Experiments in Technical Analysis

prakash.jj · #**281** 27th October 2006, 01:52 PM

[quote=murthymsr;62831]

Quote:

Originally Posted by sivavkm

In my search for the PERFECT trading system (holy grail!), i backtested MABIUTS from karthik. It generated 125% profit on backtesting for a period between Jan 2006 to Oct 2006.
.......................

thanks siva for the back test report.

enouraged by your post, i too checked the karthik's MABIUTS and another 26 trading systems, i could get from different sources and tested the same. i present the summary of my observations as below.

each of the trading system is developed for different holding periods, different trading methods and a comparision may not be all that perfect. but with the SHORT TERM TRADER in view, i have backtested nSE stocks with reasonable turnover during the period 1 jan 2006 to 30 oct 2006. the results of the systems which gave more than 50 % profits only is given below in descending order of profitability.

the profits varied from as high as 99 % to as low as a LOSS of 25 %. so, selection of the trading system is very important for any trader.

note: no two tests are likely to give the same results as the test 'settings' may be different.

MABIUTS : 99 %
T3 : 93 %
3d Reversal : 91 %
ATR Trading system : 61 %
Bull Bear Fear : 58 %
GANN : 53 %

amomg the remaining 21 systems, 12 made profits ranging between 49 % & 0 % and 9 made losses, the max LOSS being 25 %.

this post is made as an acadamic exercise only, and NOT to promote some body or to criticise any other's trading system.

what comes out important is that one should identify his trading style and identify the trading system that gives the best results for that trading style.

i congratulate karthik, whose system stood on top of the report.

all the best.

murthymsr

Hello,
Can u pls tell me where is the AFL for MABIUTS,
Thanks and Regards,
Prakash

karthikmarar · #**282** 27th October 2006, 02:41 PM

Dear murthy

Thanks for backtesting MABIUTS. Working on some enhancements now. Will post it soon. Wil again look forward to your backtesting it. Siva too...

warm regards

Karthik

karthikmarar · #**283** 27th October 2006, 02:45 PM

Prakash

Here is the link for the Afl.

http://www.traderji.com/52339-post21.html

regards

Karthik

sivavkm · #**284** 27th October 2006, 02:46 PM

Quote:

Originally Posted by asnavale

dear Siva,

Is the back test coducted on a single stock or a number of stocks? I am working on 30 stocks. The cross over technique is one of the strategies I have included. I am about to complete the tests and shortly write about them. It should have been over by now but I had to go out of station for some time. Also ceratin events at home kept me away from working on the system and so I could not complete. By this week end I hope to finish it.

-Anant

Dear Anant,

My settings for the Amibroker backtest was as follows :-

System used = MABIUTS
Initial Equity = 100000
Max Open Positions = 6
Trailing StopLoss = 2%
Round Lot Size = 5
Min Position Value = 5000
All other default settings

Date Range between 1-1-2006 to 26-10-2006
For All NSE stocks

I created a new DB using soumya's data (split/bonus/merge adjusted)
This time i got 135% profit.

Regards
Siva

sivavkm · #**285** 27th October 2006, 04:19 PM

With continued interest on backtesting, i did a full test, for all symbols, for all period. Made some code modifications for position sizing...

Got 462% profit.

htm attachments are not allowed, so attaching png files.

Code:

PositionScore = 100 / C; 
PositionSize = - 20;
SetBarsRequired(10000, 10000); 
SetFormulaName("MABIUTS System");

Buy=EMA(C,13)>EMA(EMA(C,13),9) AND  Cross (C,Peak(C,5,1));
Sell=Cross (EMA(EMA(C,13),9),EMA(C,13));

Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
SetTradeDelays(1, 1, 1, 1);

Regards
Siva

prakash.jj · #**286** 27th October 2006, 04:31 PM

Quote:

Originally Posted by sivavkm

With continued interest on backtesting, i did a full test, for all symbols, for all period. Made some code modifications for position sizing...

Got 462% profit.

htm attachments are not allowed, so attaching png files.

Code:

PositionScore = 100 / C; 
PositionSize = - 20;
SetBarsRequired(10000, 10000); 
SetFormulaName("MABIUTS System");

Buy=EMA(C,13)>EMA(EMA(C,13),9) AND  Cross (C,Peak(C,5,1));
Sell=Cross (EMA(EMA(C,13),9),EMA(C,13));

Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
SetTradeDelays(1, 1, 1, 1);

Regards
Siva

HI 462% profit in how many months?

Is it between 1st Jan 2006 to 1 st Oct 2006?

gobatman2001 · #**287** 28th October 2006, 06:56 PM

Hi! Fellow Traders,

Anyone has the template for Fibotrader users for MABIUTS .

Would be grateful if someone could please help with the same.

Thanks & regards,
Amit

jdm · #**288** 29th October 2006, 09:59 PM

hi karthik,
got hold of a dll which enables ms to incorporate charts of different time frame in a single chart.

the same can be downloaded from the equis forum site.

cheers,
jdm.

karthikmarar · #**289** 29th October 2006, 10:38 PM

Hi Joy

That is great news.

But the chart enclosed by you is a bit confusing. Is the X axis time scale same or different. becuase if the time scale is same then the weekly chart on a daily chart should be a step chart. If the time scale is different then comparision becomes difficult unless we have both the time scales shown on the X axis. Would like to know the details.

Warm regards

Karthik

rahulg77 · #**290** 30th October 2006, 12:31 AM

Hi Can anyone explain me the condition

Buy=EMA(C,13)>EMA(EMA(C,13),9) AND Cross (C,Peak(C,5,1));.

So we buy when EMA of 13 crosses above its smoothened avg of 9 days. But what does this condition cross(c,peak(c,5,1)) imply.

Rgds

Rahul

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