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| Envoyé par Aurel le 31 Janvier 2006 à 14:32
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Salut Damien,
Désolé mais je n'ai pas reçu ta stratégie, peux tu me la renvoyer au mail ci-dessus ?
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| Envoyé par marcd le 31 Janvier 2006 à 15:20
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aurel a écrit:
Une petite question de programmation, j'ai une stratégie que je teste sur l'année 2005, tout fonctionne, je la teste ensuite sur 2004, puis sur 2003, à chaque fois il n'y a pas de problème. Ensuite je la teste sur 2002 et la tradestation me met un signal d'erreur : Max bar back.
Je crois savoir à quoi correspond ce nom mais je ne vois pas pourquoi il le met car j'ai mis la valeur à 200 et c'est largement suffisant et en plus ce que je ne comprends pas surtout c'est pourquoi il met ce problème seulement pour l'année 2002 et les autres années antérieures et pas pour les années suivantes?
Si quelqu'un a une idée ?
Merci d'avance. |
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Probablement parce que sur 2002, tu n'as pas l'ensemble de l'annee et a moins de 200 barres sur la periode. Ca ne devrait pas impacter mais il y a peut-etre un element dans le code qui force a calculer.
__________________
Marc Defosse
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| Envoyé par jean paul le 29 Mars 2006 à 11:13
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{ Programme pour daytrading E-mini S&P500 LONG }
var : lng(0), trade(false);
var : E1(false ),EL1(false),EL2(false), EL3(false), EL4(false), EL5(false),
EL6(false), ESh6(false),EL7(false), S1(false), S2(false), ELong(false);
var : prixSortie(0), prixEntree(0),sl(0),vosci(0);
var : count(0) ;
var : Sl1(false), SL2(false) , SL3(false) ,SL4(false),SL5(false),Sl6(false), SLong(false);
var : NBctr(0);
inputs : p(0),
q(0),
NBContrats(1);
trade = true;
if trade then
begin
{ Volume oscillator }
input: VoscFast(14),
VoscSlow(28) ;
var: VolOsc(0);
VolOsc = VolumeOsc( VoscFast, VoscSlow );
{ Conditions d'achat ou vente }
if MarketPosition = 0 then
begin
{ achat Long }
EL1 = volosc > 75000;
Elong = EL1 ;
if Elong then
begin & nbsp;
Buy("LONG") NBContrats contracts this bar on close ; { ouvrir une position Longue }
prixEntree = close;
S1 = false;
S2 = false;
E1 = false;
prixEntree = c;
end;
end; { fin de la condition achat-vente }
if MarketPosition =1 then
begin
count = count +1;
{ Sortie du marche }
if S1 = false then S1 = volOsc < -25000;
if S2 = false then S2 = S1 and volosc crosses under 76000;
SL1 = S2 and volosc < 65000;
SLong = Sl1 ;
if SLong then
begin
sell("OUTLong") from Entry ("LONG") NBContrats contracts this bar;
end;
{ stopLoss }
input:stoplossLg(150);
var : Amount( 0 ) ;
amount =stopLossLg * 50 * NBContrats ;
SetStopPosition ;
SetStopLoss( Amount );
{ Trailing STOP LX }
variables: OrderPrice( 0 ), FloorProfit( 0 ) ;
inputs: LengthLX( 1 ), FloorAmtLX( 150 ) ;
OrderPrice = LowestFC( C, LengthLX );
FloorProfit = FloorAmtLX * 50 * NBContrats;
if MaxPositionProfit >= FloorProfit then
Sell ( "TrailLX" ) next bar at OrderPrice stop ;
{ profit Target LX }
inputs: SetProfitLg(150);
var: SProfit(0),SprofitLg(0);
SProfit = SetProfitLg *50 * NbContrats ;
SetProfitTarget( SProfit );
end;
end;
{ Programme SP500 Trading SHORT }
var : trade(false);
var: ESh1(false),ESh2(false),ESh3(false),ESh4(false),EShort(false );
var : prixSortie(0), prixEntree(0);
var : count(0) ;
var : SSh1(false),SSh2(false),SSh3(false),SShort(false);
var: sw0(false),sw1(false);
var : NBctr(0);
inputs : p(0),
q(0),
NBContrats(1);
trade = true;
if trade then
begin
{ Volume oscillator }
input: VoscFast(14),
VoscSlow(28) ;
var: VolOsc(0);
VolOsc = VolumeOsc( VoscFast, VoscSlow ) ;
if MarketPosition = 0 then
begin
ESH1 = volosc crosses under -6000 ;
EShort = ESH1 ;
if EShort then
begin & nbsp;
sellShort("SHORT") NBContrats contracts this bar on close; { ouvrir une vente SHORT }
prixEntree = close;
sw0 = false;
end;
end; { fin de la condition achat-vente }
if MarketPosition = -1 then
begin
SSh1 = volosc crosses over 65000;
SShort = SSH1 ;
if SShort then
begin
buyToCover("OUT-Sh")from Entry ("SHORT") NBContrats contracts this bar;
end;
{stopLoss SX }
var : amount(0);
input:stoplossSh(200);
amount =stopLossSh * 50 * NBContrats ;
SetStopPosition;
SetStopLoss( Amount ) ;
{ Trailing STOP SX }
var : orderPrice(0),floorProfit(0);
inputs: LengthSX( 1 ), FloorAmtSX(200) ;
OrderPrice = HighestFC( C , LengthSX ) ;
FloorProfit = FloorAmtSX * 50 * NBContrats;
if MaxPositionProfit >= FloorProfit then
Buy To Cover ( "TrailSX" ) next bar at OrderPrice stop ;
{ Profit Target SX }
var: SProfit(0);
inputs: SetProfitSx( 200 ) ;
SProfit = SetProfitSx * 50 * NbContrats;
SetProfitTarget( SProfit ) ;
end;
end;
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| Envoyé par jean paul le 29 Mars 2006 à 11:17
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J'ai essayé de t'envoyer une notice explicative avec ces stratégies , mais l'écran du forum me quitte sans prévenir pendant mon travail.
Je te rapelle que ces 2 stratégies ( long et short) font plus de 100000$ net en 6 ans ( depuis 2000) il faudrait essayer de diminuer le drawdown
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| Envoyé par jean paul le 29 Mars 2006 à 11:23
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Period
Net Profit % Gain Profit Factor # Trades % Profitable
Last 12 month
$12,475.00 11.70% n/a 5 100.00%
01/01/2006 $1,662.50 1.42% 100.00 1 100.00%
01/01/2005 $8,862.50 8.16% 27.26 5 80.00%
01/01/2004 $10,600.00 10.82% 100.00 4 100.00%
01/01/2003 $12,725.00 14.93% 85.83 3 66.67%
01/01/2002 $36,950.00 76.52% 100.00 4 100.00%
01/01/2001 $23,487.50 94.71% 11.62 3 66.67%
01/01/2000 $14,800.00 148.00% 100.00 2 100.00%
Mark-To-Market Rolling Period Analysis:
Period Net Profit % Gain Profit Factor # Trades % Profitable
Today - 01/01/2006 $1,662.50 1.42% 100.00 1 100.00%
01/01/2005 - 01/01/2006 $10,525.00 9.69% 32.19 5 80.00%
01/01/2004 - 01/01/2006 $21,125.00 21.56% 100.00 8 100.00%
01/01/2003 - 01/01/2006 $33,850.00 39.71% 226.67 10 90.00%
01/01/2002 - 01/01/2006 $70,800.00 146.62% 473.00 14 92.86%
01/01/2001 - 01/01/2006 $94,287.50 380.19% 629.58 16 93.75%
01/01/2000 - 01/01/2006 $109,087.50 1090.88% 728.25 17 94.12%
Created by TradeStation: 29/03/2006 11:20:14, Copyright (c) 1991-2004 TradeStation Technologies, Inc.
TradeStation Performance Summary
All Trades
Long Trades
Short Trades
Total Net Profit $104,062.50 $39,800.00 $64,262.50
Gross Profit $104,212.50 $39,800.00 $64,412.50
Gross Loss ($150.00) $0.00 ($150.00)
Profit Factor 694.75 n/a 429.42
Open Position P/L $5,025.00 $5,025.00 $0.00
Select Total Net Profit $104,062.50 $39,800.00 $64,262.50
Select Gross Profit $104,212.50 $39,800.00 $64,412.50
Select Gross Loss ($150.00) $0.00 ($150.00)
Select Profit Factor 694.75 n/a 429.42
Adjusted Total Net Profit $77,004.95 $24,757.01 $41,339.24
Adjusted Gross Profit $77,304.95 $24,757.01 $41,639.24
Adjusted Gross Loss ($300.00) $0.00 ($300.00)
Adjusted Profit Factor 257.68 n/a 138.80
Total Number of Trades 16 7 9
Percent Profitable 93.75% 100.00% 88.89%
Winning Trades 15 7 8
Losing Trades 1 0 1
Even Trades 0 0 0
Avg. Trade Net Profit $6,503.91 $5,685.71 $7,140.28
Avg. Winning Trade $6,947.50 $5,685.71 $8,051.56
Avg. Losing Trade ($150.00) $0.00 ($150.00)
Ratio Avg. Win:Avg. Loss 46.32 n/a 53.68
Largest Winning Trade $13,500.00 $7,500.00 $13,500.00
Largest Losing Trade ($150.00) $0.00 ($150.00)
Largest Winner as % of Gross Profit 12.95% 18.84% 20.96%
Largest Loser as % of Gross Loss 100.00% n/a 100.00%
Net Profit as % of Largest Loss 69375.00% n/a 42841.67%
Select Net Profit as % of Largest Loss 69375.00% n/a 42841.67%
Adjusted Net Profit as % of Largest Loss 51336.63% n/a 27559.49%
Max. Consecutive Winning Trades 8 7 5
Max. Consecutive Losing Trades 1 0 1
Avg. Bars in Total Trades 69.50 79.14 62.00
Avg. Bars in Winning Trades 70.07 79.14 62.13
Avg. Bars in Losing Trades 61.00 0.00 61.00
Avg. Bars in Even Trades 0.00 0.00 0.00
Max. Shares/Contracts Held 1 1 1
Total Shares/Contracts Held 17 8 9
Account Size Required $150.00 $0.00 $150.00
Total Slippage $0.00 $0.00 $0.00
Total Commission $0.00 $0.00 $0.00
Return on Initial Capital 1040.63%
Annual Rate of Return 41.39%
Buy & Hold Return (19.18%)
Return on Account 69375.00%
Avg. Monthly Return $878.33
Std. Deviation of Monthly Return $1,316.78
Return Retracement Ratio 0.69
RINA Index 89.23
Sharpe Ratio 0.45
K-Ratio 3.56
Trading Period 5 Yrs, 10 Mths, 16 Dys
Percent of Time in the Market 78.63%
Time in the Market 4 Yrs, 7 Mths, 14 Dys
Longest Flat Period 57 Dys
Max. Equity Run-up $109,762.50
Date of Max. Equity Run-up 01/11/06 15:15
Max. Equity Run-up as % of Initial Capital 1097.63%
Max. Drawdown (Intra-day Peak to Valley)
Value ($6,550.00) ($4,375.00) ($6,550.00)
Date 11/08/00 15:15
as % of Initial Capital 65.50% 43.75% 65.50%
Net Profit as % of Drawdown 1588.74% 909.71% 981.11%
Select Net Profit as % of Drawdown 1588.74% 909.71% 981.11%
Adjusted Net Profit as % of Drawdown 1175.65% 565.87% 631.13%
Max. Drawdown (Trade Close to Trade Close)
Value ($150.00) $0.00 ($150.00)
Date 09/26/03 15:15
as % of Initial Capital 1.50% 0.00% 1.50%
Net Profit as % of Drawdown 69375.00% n/a 42841.67%
Select Net Profit as % of Drawdown 69375.00% n/a 42841.67%
Adjusted Net Profit as % of Drawdown 51336.63% n/a 27559.49%
Max. Trade Drawdown ($3,675.00) ($3,300.00) ($3,675.00)
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| Envoyé par aurel le 29 Mars 2006 à 18:26
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Merci pour ce programme, je vais y travailler.
As tu déjà des axes de recherche pour diminuer le drawndown?
J'ai entré le code dans tradestation et easylanguage ne reconnait pas la variable nbsp, à quoi correspond elle ?
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| Envoyé par yanga le 29 Mars 2006 à 19:30
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& nbsp; represente un espace dans du code HTML.
Essaye peut être en le supprimant du code Tradestation.
if Elong then
begin & nbsp;
Buy("LONG") NBContrats contracts this bar on close ; { ouvrir une position Longue }
prixEntree = close;
S1 = false;
S2 = false;
E1 = false;
prixEntree = c;
end;
par
if Elong then
begin
Buy("LONG") NBContrats contracts this bar on close ; { ouvrir une position Longue }
prixEntree = close;
S1 = false;
S2 = false;
E1 = false;
prixEntree = c;
end;
a+
Yann
Editer par yanga sur 29 Mars 2006 à 19:36
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| Envoyé par jean paul le 30 Mars 2006 à 10:02
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Amélioration du Drawndown
J'ai déjà par le passé essayé plusieurs indicateurs
L'utilisation du RSI a permi de diminuer légèrement le drawndown et d'augmenter le profit de 109000$
à 137000$
La stratégie basée sur les niveaux du volume oscillateur permet de détecter les interventions majeures sur le marché,
elle se synchronise donc sur les grands mouvements. Entre ces mouvements il y a des vagues plus ou moins rapides
qu'il est difficile d' anticiper et dont le profit target peut plus ou moins provoquer une sortie acceptable .
Je pense quil faudrait utiliser un indicateur comme le price volume trend et sa moyenne et utiliser les taux de variations des pentes.
La volatilité peut aussi aidé, en effet lorsque celle-ci est basse on va plutôt vers une tendance short
En attendant je vous donne la petite amélioration testée jusqu'à présent
Pour le programme short voici le texte des conditions d'entrée et sortie
Ce que je cherche actuellement, c'est une stratégie travaillant a plus court terme mais dont les performance sont au moins égale à celle-ci
avec évidemment un Drawdown beaucoup plus bas.
Les stratégies utilisant le stochastique semble donné de bons résultat, mais pas suffisant pour être utilisé seul
De plus le stochastique travaille mal en short
if MarketPosition = 0 then
begin
{ achat Long }
ESH1 = volosc crosses under -10000 ;
ESH2 =RSIvalue > 58 ;
EShort = ESH1 or ESH2;
if EShort then
begin& nbsp;
sellShort("SHORT") NBContrats contracts this bar on close; { ouvrir une vente SHORT }
prixEntree = close;
s0 = false;
s1 = false;
end;
end; { fin de la condition achat-vente }
if MarketPosition = -1 then
begin
SSh1 = volosc > 63000;
SShort = SSH1 ;
if SShort then
begin
buyToCover("OUT-Sh")from Entry ("SHORT") NBContrats contracts this bar;
end;
{ reste du programme: stoploss- Trailing Stop- profit Target }
end;
Pour le long
if MarketPosition = 0 then
begin
{ achat Long }
if E1 = false then E1 = volosc > 75000;
EL1 = E1 ;
EL2 = RSIvalue crosses over 31;
Elong = EL1 or EL2 ;
if Elong then
begin & nbsp;
Buy("LONG") NBContrats contracts this bar on close ; { ouvrir une position Longue }
prixEntree = close;
S1 = false;
S2 = false;
E1 = false;
prixEntree = c;
end;
end; { fin de la condition achat-vente }
if MarketPosition =1 then
begin
if S1 = false then S1 = volOsc < -25000;
if S2 = false then S2 = S1 and volosc crosses under 76000;
SL1 = S2 and volosc < 65000;
SLong = Sl1 ;
if SLong then
begin
sell("OUTLong") from Entry ("LONG") NBContrats contracts this bar;
end;
{ reste du programme: stoploss- Trailing Stop- profit Target }
end;
Et voici les résultats avec tradestation
TradeStation Periodical Returns: Annual
Mark-To-Market Period Analysis:
Period
Net Profit % Gain Profit Factor # Trades % Profitable
Last 12 month
$14,350.00 6.43% n/a 5 100.00%
01/01/2006 $1,662.50 0.71% 100.00 1 100.00%
01/01/2005 $10,737.50 4.77% 32.81 5 80.00%
01/01/2004 $12,550.00 5.91% 100.00 5 100.00%
01/01/2003 $14,762.50 7.47% 100.00 4 100.00%
01/01/2002 $40,175.00 25.50% 100.00 5 100.00%
01/01/2001 $46,037.50 41.29% 100.00 5 100.00%
01/01/2000 $11,500.00 11.50% 4.29 2 50.00%
Mark-To-Market Rolling Period Analysis:
Period Net Profit % Gain Profit Factor # Trades % Profitable
Today - 01/01/2006 $1,662.50 0.71% 100.00 1 100.00%
01/01/2005 - 01/01/2006 $12,400.00 5.51% 37.74 5 80.00%
01/01/2004 - 01/01/2006 $24,950.00 11.74% 100.00 9 100.00%
01/01/2003 - 01/01/2006 $39,712.50 20.09% 100.00 12 100.00%
01/01/2002 - 01/01/2006 $79,887.50 50.71% 100.00 16 100.00%
01/01/2001 - 01/01/2006 $125,925.00 112.94% 100.00 20 100.00%
01/01/2000 - 01/01/2006 $137,425.00 137.43% 40.26 22 95.45%
Created by TradeStation: 30/03/2006 09:48:54, Copyright (c) 1991-2004 TradeStation Technologies, Inc.
TradeStation Performance Summary
All Trades
Long Trades
Short Trades
Total Net Profit $133,450.00 $55,775.00 $77,675.00
Gross Profit $136,950.00 $55,775.00 $81,175.00
Gross Loss ($3,500.00) $0.00 ($3,500.00)
Profit Factor 39.13 n/a 23.19
Open Position P/L $3,975.00 $3,975.00 $0.00
Select Total Net Profit $133,450.00 $55,775.00 $77,675.00
Select Gross Profit $136,950.00 $55,775.00 $81,175.00
Select Gross Loss ($3,500.00) $0.00 ($3,500.00)
Select Profit Factor 39.13 n/a 23.19
Adjusted Total Net Profit $99,327.05 $37,183.33 $49,699.82
Adjusted Gross Profit $106,327.05 $37,183.33 $56,699.82
Adjusted Gross Loss ($7,000.00) $0.00 ($7,000.00)
Adjusted Profit Factor 15.19 n/a 8.10
Total Number of Trades 21 9 12
Percent Profitable 95.24% 100.00% 91.67%
Winning Trades 20 9 11
Losing Trades 1 0 1
Even Trades 0 0 0
Avg. Trade Net Profit $6,354.76 $6,197.22 $6,472.92
Avg. Winning Trade $6,847.50 $6,197.22 $7,379.55
Avg. Losing Trade ($3,500.00) $0.00 ($3,500.00)
Ratio Avg. Win:Avg. Loss 1.96 n/a 2.11
Largest Winning Trade $15,000.00 $7,500.00 $15,000.00
Largest Losing Trade ($3,500.00) $0.00 ($3,500.00)
Largest Winner as % of Gross Profit 10.95% 13.45% 18.48%
Largest Loser as % of Gross Loss 100.00% n/a 100.00%
Net Profit as % of Largest Loss 3812.86% n/a 2219.29%
Select Net Profit as % of Largest Loss 3812.86% n/a 2219.29%
Adjusted Net Profit as % of Largest Loss 2837.92% n/a 1419.99%
Max. Consecutive Winning Trades 20 9 11
Max. Consecutive Losing Trades 1 0 1
Avg. Bars in Total Trades 64.95 74.11 58.08
Avg. Bars in Winning Trades 67.90 74.11 62.82
Avg. Bars in Losing Trades 6.00 0.00 6.00
Avg. Bars in Even Trades 0.00 0.00 0.00
Max. Shares/Contracts Held 1 1 1
Total Shares/Contracts Held 22 10 12
Account Size Required $3,500.00 $0.00 $3,500.00
Total Slippage $0.00 $0.00 $0.00
Total Commission $0.00 $0.00 $0.00
Return on Initial Capital 133.45%
Annual Rate of Return 14.42%
Buy & Hold Return (18.56%)
Return on Account 3812.86%
Avg. Monthly Return $999.58
Std. Deviation of Monthly Return $1,414.04
Return Retracement Ratio 0.30
RINA Index 124.18
Sharpe Ratio 0.55
K-Ratio 3.71
Trading Period 5 Yrs, 10 Mths, 16 Dys
Percent of Time in the Market 95.25%
Time in the Market 5 Yrs, 7 Mths, 5 Dys
Longest Flat Period 41 Dys
Max. Equity Run-up $143,087.50
Date of Max. Equity Run-up 01/11/06 15:15
Max. Equity Run-up as % of Initial Capital 143.09%
Max. Drawdown (Intra-day Peak to Valley)
Value ($8,725.00) ($4,800.00) ($8,725.00)
Date 09/01/00 15:15
as % of Initial Capital 8.72% 4.80% 8.72%
Net Profit as % of Drawdown 1529.51% 1161.98% 890.26%
Select Net Profit as % of Drawdown 1529.51% 1161.98% 890.26%
Adjusted Net Profit as % of Drawdown 1138.42% 774.65% 569.63%
Max. Drawdown (Trade Close to Trade Close)
Value ($3,500.00) $0.00 ($3,500.00)
Date 03/23/00 15:15
as % of Initial Capital 3.50% 0.00% 3.50%
Net Profit as % of Drawdown 3812.86% n/a 2219.29%
Select Net Profit as % of Drawdown 3812.86% n/a 2219.29%
Adjusted Net Profit as % of Drawdown 2837.92% n/a 1419.99%
Max. Trade Drawdown ($3,612.50) ($3,612.50) ($3,500.00)
All Trades
Total Net Profit $133,450.00 Profit Factor 39.13
Gross Profit $136,950.00 Gross Loss ($3,500.00)
Open Position Profit/Loss $3,975.00
Select Total Net Profit $133,450.00 Select Profit Factor 39.13
Select Gross Profit $136,950.00 Select Gross Loss ($3,500.00)
Adjusted Total Net Profit $99,327.05 Adjusted Profit Factor 15.19
Adjusted Gross Profit $106,327.05 Adjusted Gross Loss ($7,000.00)
Total Number of Trades 21 Percent Profitable 95.24%
Winning Trades 20 Losing Trades 1
Even Trades 0
Avg. Trade Net Profit $6,354.76 Ratio Avg. Win:Avg. Loss 1.96
Avg. Winning Trade $6,847.50 Avg. Losing Trade ($3,500.00)
Largest Winning Trade $15,000.00 Largest Losing Trade ($3,500.00)
Largest Winner as % of Gross Profit 10.95% Largest Loser as % of Gross Loss 100.00%
Net Profit as % of Largest Loss 3812.86%
Slct. Net Profit as % of Largest Loss 3812.86% Adj. Net Profit as % of Largest Loss 2837.92%
Max. Consecutive Winning Trades 20 Max. Consecutive Losing Trades 1
Avg. Bars in Winning Trades 67.90 Avg. Bars in Losing Trades 6.00
Avg. Bars in Total Trades 64.95
Max. Shares/Contracts Held 1 Account Size Required $3,500.00
Total Commission $0.00 Total Slippage $0.00
Return on Initial Capital 133.45% Annual Rate of Return 14.42%
Buy and Hold Return (18.56%) Return on Account 3812.86%
Avg. Monthly Return $999.58 Std. Deviation of Monthly Return $1,414.04
Return Retracement Ratio 0.30 RINA Index 124.18
Sharpe Ratio 0.55 K-Ratio 3.71
Trading Period 5 Yrs, 10 Mths, 16 Dys Percent of Time in the Market 95.25%
Time in the Market 5 Yrs, 7 Mths, 5 Dys Longest Flat Period 41 Dys
Max. Equity Run-up $143,087.50
Date of Max. E. Run-up 01/11/06 15:15 Max. E. Run-up as % of Initial Capital 143.09%
Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)
Value ($8,725.00) Value ($3,500.00)
Date 09/01/00 15:15 Date 03/23/00 15:15
as % of Initial Capital 8.72% as % of Initial Capital 3.50%
Net Profit as % of Drawdown 1529.51% Net Profit as % of Drawdown 3812.86%
Slct. Net Profit as % of Drawdown 1529.51% Slct. Net Profit as % of Drawdown 3812.86%
Adj. Net Prof as % of Drawdown 1138.42% Adj. Net Profit as % of Drawdown 2837.92%
Max. Trade Drawdown ($3,612.50)
Long Trades
Total Net Profit $55,775.00 Profit Factor n/a
Gross Profit $55,775.00 Gross Loss $0.00
Open Position Profit/Loss $3,975.00
Select Total Net Profit $55,775.00 Select Profit Factor n/a
Select Gross Profit $55,775.00 Select Gross Loss $0.00
Adjusted Total Net Profit $37,183.33 Adjusted Profit Factor n/a
Adjusted Gross Profit $37,183.33 Adjusted Gross Loss $0.00
Total Number of Trades 9 Percent Profitable 100.00%
Winning Trades 9 Losing Trades 0
Even Trades 0
Avg. Trade Net Profit $6,197.22 Ratio Avg. Win:Avg. Loss n/a
Avg. Winning Trade $6,197.22 Avg. Losing Trade $0.00
Largest Winning Trade $7,500.00 Largest Losing Trade $0.00
Largest Winner as % of Gross Profit 13.45% Largest Loser as % of Gross Loss n/a
Max. Consecutive Winning Trades 9 Max. Consecutive Losing Trades 0
Avg. Bars in Winning Trades 74.11 Avg. Bars in Losing Trades 0.00
Avg. Bars in Total Trades 74.11
Max. Shares/Contracts Held 1 Account Size Required $0.00
Total Commission $0.00 Total Slippage $0.00
Net Profit as % of Largest Loss n/a
Slct. Net Profit as % of Largest Loss n/a Adj. Net Profit as % of Largest Loss n/a
Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)
Value ($4,800.00) Value $0.00
as % of Initial Capital 4.80% as % of Initial Capital 0.00%
Net Profit as % of Drawdown 1161.98% Net Profit as % of Drawdown n/a
Slct. Net Profit as % of Drawdown 1161.98% Slct. Net Profit as % of Drawdown n/a
Adj. Net Prof as % of Drawdown 774.65% Adj. Net Profit as % of Drawdown n/a
Max. Trade Drawdown ($3,612.50)
Short Trades
Total Net Profit $77,675.00 Profit Factor 23.19
Gross Profit $81,175.00 Gross Loss ($3,500.00)
Open Position Profit/Loss $0.00
Select Total Net Profit $77,675.00 Select Profit Factor 23.19
Select Gross Profit $81,175.00 Select Gross Loss ($3,500.00)
Adjusted Total Net Profit $49,699.82 Adjusted Profit Factor 8.10
Adjusted Gross Profit $56,699.82 Adjusted Gross Loss ($7,000.00)
Total Number of Trades 12 Percent Profitable 91.67%
Winning Trades 11 Losing Trades 1
Even Trades 0
Avg. Trade Net Proft $6,472.92 Ratio Avg. Win:Avg. Loss 2.11
Avg. Winning Trade $7,379.55 Avg. Losing Trade ($3,500.00)
Largest Winning Trade $15,000.00 Largest Losing Trade ($3,500.00)
Largest Winner as % of Gross Profit 18.48% Largest Loser as % of Gross Loss n/a
Max. Consecutive Winning Trades 11 Max. Consecutive Losing Trades 1
Avg. Bars in Winning Trades 62.82 Avg. Bars in Losing Trades 6.00
Avg. Bars in Total Trades 58.08
Max. Shares/Contracts Held 1 Account Size Required $3,500.00
Total Slippage $0.00 Total Commission $0.00
Net Profit as % of Largest Loss 2219.29%
Slct. Net Profit as % of Largest Loss 2219.29% Adj. Net Profit as % of Largest Loss 1419.99%
Max. Drawdown (Intra-day Peak to Valley)
Max. Drawdown (Trade Close to Trade Close)
Value ($8,725.00) Value ($3,500.00)
as % of Initial Capital 8.72% as % of Initial Capital 3.50%
Net Profit as % of Drawdown 890.26% Net Profit as % of Drawdown 2219.29%
Slct. Net Profit as % of Drawdown 890.26% Slct. Net Profit as % of Drawdown 2219.29%
Adj. Net Prof as % of Drawdown 569.63% Adj. Net Prof as % of Drawdown 1419.99%
Max. Trade Drawdown ($3,500.00)
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| Envoyé par tonio le 30 Mars 2006 à 10:10
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Bonjour Jean Paul,
ta stratégie à l'air super, par contre pourrais tu etre plus precis concernant la base de temps choisie( daily,5min ou +),utilise tu @es?
merci encore 
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| Envoyé par jean paul le 30 Mars 2006 à 10:22
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réponse à tonio
Cette stratégie est prévue pour le swing trading e-mi sp500 et de longues périodes de trade
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Sujet: entraide backtest
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