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Bband - with CCI break out scan. Rate this Topic:
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wwrightjuly4
Posted : Thursday, February 11, 2010 11:48:27 PM
Gold Customer Gold Customer

Joined: 4/10/2006
Posts: 954
This is another play on the TD profile with a substitution of CCI new high for TSV BB breakout.

Here you can see the setup as a break below the 
1 LBB20 followed by a crossing up of the LBB20 
2 CCI today greater than CCI 20 days ago.

The backtest shows 350 stocks from the Russel 1000,  96% - however not adjusted as JAS would have done...He makes some type of adjustment due to the backtest results not computed properly.
3.8 winning ratio  5662 trades.   with 1849 wins, 3803 losers

My intent was to run it against russell 1000, filtered by  price > 10 (50d ma) , and volume > 500000 (50d, ma) about 765 items. Here is that avg yearly return = post that below.


wwrightjuly4
Posted : Thursday, February 11, 2010 11:49:25 PM
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Joined: 4/10/2006
Posts: 954

Russell 1000 backtest filtered for volume, price

jas0501
Posted : Friday, February 12, 2010 3:32:10 AM
Registered User
Joined: 12/31/2005
Posts: 2,499
As a point of comparison here is a run against the Russell 1000 of random trade, exit after 18 days.



So it appears they are pretty close in performance. I would prefer to see a strategy beating the Random bechmark by a wider margin.

wwrightjuly4
Posted : Friday, February 12, 2010 1:45:41 PM
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Joined: 4/10/2006
Posts: 954

Jas,

How do you construct the random trade, backtest ?

Thanks.

jas0501
Posted : Friday, February 12, 2010 3:57:01 PM
Registered User
Joined: 12/31/2005
Posts: 2,499

QUOTE (wwrightjuly4)

Jas,

How do you construct the random trade, backtest ?

Thanks.



I use a random number condition as the entry signal. Below is the code, where percent is the chance that the condition passes. For the random benchmark in the previous post, percent was 0.0055 or .55%, to get the approximate count of the original backscan.

'
'# percent = userinput.Single = 5.0
'
Static objRandom As System.Random
Static pastFirstTime As Boolean
Dim val As Integer
Static max As Integer
Dim newMax As Integer
Const range As Integer = 1000
If Me.isFirstBar Then
 newMax = range * (100 - percent) / 100
 If Not pastFirstTime Or newMax <> max Then
  objRandom = New system.random( _
   CType(System.DateTime.Now.Ticks _
  Mod System.Int32.MaxValue, Integer))
  max = range * (100 - percent) / 100
  'log.info(currentsymbol & "===== Max=" & max.ToString("0"))
  pastFirstTime = True
 End If
End If
val = objRandom.Next(range)
If val > max Then
 pass
 'log.info(" +++ Rand ====" & val)
End If

 

wwrightjuly4
Posted : Friday, February 12, 2010 7:22:29 PM
Gold Customer Gold Customer

Joined: 4/10/2006
Posts: 954
Thanks.   I appreciate your help.
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