[Komunitas AmiBroker] Belajar Backtest Project Bargain Hunter - Wisnu

Dear Amibroker User,

CATATAN BELAJAR AKHIR TAHUN 2010

Saya coba2 backtest Project Bargain Hunter nya mas Wisnu... hasilnya profit 4500.71% khusus backtest pd saham2 yg ada di Indeks JII.
Performance sistem per bulan atau per tahun, seperti yg terlihat pd lampiran...

Lampiran itu juga bisa dipakai untuk melihat pd bulan2 apa system ini berfungsi dgn maksimum speed dan pd bulan2 apa dia slowdown bahkan mogok...

Buat teman2 yg blm coba... saya sarankan untuk coba backtest Project Bargain Hunter ini, saya yakin anda akan banyak memperoleh pelajaran... saya sebutkan satu diantaranya berupa pertanyaan: apakah ada sistem dengan return positif pada bulan May 2010 ? Anda tidak akan memperoleh jawabannya jika tidak belajar backtest thdp beberapa sistem gacoan anda.

AFL nya mas Wisnu saya copas di bagian bawah email ini.

Thanks again mas Wisnu.

Regards,
ES

Modal	75,000,000
MaxPostSize	4
Period	1-Jan-05	23-Dec-10	6	thn
Statistics
	All trades	Long trades	Short trades
Initial capital	75000000	75000000	75000000
Ending capital	3450530170	3450530170	75000000
Net Profit	3375530170	3375530170	0
Net Profit %	4500.71%	4500.71%	0.00%
Exposure %	52.48%	52.48%	0.00%
Net Risk Adjusted Return %	8576.59%	8576.59%	N/A
Annual Return %	89.85%	89.85%	0.00%
Risk Adjusted Return %	171.22%	171.22%	N/A

//======================



On Tue, Dec 21, 2010 at 12:57 PM, Wisnu Mobile wrote:


Ternyata Wiseman1 lumayan menguntungkan. 

1. 20 years backtested. CAR: 82%! WB kalah tuw.. Problema nya ada di MaxSysDD: -52%! Saya belum pernah lihat trader senior yang mampu stomach this kind of drawdown. Kalau beginner malah sering lihat.. :) Bisa diperbaiki dengan better Exit.

2. Entry: BULLISH DIVERGENCE BAR, with DISCOUNT as a qualifier (gantinya Angulasi). Silahkan diganti dengan kondisi lain yang anda mau. Leave variable names intact, supaya bisa dipanggil.

3. Simple MM: 5 max open positions (optimization capable - untuk yang mau belajar optimasi), RSI based position score. 

4. Exit, karena tidak ada inputan - mungkin entry nya sangat profitable barangkali, saya pakai REVERSE Divergence Bar... hehe... silahkan diganti kalau punya kode yang lebih baik.

5. Realtime Entry-Exit.

Snapshot and code, attached.

Hari ini sudah masuk pasar lagi... jadinya project ini kudu diselesaikan.. :) Silahkan dikembangkan sendiri-sendiri ya..

Salam.

Code:

_SECTION_BEGIN("Price");

SetChartOptions(0,chartShowArrows|chartShowDates|chartLogarithmic);

_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 )) ));

Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() ); 

if( ParamToggle("Tooltip shows", "All Values|Only Prices" ) )

{

 ToolTip=StrFormat("Open: %g\nHigh:  %g\nLow:   %g\nClose:  %g (%.1f%%)\nVolume: "+NumToStr( V, 1 ), O, H, L, C, SelectedValue( ROC( C, 1 )));

}

_SECTION_END();

_SECTION_BEGIN("Trade System");

GfxSelectFont("Tahoma", 12, 400);

GfxDrawText("Wiseman1 - BETA", 4, 15, 350, 40);

SetFormulaName("Wiseman1 - BETA");

SetTradeDelays( 0, 0, 0, 0);

MaxOpenPos=Optimize("MaxOpenPositions", 5, 1, 10, 1);

SetOption("MaxOpenPositions", MaxOpenPos);

PositionSize=-100/MaxOpenPos;

PositionScore=100-RSI();

/*Wiseman1*/

DivBar=(L<Ref(L,-1)) AND (C>(H+L)/2); //DivBar

/*Angulation Replacement - take out and replace if you want, but keep the variables name intact.*/

PriceDisc=1-Param("PriceDisc (%)", 5, 0, 50, 5)/100;

DBQualifier1=(C<=Ref(C,-Param("LookBack Period", 5, 3, 10, 1))*PriceDisc);

WS1DivBar=DivBar AND DBQualifier1;

DaySinceDivBar=BarsSince(WS1DivBar);

WS1BuyCond1=C>Ref(H,-DaySinceDivBar);//Entry if Close higher than DivBar H

Buy=WS1BuyCond1;

BuyPrice=Ref(H,-DaySinceDivBar);//Realtime Buy Price at DivBar H

RevDivBar=(L>Ref(L,-1)) AND (C<(H+L)/2); // Reverse DivBar Exit

DaySinceRevDivBar=BarsSince(RevDivBar);

WS1ExitCond1=C<Ref(L,-DaySinceRevDivBar); //Exit if Close lower than RevDivBar L

Sell=WS1ExitCond1;

SellPrice=Ref(L,-DaySinceRevDivBar);//Realtime Exit Price at RevDivBar L

Buy=ExRem(Buy,WS1DivBar);

Sell=ExRem(Sell,RevDivBar);

Sell=ExRem(Sell,Buy);

PlotShapes(IIf(WS1DivBar,shapeSmallUpTriangle,Null), colorBlue, 0, L, -15);

PlotShapes(IIf(Buy,shapeSmallUpTriangle,Null), colorBrightGreen, 0, L, -10);

PlotShapes(IIf(RevDivBar,shapeSmallDownTriangle,Null), colorYellow, 0, H, -15);

PlotShapes(IIf(Sell,shapeSmallDownTriangle,Null), colorRed, 0, H, -10);

_SECTION_END();

_SECTION_BEGIN("Daily Explorer");

Filter=Buy OR Sell;

AddTextColumn( WriteIf(Buy, "Buy!", 

WriteIf(Sell, "Sell!", "")), "Trade Signal", 1.0);

AddColumn(C, "Close", 1.0);

_SECTION_END();

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Apabila membutuhkan software AmiBroker, Realtime Intraday Data & Pelatihan silahkan kontak : Dendo Valentino | Cell : 08159304868 | e-mail: amibrokerfreak{at}yahoo.co.id | YM id : dendov | http://www.facebook.com/dendo.amibrokerfreak | http://www.amibroker-4-bei.org

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