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% |
||