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ROMPETENDENCIAS-4
Estrategia basada en comprar con minimos crecientes y vender con minimos decrecientes
Se trata de una variante de la estrategia de Juan Kowalsky sobre rompe-tendencias, ideada por A. Gonzalez, consistente en:
COMPRAR:
Cuando el mínimo a corto plazo supera al mínimo a largo plazo
VENDER:
Cuando el MINIMO a corto plazo es inferior al MINIMO a largoplazo
FORMA DE PLASMARLO EN METASTOCK:
Enter long:
When( LLV(L,opt1) > LLV(L,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
en pruebas efectuadas 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 98.24 Open position value 8.63
Percent gain/loss 9.82 Annual percent gain/loss 13.13
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 3/12/98
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 4 Commissions paid 43.59
Avg profit per trade 22.40 Avg Win/Avg Loss ratio 5.49
Total long trades 4 Total short trades 0
Winning long trades 1 Winning short trades 0
Total winning trades 1 Total losing trades 3
Amount of winning trades 197.56 Amount of losing trades -107.95
Average win 197.56 Average loss -35.98
Largest win 197.56 Largest loss -90.77
Average length of win 22.00 Average length of loss 14.00
Longest winning trade 22 Longest losing trade 22
Most consecutive wins 1 Most consecutive losses 3
Total bars out 125 Average length out 25.00
Longest out period 60
System close drawdown -107.95 Profit/Loss index 47.64
System open drawdown -111.21 Reward/Risk index 46.90
Max open trade drawdown -86.27 Buy/Hold index -146.21
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