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ROMPETENDENCIAS-2
Estrategia basada en comprar con maximos creciente y vender con minimos decrecientes.
Se trata de una variante del sistema rompetendencias de Juan Kowalsky
La estrategia está ideada por A.Gzlez. y consiste en:
COMPRAR:
Cuando el MAXIMO a corto plazo supera al MAXIMO a largo
VENDER:
Cuando el MINIMO a corto plazo es inferior al MINIMO a largo
FORMA DE PLASMARLO EN METASTOCK:
Enter long:
When( HHV(H,opt1) = HHV(H,opt2) )
Close long:
When( LLV(L,opt1) = LLV(L,opt2))
Optimizacion:
OPT1
Range: From 8 to 15 by 1
OPT2
Range: From 16 to 25 by 1
RESULTADOS PARA B. SANTANDER
sobre prueba realizada en 10/12/98:
Initial equity 1000
Positions Long and short
Trade price Close
Trade delay 1
Entry commission 0.5%
Exit commission 0.5%
Interest rate 0%
Margin req. 100%
Total net profit 90.14
Open position value -21.47
Percent gain/loss 9.01 Annual percent gain/loss 12.05
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 1/12/98
Buy/Hold profit -231.24 Days in test 273
Buy/Hold pct gain/loss -23.12 Annual B/H pct gain/loss -30.92
Total closed trades 6 Commissions paid 63.66
Avg profit per trade 18.60 Avg Win/Avg Loss ratio 1.83
Total long trades 6 Total short trades 0
Winning long trades 3 Winning short trades 0
Total winning trades 3 Total losing trades 3
Amount of winning trades 246.66 Amount of losing trades -135.05
Average win 82.22 Average loss -45.02
Largest win 157.15 Largest loss -76.85
Average length of win 16.67 Average length of loss 8.67
Longest winning trade 24 Longest losing trade 15
Most consecutive wins 2 Most consecutive losses 2
Total bars out 115 Average length out 16.43
Longest out period 46
System close drawdown -91.73 Profit/Loss index 40.03
System open drawdown -98.14 Reward/Risk index 47.87
Max open trade drawdown -72.28 Buy/Hold index -129.69
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