Re: [Komunitas AmiBroker] [PROJECT] Bargain Hunter Backtest - CLOSED

Selalu bisa dicoba, Pak.

CAR saya 200%, MDD -26%. Bukan pada saham ini, tapi pada filter portfolio yang sama.

Salam.

2010/12/21 <timurlangit.is.here@gmail.com>

Mantap Pak Wisnu,
Untuk mengurangi drawdown, bagaimana jika dikasi level cutloss misal -2% dari L pada candle beli.

Btw Pak, sebagai benchmark, berapa
CAR dan MaxSysDD utk system BO Pak Wisnu pada saham ini?

Timur

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From: Wisnu Mobile <wisnu.working@gmail.com>

Sender: amibroker-4-bei@yahoogroups.com

Date: Tue, 21 Dec 2010 12:57:45 +0700

To: <amibroker-4-bei@yahoogroups.com>

ReplyTo: amibroker-4-bei@yahoogroups.com

Subject: [Komunitas AmiBroker] [PROJECT] Bargain Hunter Backtest - CLOSED

 

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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