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empu  
#1 Posted : Wednesday, March 20, 2013 3:10:20 AM(UTC)
empu

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Dear Moderator,

I would like to do performance test on candlestick such as: buy at Hammer and sell at Inverted hammer. How can I do it?

regards,

empu
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eddie.m  
#2 Posted : Wednesday, March 20, 2013 3:27:15 AM(UTC)
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Hi there,

Click on New System in Enhanced System Tester.

Type in name: Hammers and Inverted Hammers

Buy order: Hammer()
Sell Order: InvHammer()

Click OK.

Test on you favorite security(ies) on daily and weekly periodicities.

Also, play with Stops settings.

Funnily enough, I got only 18 stocks with negative % Gain in DOW COMP 65 stocks. [:D]
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henry1224  
#3 Posted : Wednesday, March 20, 2013 5:52:45 AM(UTC)
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UserPostedImage

notice that there is a greater than 50% drawdown risk trading this strategy
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empu  
#4 Posted : Wednesday, March 20, 2013 5:18:21 PM(UTC)
empu

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Henry, thank you for reply.

This is summary of report

Summary AD06-Candlestick 3Formation Astra Internatio (ASII.JK) Simulation Date 03/21/2013 05:56:19 600 Daily Bars 10/13/2010 Through 03/19/2013 (888 Days)

Performance Profit $757.09 Performance 7.57 % Annualized Performance 3.11 % Buy & Hold Profit $189000.00 Buy & Hold Performance 1890.00 % Buy & Hold Annualized Performance 776.86 %

Trade Summary Total Trades 0 Trade Efficiency 0.00 % Average Profit/Average Loss N/A

Profitable Trades Total 0 Long 0 Short 0 Average Profit $0.00 Highest Profit $0.00 Lowest Profit $0.00 Most Consecutive 0

Unprofitable Trades Total 0 Long 0 Short 0 Average Loss $0.00 Highest Loss $0.00 Lowest Loss $0.00 Most Consecutive 0

Maximum Position Excursions Long Favorable $0.00 Short Favorable $0.00 Long Adverse $0.00 Short Adverse $0.00

Trade Efficiency Average Entry 0.00 % Average Exit 0.00 % Average Total 0.00 % Average Long Entry 0.00 % Average Long Exit 0.00 % Average Long Total 0.00 % Average Short Entry 0.00 % Average Short Exit 0.00 % Average Short Total 0.00 %

Performance Indices Buy & Hold Index -99.60 % Profit/Loss Index 100.00 % Reward/Risk Index 100.00 %

Accounting Initial Equity $10000.00 Trade Profit $0.00 Trade Loss $0.00 Commissions $0.00 Interest Credited $757.09 Interest Charged $0.00 Final Equity $10757.09 Open Positions $0.00

Account Variation Highest Account Balance $10757.09 Lowest Account Balance $10000.00 Highest Portfolio Value $0.00 Highest Open Drawdown $0.00 Highest Closed Drawdown $0.00

Account Events Margin Calls 0 Overdrafts 0

Profitable Timing Average Trade Length 0 Longest Trade Length 0 Shortest Trade Length 0 Total Trade Length 0

Unprofitable Timing Average Trade Length 0 Longest Trade Length 0 Shortest Trade Length 0 Total Trade Length 0

Out of Market Timing Average 300 Longest 600 Total 600

Summary AD06-Candlestick 3Formation Astra Internatio (ASII.JK) Simulation Date 03/21/2013 05:56:19 600 Daily Bars 10/13/2010 Through 03/19/2013 (888 Days)

Performance Profit $757.09 Performance 7.57 % Annualized Performance 3.11 % Buy & Hold Profit $189000.00 Buy & Hold Performance 1890.00 % Buy & Hold Annualized Performance 776.86 %

Trade Summary Total Trades 0 Trade Efficiency 0.00 % Average Profit/Average Loss N/A

Profitable Trades Total 0 Long 0 Short 0 Average Profit $0.00 Highest Profit $0.00 Lowest Profit $0.00 Most Consecutive 0

Unprofitable Trades Total 0 Long 0 Short 0 Average Loss $0.00 Highest Loss $0.00 Lowest Loss $0.00 Most Consecutive 0

Maximum Position Excursions Long Favorable $0.00 Short Favorable $0.00 Long Adverse $0.00 Short Adverse $0.00

Trade Efficiency Average Entry 0.00 % Average Exit 0.00 % Average Total 0.00 % Average Long Entry 0.00 % Average Long Exit 0.00 % Average Long Total 0.00 % Average Short Entry 0.00 % Average Short Exit 0.00 % Average Short Total 0.00 %

ORDER

Orders

Bar Date Number Event Type Size Terms Price Price Field Position Source 153 05/25/2011 1 Considered Buy 100 Market Signal 153 05/25/2011 1 Placed Buy 100 Market Signal 154 05/26/2011 1 Cancelled - Open cost Buy 100 Market Signal 332 02/14/2012 2 Considered Buy 100 Market Signal 332 02/14/2012 2 Placed Buy 100 Market Signal 333 02/15/2012 2 Cancelled - Open cost Buy 100 Market Signal 352 03/13/2012 3 Considered Buy 100 Market Signal 352 03/13/2012 3 Placed Buy 100 Market Signal 353 03/14/2012 3 Cancelled - Open cost Buy 100 Market Signal 378 04/20/2012 4 Considered Buy 100 Market Signal 378 04/20/2012 4 Placed Buy 100 Market Signal 379 04/23/2012 4 Cancelled - Open cost Buy 100 Market Signal 397 05/21/2012 5 Considered Buy 100 Market Signal 397 05/21/2012 5 Placed Buy 100 Market Signal 398 05/22/2012 5 Cancelled - Open cost Buy 100 Market Signal

Summary

Considered Opened Executed Cancelled Total 5 0 0 5 Orders Bar Date Number Event Type Size Terms Price Price Field Position Source 153 05/25/2011 1 Considered Buy 100 Market Signal 153 05/25/2011 1 Placed Buy 100 Market Signal 154 05/26/2011 1 Cancelled - Open cost Buy 100 Market Signal 332 02/14/2012 2 Considered Buy 100 Market Signal 332 02/14/2012 2 Placed Buy 100 Market Signal 333 02/15/2012 2 Cancelled - Open cost Buy 100 Market Signal 352 03/13/2012 3 Considered Buy 100 Market Signal 352 03/13/2012 3 Placed Buy 100 Market Signal 353 03/14/2012 3 Cancelled - Open cost Buy 100 Market Signal 378 04/20/2012 4 Considered Buy 100 Market Signal 378 04/20/2012 4 Placed Buy 100 Market Signal 379 04/23/2012 4 Cancelled - Open cost Buy 100 Market Signal 397 05/21/2012 5 Considered Buy 100 Market Signal 397 05/21/2012 5 Placed Buy 100 Market Signal 398 05/22/2012 5 Cancelled - Open cost Buy 100 Market Signal

Summary

Considered Opened Executed Cancelled Total 5 0 0 5
Performance Indices Buy & Hold Index -99.60 % Profit/Loss Index 100.00 % Reward/Risk Index 100.00 %

Accounting Initial Equity $10000.00 Trade Profit $0.00 Trade Loss $0.00 Commissions $0.00 Interest Credited $757.09 Interest Charged $0.00 Final Equity $10757.09 Open Positions $0.00

Account Variation Highest Account Balance $10757.09 Lowest Account Balance $10000.00 Highest Portfolio Value $0.00 Highest Open Drawdown $0.00 Highest Closed Drawdown $0.00

Account Events Margin Calls 0 Overdrafts 0

Profitable Timing Average Trade Length 0 Longest Trade Length 0 Shortest Trade Length 0 Total Trade Length 0

Unprofitable Timing Average Trade Length 0 Longest Trade Length 0 Shortest Trade Length 0 Total Trade Length 0

Out of Market Timing Average 300 Longest 600 Total 600

STOPS

Maximum loss

Short: 5%

Profit

Long:100%

Trailing (tick on Longs and Shorts)

Longs/Shorts:3%

Periods:100

Sorry I don't know to show the better stops. I guessed I did wrong setting on my enhanced tester.

Henry, would you guide me once again which stops setting I should change.

Regards,

Empu
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henry1224  
#5 Posted : Wednesday, March 20, 2013 6:58:58 PM(UTC)
henry1224

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my system test was done using VST Pro from metastocktools.com

it gives you the straight no nonsense equity of the trades versus the risk involved

it was based on over 12 years of UTX

your test didn't show any trades placed
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empu  
#6 Posted : Wednesday, March 20, 2013 7:39:01 PM(UTC)
empu

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Ed, can you guide me which stops setting it should adjust

Regards,

empu
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empu  
#7 Posted : Wednesday, March 20, 2013 7:44:35 PM(UTC)
empu

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Henry, VST Pro also apply for EST as well? Unfortunately I don't have the system.

Regards,

Empu
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henry1224  
#8 Posted : Wednesday, March 20, 2013 8:17:43 PM(UTC)
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The enhanced System Tester didn't make any trades? it just gave you supposed interest on your account!

Try it with just long only trades

and then with long and short trades


The VST pro took only long trades into account.

the results would have been better if you used some type of trade filter to elliminate whipsaw trades
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empu  
#9 Posted : Thursday, March 21, 2013 1:02:58 AM(UTC)
empu

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Henry,

I tried to change EST setting, so far the result is remain same.

Empu
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wabbit  
#10 Posted : Thursday, March 21, 2013 2:17:56 AM(UTC)
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The trades kept getting cancelled because of inadequate funds in your account, the position size is computed at the end of the bar, but the order placed at the open of the next bar, so if the price is higher you wont have enough capital.

Either, allocate less than 100% of your capital in your default position size, or use the price field in the EST Buy dialog box to forward reference to the next bar open price.



wabbit [:D]
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empu  
#11 Posted : Thursday, March 21, 2013 5:22:04 PM(UTC)
empu

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Wabbit,

Here settings I used for last trial:

Buy Order: Order type-Limit with Limit/Stop price : Ref(O,1)

Entry size: Number of Units -10

Sell Order: Order type-Market

STOPS

Breakeven-Longs 5%

Max Loss-Longs 3%

Trailing-Longs 3% Periods 100

EST Result:

Summary AD06-Candlestick 3Formation Astra Internatio (ASII.JK) Simulation Date 03/22/2013 06:02:22 600 Daily Bars 10/13/2010 Through 03/19/2013 (888 Days) Points Only Test

Performance Profit -818.4000 Pts Performance N/A Annualized Performance N/A Buy & Hold Profit 1890.0000 Pts Buy & Hold Performance N/A Buy & Hold Annualized Performance N/A

Trade Summary Total Trades 5 Trade Efficiency -46.80 % Average Profit/Average Loss N/A

Profitable Trades Total 0 Long 0 Short 0 Average Profit 0.0000 Pts Highest Profit 0.0000 Pts Lowest Profit 0.0000 Pts Most Consecutive 0

Unprofitable Trades Total 5 Long 5 Short 0 Average Loss -163.6800 Pts Highest Loss -220.8000 Pts Lowest Loss 0.0000 Pts Most Consecutive 5

Maximum Position Excursions Long Favorable 590.0000 Pts Short Favorable 0.0000 Pts Long Adverse -325.0000 Pts Short Adverse 0.0000 Pts

Trade Efficiency Average Entry 36.98 % Average Exit 16.22 % Average Total -46.80 % Average Long Entry 36.98 % Average Long Exit 16.22 % Average Long Total -46.80 % Average Short Entry 0.00 % Average Short Exit 0.00 % Average Short Total 0.00 % Orders

Bar Date Number Event Type Size Terms Price Price Field Position Source 153 05/25/2011 1 Considered Buy 1 Limit 5860.0000 Pts Signal 153 05/25/2011 1 Placed Buy 1 Limit Signal 154 05/26/2011 1 Opened Buy 1 Limit Signal 154 05/26/2011 1 Executed Buy 1 Limit 5860.0000 Pts Limit 1 Signal 165 06/13/2011 2 Considered Sell 1 Limit 5684.2000 Pts 1 Stop 165 06/13/2011 2 Placed Sell 1 Limit 1 Stop 165 06/13/2011 2 Opened Sell 1 Limit 1 Stop 165 06/13/2011 2 Executed Sell 1 Limit 5684.2000 Pts Limit 1 Stop 332 02/14/2012 3 Considered Buy 1 Limit 7310.0000 Pts Signal 332 02/14/2012 3 Placed Buy 1 Limit Signal 333 02/15/2012 3 Opened Buy 1 Limit Signal 333 02/15/2012 3 Executed Buy 1 Limit 7310.0000 Pts Limit 2 Signal 339 02/23/2012 4 Considered Sell 1 Limit 7090.7000 Pts 2 Stop 339 02/23/2012 4 Placed Sell 1 Limit 2 Stop 339 02/23/2012 4 Opened Sell 1 Limit 2 Stop 339 02/23/2012 4 Executed Sell 1 Limit 7090.7000 Pts Limit 2 Stop 352 03/13/2012 5 Considered Buy 1 Limit 7120.0000 Pts Signal 352 03/13/2012 5 Placed Buy 1 Limit Signal 353 03/14/2012 5 Opened Buy 1 Limit Signal 353 03/14/2012 5 Executed Buy 1 Limit 7120.0000 Pts Limit 3 Signal 378 04/20/2012 6 Considered Buy 1 Limit 7360.0000 Pts Signal 378 04/20/2012 6 Placed Buy 1 Limit Signal 379 04/23/2012 6 Opened Buy 1 Limit Signal 379 04/23/2012 6 Executed Buy 1 Limit 7360.0000 Pts Limit 4 Signal 380 04/24/2012 7 Considered Sell 1 Limit 7139.2000 Pts 4 Stop 380 04/24/2012 7 Placed Sell 1 Limit 4 Stop 380 04/24/2012 7 Opened Sell 1 Limit 4 Stop 380 04/24/2012 7 Executed Sell 1 Limit 7139.2000 Pts Limit 4 Stop 381 04/25/2012 8 Considered Sell 1 Limit 7120.0000 Pts 3 Stop 381 04/25/2012 8 Placed Sell 1 Limit 3 Stop 381 04/25/2012 8 Opened Sell 1 Limit 3 Stop 381 04/25/2012 8 Executed Sell 1 Limit 7120.0000 Pts Limit 3 Stop 397 05/21/2012 9 Considered Buy 1 Limit 6750.0000 Pts Signal 397 05/21/2012 9 Placed Buy 1 Limit Signal 398 05/22/2012 9 Opened Buy 1 Limit Signal 398 05/22/2012 9 Executed Buy 1 Limit 6750.0000 Pts Limit 5 Signal 402 05/28/2012 10 Considered Sell 1 Limit 6547.5000 Pts 5 Stop 402 05/28/2012 10 Placed Sell 1 Limit 5 Stop 402 05/28/2012 10 Opened Sell 1 Limit 5 Stop 402 05/28/2012 10 Executed Sell 1 Limit 6547.5000 Pts Limit 5 Stop

Summary

Considered Opened Executed Cancelled Total 10 10 10 0 Orders Bar Date Number Event Type Size Terms Price Price Field Position Source 153 05/25/2011 1 Considered Buy 1 Limit 5860.0000 Pts Signal 153 05/25/2011 1 Placed Buy 1 Limit Signal 154 05/26/2011 1 Opened Buy 1 Limit Signal 154 05/26/2011 1 Executed Buy 1 Limit 5860.0000 Pts Limit 1 Signal 165 06/13/2011 2 Considered Sell 1 Limit 5684.2000 Pts 1 Stop 165 06/13/2011 2 Placed Sell 1 Limit 1 Stop 165 06/13/2011 2 Opened Sell 1 Limit 1 Stop 165 06/13/2011 2 Executed Sell 1 Limit 5684.2000 Pts Limit 1 Stop 332 02/14/2012 3 Considered Buy 1 Limit 7310.0000 Pts Signal 332 02/14/2012 3 Placed Buy 1 Limit Signal 333 02/15/2012 3 Opened Buy 1 Limit Signal 333 02/15/2012 3 Executed Buy 1 Limit 7310.0000 Pts Limit 2 Signal 339 02/23/2012 4 Considered Sell 1 Limit 7090.7000 Pts 2 Stop 339 02/23/2012 4 Placed Sell 1 Limit 2 Stop 339 02/23/2012 4 Opened Sell 1 Limit 2 Stop 339 02/23/2012 4 Executed Sell 1 Limit 7090.7000 Pts Limit 2 Stop 352 03/13/2012 5 Considered Buy 1 Limit 7120.0000 Pts Signal 352 03/13/2012 5 Placed Buy 1 Limit Signal 353 03/14/2012 5 Opened Buy 1 Limit Signal 353 03/14/2012 5 Executed Buy 1 Limit 7120.0000 Pts Limit 3 Signal 378 04/20/2012 6 Considered Buy 1 Limit 7360.0000 Pts Signal 378 04/20/2012 6 Placed Buy 1 Limit Signal 379 04/23/2012 6 Opened Buy 1 Limit Signal 379 04/23/2012 6 Executed Buy 1 Limit 7360.0000 Pts Limit 4 Signal 380 04/24/2012 7 Considered Sell 1 Limit 7139.2000 Pts 4 Stop 380 04/24/2012 7 Placed Sell 1 Limit 4 Stop 380 04/24/2012 7 Opened Sell 1 Limit 4 Stop 380 04/24/2012 7 Executed Sell 1 Limit 7139.2000 Pts Limit 4 Stop 381 04/25/2012 8 Considered Sell 1 Limit 7120.0000 Pts 3 Stop 381 04/25/2012 8 Placed Sell 1 Limit 3 Stop 381 04/25/2012 8 Opened Sell 1 Limit 3 Stop 381 04/25/2012 8 Executed Sell 1 Limit 7120.0000 Pts Limit 3 Stop 397 05/21/2012 9 Considered Buy 1 Limit 6750.0000 Pts Signal 397 05/21/2012 9 Placed Buy 1 Limit Signal 398 05/22/2012 9 Opened Buy 1 Limit Signal 398 05/22/2012 9 Executed Buy 1 Limit 6750.0000 Pts Limit 5 Signal 402 05/28/2012 10 Considered Sell 1 Limit 6547.5000 Pts 5 Stop 402 05/28/2012 10 Placed Sell 1 Limit 5 Stop 402 05/28/2012 10 Opened Sell 1 Limit 5 Stop 402 05/28/2012 10 Executed Sell 1 Limit 6547.5000 Pts Limit 5 Stop

Summary

Considered Opened Executed Cancelled Total 10 10 10 0
Performance Indices Buy & Hold Index -143.30 % Profit/Loss Index -100.00 % Reward/Risk Index -104.80 %

Accounting Initial Equity 0.0000 Pts Trade Profit 0.0000 Pts Trade Loss -818.4000 Pts Commissions 0.0000 Pts Interest Credited 0.0000 Pts Interest Charged 0.0000 Pts Final Equity -818.4000 Pts Open Positions 0.0000 Pts

Account Variation Highest Account Balance 159.9000 Pts Lowest Account Balance -818.4000 Pts Highest Portfolio Value 590.0000 Pts Highest Open Drawdown -780.9000 Pts Highest Closed Drawdown -818.4000 Pts

Account Events Margin Calls 0 Overdrafts 0

Profitable Timing Average Trade Length 0 Longest Trade Length 0 Shortest Trade Length 0 Total Trade Length 0

Unprofitable Timing Average Trade Length 10 Longest Trade Length 28 Shortest Trade Length 1 Total Trade Length 50

Out of Market Timing Average 91 Longest 199 Total 551

I think the testing is not correct yet.

Wabbit, would you give me a hint?

empu
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empu  
#12 Posted : Thursday, March 21, 2013 5:27:36 PM(UTC)
empu

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Other setting:

on Perform Trading Simulation, Trading is Points Only Test, Initial Equity 10000, Default Size 10 Number of units, Portfolio Long and Close position on Last Bar
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wabbit  
#13 Posted : Saturday, March 23, 2013 10:53:07 PM(UTC)
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empu wrote:
I think the testing is not correct yet.

Why do you think this? Provide evidence.


wabbit [:D]
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eddie.m  
#14 Posted : Monday, March 25, 2013 8:20:58 AM(UTC)
eddie.m

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Khandelia wrote:
The only difference between a winner and a loser is: Knowledge!

Ignorant

Haaa, ha, ha [:D]

Correction : winners have knowledge that work$$$ [:D] , losers have knowledge that does not work. [:@]
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empu  
#15 Posted : Tuesday, March 26, 2013 12:06:39 AM(UTC)
empu

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First thought, EST didn't work well due to the performance lower than I expected. After look into trading rule, I realized the trading system need improvement to reach performance that I expect.

Thanks Wabbit.

Empu
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