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ROMPETENDENCIAS-3
Estrategia consistente en comprar con maximos crecientes y vender con maximos decrecientes.
Basada en una idea de A. Gonzalez. Se trata de una variante de la estrategia rompetendencias de Juan Kowalsky.
COMPRAR:
Cuando el MAXIMO a corto plazo supera al MAXIMO a largo plazo
VENDER:
Cuando el máximo a corto plazo es inferior al máximo a largo plazo
FORMA DE PLASMARLO EN METASTOCK:
Enter long:
When( HHV(H,opt1) = HHV(H,opt2) )
Close long:
When( HHV(H,opt1) < HHV(H,opt2))
Optimizacion:
OPT1
Range: From 8 to 15 by 1
OPT2
Range: From 16 to 25 by 1
RESULTADOS PARA B. SANTANDER
en 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 223.01 Open position value -102.74
Percent gain/loss 22.30 Annual percent gain/loss 29.82
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 30/11/98
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 9 Commissions paid 96.97
Avg profit per trade 36.19 Avg Win/Avg Loss ratio 1.65
Total long trades 9 Total short trades 0
Winning long trades 6 Winning short trades 0
Total winning trades 6 Total losing trades 3
Amount of winning trades 466.87 Amount of losing trades -141.13
Average win 77.81 Average loss -47.04
Largest win 181.63 Largest loss -66.58
Average length of win 11.50 Average length of loss 12.33
Longest winning trade 27 Longest losing trade 22
Most consecutive wins 3 Most consecutive losses 1
Total bars out 90 Average length out 9.00
Longest out period 20
System close drawdown -92.30 Profit/Loss index 61.24
System open drawdown -92.30 Reward/Risk index 70.73
Max open trade drawdown -118.39 Buy/Hold index -152.01
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