49.58%
5.05-12.08	$98 336.14	983%	4.29	1816	49.34%
4.05-12.08	$99 410.24	994%	4.27	1852	49.35%
3.05-12.08	$100 879.00	1009%	4.27	1886	49.36%
2.05-12.08	$101 696.49	1017%	4.25	1922	49.27%
1.05-12.08	$102 538.52	1025%	4.24	1950	49.13%
12.04-12.08	$105 586.28	1056%	4.29	1978	49.29%
11.04-12.08	$106 990.88	1070%	4.31	2004	49.50%
10.04-12.08	$108 597.19	1086%	4.30	2034	49.56%
9.04-12.08	$109 131.48	1091%	4.28	2062	49.56%
8.04-12.08	$110 676.88	1107%	4.28	2089	49.59%
7.04-12.08	$112 339.53	1123%

Posted in торговые роботы (МТС) | Comments Closed

ТОРГОВЛЯ ИНДЕКСОМ РТС c 2001 по 2009 гг. ч.1

20 января, 2009

Автор: Николай Камынин

Далее представлены результаты автоматической торговли фьючерсом на индекс РТС ( RTSI ) на фондовой бирже .

Полученная прибыль ( доходность )составляет в 2001 г 223%, 2002 г 229%, 2003 г 173%, 2004 г. 201%, 2005 г. 161%, 2006 г 267%, 2007 г 160% и 2008 г 437%

При этом , так как торговля индексом возможна на фьючерсах, то система является реверсивной. За 8 лет торговли получена прибыль в размере 1852% от начального капитала в размере 10000$. При этом , сумма инвестируемого капитала всегда равна начальной, полученная по сделке прибыль изымается, а возникающие убытки компенсируются из ранее полученной прибыли.

Реализован следующий алгоритм :

if MarketPosition <=0 then Buy next bar at Rz(0)+20 Point Stop;

if MarketPosition >0 then Sell next bar at Su(0)-20 point Stop;

где Rz(0) , Su(0) – текущие уровни сопротивления и поддержки соответственно;

Уровни сопротивления и поддержки формируются специальной программой на Си.

Фрагмент формирования уровней :

long w=Ib(ODBar(1)),bblack=BlackBar(0),bwhite=WhiteBar(0);

SetRS(0); FindRS();

//———-

if (O(1)>C(1) && ShHigh(1)==0 && ShLow(1)==0 && Body(1)>0 && Close>Open && ShHigh(0)==0 ) {br=CurrentBar;r=h(br);}

if (C(1)>O(1) && ShHigh(1)==0 && Body(1)>0 && H(1)>=Open ) {bs=CurrentBar;s=l(bs);}

if (BlackBar(1)>1 && H(1)>High && Low>L(1) && R_DO(0) && r>High ) {br=CurrentBar;r=h(br);}

if (BlackBar(1)>5 && Close>Open && r>High ) {br=CurrentBar;r=h(br);}

if (Ib(bs)>1 && Low>s && H(1)>=High && Low>=L(1) && L(1)>=L(2)) {bs=CurrentBar;s=l(bs);}

if (Ib(br)>1 && r>High && H(2)>=H(1) && H(1)>=High && Low>=L(1) && L(1)>=L(2)) {br=CurrentBar;r=h(br);}

Результаты работы системы следующие:

TradeStation Strategy Performance Report

Annual Trading Summary Annual Analysis (Mark-To-Market):

Period	Net Profit	% к капиталу	Profit Factor	# Trades	% Profitable
YTD	$0.00	N/A	N/A	0	N/A
12 month	$41 879.81	419%	4.03	556	44.42%
08	$43 671.50	437%	3.96	589	44.48%
07	$16 015.16	160%	3.74	463	51.40%
06	$26 725.08	267%	5.98	439	55.35%
05	$16 126.77	161%	4.18	415	47.47%
04	$20 076.78	201%	3.92	329	51.98%
03	$17 287.44	173%	3.11	345	48.99%
02	$22 947.87	229%	4.32	319	51.41%
01	$22 341.03	223%	4.54	253	54.94%

Annual Rolling Period Analysis (Mark-To-Market):

Period	Net Profit	% к капиталу	Profit Factor	# Trades	% Profitable
08	$43 671.50	437%	3.96	589	44.48%
07-08	$59 686.66	597%	3.90	1052	47.53%
06-08	$86 411.74	864%	4.33	1491	49.83%
05-08	$102 538.52	1025%	4.31	1906	49.32%
04-08	$122 615.30	1226%	4.24	2235	49.71%
03-08	$139 902.74	1399%	4.04	2580	49.61%
02-08	$162 850.61	1629%	4.07	2899	49.81%
01-08	$185 191.64	1852%	4.12	3152	50.22%

Долее приведены более подробно результаты работы системы:

TradeStation Strategy Performance Report — ANK_2009_1 RTSI-60 min.

Performance Summary: All Trades

Total Net Profit	$185 173.71	Open position P/L	$17.92
Gross Profit	$244 310.22	Gross Loss	($59 136.50)
Total # of trades	3 144	Percent profitable	50.16%
Number winning trades	1 577	Number losing trades	1 567
Largest winning trade	$2 492.00	Largest losing trade	($850.00)
Average winning trade	$154.92	Average losing trade	($37.74)
Ratio avg win/avg loss	4.11	Avg trade (win & loss)	$58.90
Max consec. Winners	11	Max consec. losers	13
Avg # bars in winners	9	Avg # bars in losers	3
Max intraday drawdown	($889.76)
Profit Factor	4.13	Max # contracts held	62
Account size required	$889.76	Return on account	20811.65%

Performance Summary: Long Trades

Total Net Profit	$101 849.10	Open position P/L	$17.92
Gross Profit	$132 469.13	Gross Loss	($30 620.03)
Total # of trades	1 572	Percent profitable	52.16%
Number winning trades	820	Number losing trades	752
Largest winning trade	$2 300.12	Largest losing trade	($850.00)
Average winning trade	$161.55	Average losing trade	($40.72)
Ratio avg win/avg loss	3.97	Avg trade (win & loss)	$64.79
Max consec. Winners	13	Max consec. losers	9
Avg # bars in winners	10	Avg # bars in losers	3
Max intraday drawdown	($1 048.22)
Profit Factor	4.33	Max # contracts held	62
Account size required	$1 048.22	Return on account	9716.41%

Performance Summary: Short Trades

Total Net Profit	$83 324.51	Open position P/L	$0.00
Gross Profit	$111 841.09	Gross Loss	($28 516.59)
Total # of trades	1 572	Percent profitable	48.16%
Number winning trades	757	Number losing trades	815
Largest winning trade	$2 492.00	Largest losing trade	($670.62)
Average winning trade	$147.74	Average losing trade	($34.99)
Ratio avg win/avg loss	4.22	Avg trade (win & loss)	$53.01
Max consec. Winners	7	Max consec. losers	20
Avg # bars in winners	7	Avg # bars in losers	3
Max intraday drawdown	($1 196.61)
Profit Factor	3.92	Max # contracts held	61
Account size required	$1 196.61	Return on account	6963.40%

Posted in торговые роботы (МТС) | Comments Closed

Николай Камынин

ТОРГОВЛЯ ИНДЕКСОМ РТС c 2001 по 2009 гг. ч.2

ТОРГОВЛЯ ИНДЕКСОМ РТС c 2001 по 2009 гг. ч.1

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