Автор работы: Пользователь скрыл имя, 26 Июня 2013 в 10:35, курсовая работа
Встроенные в MetaStock интерпретации индикаторов также советуют вам, как использовать каждый индикатор в торговле. Построитель индикаторов (Indicator Builder) позволяет наиболее опытным пользователям писать свои собственные индикаторы.
1. Введение
2. Теоретическая часть.
Что такое тест системыш? (What is a System Test?)
Вывод отчетов ( Displaying the Reports)
Просмотр отчетов (Viewing the Reports)
Оптимизация (Optimizing)
Что такое Индикатор (What is an Indicator?)
3. Практическая часть.
Построение Индикаторов (Plotting an Indicator)
Использование диалога "Indicators" (Using the Indicators Dialog)
Построение тест системы.
4. Сравнение и выводы по тест системе.
5. Отчеты тест системы.
6. Список использованных источников.
Item Value Item Value
Total net profit 1264.19 Open position value 95.57
Percent gain/loss 126.42 Annual percent gain/loss 55.33
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 31.10.2005
Buy/Hold profit 2740.89 Days in test 834
Buy/Hold pct gain/loss 274.09 Annual B/H pct gain/loss 119.96
Total closed trades 43 Commissions paid 0.00
Avg profit per trade 27.18 Avg Win/Avg Loss ratio 5.61
Total long trades 21 Total short trades 22
Winning long trades 10 Winning short trades 2
Total winning trades 12 Total losing trades 31
Amount of winning trades 2167.54 Amount of losing trades -998.92
Average win 180.63 Average loss -32.22
Largest win 604.24 Largest loss -125.86
Average length of win 31.67 Average length of loss 4.68
Longest winning trade 76 Longest losing trade 17
Most consecutive wins 3 Most consecutive losses 11
Total bars out 16 Average length out 16.00
Longest out period 16
System close drawdown -26.26 Profit/Loss index 55.86
System open drawdown -26.26 Reward/Risk index 97.96
Max open trade drawdown -125.86 Buy/Hold index -50.39
Отчет торговой системы, построенной на графике SBER на основе индикатора Mov ATR за один год.
Item Value Item Value
Total net profit 533.10 Open position value 57.63
Percent gain/loss 53.31 Annual percent gain/loss 53.02
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 12.07.2004
Buy/Hold profit 696.36 Days in test 367
Buy/Hold pct gain/loss 69.64 Annual B/H pct gain/loss 69.26
Total closed trades 21 Commissions paid 0.00
Avg profit per trade 22.64 Avg Win/Avg Loss ratio 8.33
Total long trades 10 Total short trades 11
Winning long trades 4 Winning short trades 1
Total winning trades 5 Total losing trades 16
Amount of winning trades 771.84 Amount of losing trades -296.37
Average win 154.37 Average loss -18.52
Largest win 604.24 Largest loss -41.15
Average length of win 27.40 Average length of loss 5.00
Longest winning trade 76 Longest losing trade 17
Most consecutive wins 3 Most consecutive losses 11
Total bars out 16 Average length out 16.00
Longest out period 16
System close drawdown -26.26 Profit/Loss index 64.27
System open drawdown -26.26 Reward/Risk index 95.30
Max open trade drawdown -41.14 Buy/Hold index -15.17
Отчет торговой системы, построенной на графике SBER на основе индикаторов Moving Average и RSI на всем периоде.
Item Value Item Value
Total net profit -375.09 Open position value 0.00
Percent gain/loss -37.51 Annual percent gain/loss -16.42
Initial investment 1000.00 Interest earned 0.00
Current position Short Date position entered 02.11.2005
Buy/Hold profit 2740.89 Days in test 834
Buy/Hold pct gain/loss 274.09 Annual B/H pct gain/loss 119.96
Total closed trades 475 Commissions paid 0.00
Avg profit per trade -0.79 Avg Win/Avg Loss ratio 1.14
Total long trades 238 Total short trades 237
Winning long trades 121 Winning short trades 86
Total winning trades 207 Total losing trades 268
Amount of winning trades 2731.69 Amount of losing trades -3106.77
Average win 13.20 Average loss -11.59
Largest win 90.94 Largest loss -66.77
Average length of win 2.00 Average length of loss 2.00
Longest winning trade 2 Longest losing trade 2
Most consecutive wins 8 Most consecutive losses 10
Total bars out 25 Average length out 25.00
Longest out period 25
System close drawdown -479.16 Profit/Loss index -12.07
System open drawdown -479.16 Reward/Risk index -78.28
Max open trade drawdown -66.77 Buy/Hold index -113.68
Отчет торговой системы, построенной на графике SBER на основе индикаторов Moving Average и RSI за один год.
Item Value Item Value
Total net profit -387.28 Open position value 0.00
Percent gain/loss -38.73 Annual percent gain/loss -38.52
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 23.07.2004
Buy/Hold profit 696.36 Days in test 367
Buy/Hold pct gain/loss 69.64 Annual B/H pct gain/loss 69.26
Total closed trades 196 Commissions paid 0.00
Avg profit per trade -1.98 Avg Win/Avg Loss ratio 1.04
Total long trades 98 Total short trades 98
Winning long trades 44 Winning short trades 38
Total winning trades 82 Total losing trades 114
Amount of winning trades 1151.23 Amount of losing trades -1538.51
Average win 14.04 Average loss -13.50
Largest win 90.94 Largest loss -66.77
Average length of win 2.00 Average length of loss 2.00
Longest winning trade 2 Longest losing trade 2
Most consecutive wins 4 Most consecutive losses 10
Total bars out 25 Average length out 25.00
Longest out period 25
System close drawdown -387.28 Profit/Loss index -25.17
System open drawdown -387.28 Reward/Risk index -100.00
Max open trade drawdown -66.77 Buy/Hold index -155.62
Отчет торговой системы, построенной на графике RTSI на основе индикатора PS Meisels на всем периоде.
Item Value Item Value
Total net profit -232.25 Open position value N/A
Percent gain/loss -23.22 Annual percent gain/loss -11.52
Initial investment 1000.00 Interest earned 0.00
Current position Out Date position entered 14.10.2005
Buy/Hold profit 775.69 Days in test 736
Buy/Hold pct gain/loss 77.57 Annual B/H pct gain/loss 38.47
Total closed trades 14 Commissions paid 0.00
Avg profit per trade -16.59 Avg Win/Avg Loss ratio 0.41
Total long trades 4 Total short trades 10
Winning long trades 3 Winning short trades 5
Total winning trades 8 Total losing trades 6
Amount of winning trades 276.02 Amount of losing trades -508.26
Average win 34.50 Average loss -84.71
Largest win 91.15 Largest loss -195.52
Average length of win 8.88 Average length of loss 27.83
Longest winning trade 16 Longest losing trade 41
Most consecutive wins 3 Most consecutive losses 2
Total bars out 290 Average length out 19.33
Longest out period 50
System close drawdown -283.45 Profit/Loss index -45.69
System open drawdown -328.39 Reward/Risk index -70.72
Max open trade drawdown -235.41 Buy/Hold index -129.94
Отчет торговой системы, построенной на графике RTSI на основе индикатора PS Meisels за один год.
Item Value Item Value
Total net profit -209.33 Open position value N/A
Percent gain/loss -20.93 Annual percent gain/loss -20.82
Initial investment 1000.00 Interest earned 0.00
Current position Out Date position entered 19.10.2004
Buy/Hold profit 227.50 Days in test 367
Buy/Hold pct gain/loss 22.75 Annual B/H pct gain/loss 22.63
Total closed trades 6 Commissions paid 0.00
Avg profit per trade -34.89 Avg Win/Avg Loss ratio 0.40
Total long trades 2 Total short trades 4
Winning long trades 2 Winning short trades 1
Total winning trades 3 Total losing trades 3
Amount of winning trades 141.29 Amount of losing trades -350.62
Average win 47.10 Average loss -116.87
Largest win 91.15 Largest loss -195.52
Average length of win 8.33 Average length of loss 33.00
Longest winning trade 16 Longest losing trade 41
Most consecutive wins 2 Most consecutive losses 2
Total bars out 138 Average length out 19.71
Longest out period 50
System close drawdown -209.33 Profit/Loss index -59.70
System open drawdown -249.22 Reward/Risk index -83.99
Max open trade drawdown -235.41 Buy/Hold index -192.01
Отчет торговой системы, построенной на графике RTSI на основе индикатора Mov ATR на всем периоде.
Item Value Item Value
Total net profit 1868.28 Open position value 84.10
Percent gain/loss 186.83 Annual percent gain/loss 92.65
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 31.10.2005
Buy/Hold profit 775.69 Days in test 736
Buy/Hold pct gain/loss 77.57 Annual B/H pct gain/loss 38.47
Total closed trades 28 Commissions paid 0.00
Avg profit per trade 63.72 Avg Win/Avg Loss ratio 5.59
Total long trades 14 Total short trades 14
Winning long trades 7 Winning short trades 7
Total winning trades 14 Total losing trades 14
Amount of winning trades 2172.83 Amount of losing trades -388.65
Average win 155.20 Average loss -27.76
Largest win 878.70 Largest loss -116.17
Average length of win 31.36 Average length of loss 4.86
Longest winning trade 99 Longest losing trade 13
Most consecutive wins 3 Most consecutive losses 3
Total bars out 19 Average length out 19.00
Longest out period 19
System close drawdown 0.00 Profit/Loss index 82.78
System open drawdown 0.00 Reward/Risk index 100.00
Max open trade drawdown -116.17 Buy/Hold index 151.70
Отчет торговой системы, построенной на графике RTSI на основе индикатора Mov ATR за один год.
Item Value Item Value
Total net profit 748.65 Open position value 38.10
Percent gain/loss 74.87 Annual percent gain/loss 74.46
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 25.10.2004
Buy/Hold profit 227.50 Days in test 367
Buy/Hold pct gain/loss 22.75 Annual B/H pct gain/loss 22.63
Total closed trades 10 Commissions paid 0.00
Avg profit per trade 71.06 Avg Win/Avg Loss ratio 7.50
Total long trades 5 Total short trades 5
Winning long trades 2 Winning short trades 3
Total winning trades 5 Total losing trades 5
Amount of winning trades 819.84 Amount of losing trades -109.29
Average win 163.97 Average loss -21.86
Largest win 327.69 Largest loss -31.61
Average length of win 42.20 Average length of loss 5.20
Longest winning trade 99 Longest losing trade 7
Most consecutive wins 2 Most consecutive losses 2
Total bars out 19 Average length out 19.00
Longest out period 19
System close drawdown 0.00 Profit/Loss index 87.26
System open drawdown 0.00 Reward/Risk index 100.00
Max open trade drawdown -31.61 Buy/Hold index 245.83
Отчет торговой системы, построенной на графике RTSI на основе индикаторов Moving Average и RSI на всем периоде.
Item Value Item Value
Total net profit 96.66 Open position value 0.00
Percent gain/loss 9.67 Annual percent gain/loss 4.79
Initial investment 1000.00 Interest earned 0.00
Current position Short Date position entered 02.11.2005
Buy/Hold profit 775.69 Days in test 736
Buy/Hold pct gain/loss 77.57 Annual B/H pct gain/loss 38.47
Total closed trades 475 Commissions paid 0.00
Avg profit per trade 0.20 Avg Win/Avg Loss ratio 1.14
Total long trades 238 Total short trades 237
Winning long trades 132 Winning short trades 94
Total winning trades 226 Total losing trades 249
Amount of winning trades 3215.71 Amount of losing trades -3119.05
Average win 14.23 Average loss -12.53
Largest win 74.05 Largest loss -90.32
Average length of win 2.00 Average length of loss 2.00
Longest winning trade 2 Longest losing trade 2
Most consecutive wins 8 Most consecutive losses 9
Total bars out 25 Average length out 25.00
Longest out period 25
System close drawdown -73.15 Profit/Loss index 3.01
System open drawdown -73.15 Reward/Risk index 56.92
Max open trade drawdown -90.32 Buy/Hold index -87.54
Отчет торговой системы, построенной на графике RTSI на основе индикаторов Moving Average и RSI за один год.
Item Value Item Value
Total net profit 342.52 Open position value 0.00
Percent gain/loss 34.25 Annual percent gain/loss 34.07
Initial investment 1000.00 Interest earned 0.00
Current position Short Date position entered 29.10.2004
Buy/Hold profit 227.50 Days in test 367
Buy/Hold pct gain/loss 22.75 Annual B/H pct gain/loss 22.63
Total closed trades 225 Commissions paid 0.00
Avg profit per trade 1.52 Avg Win/Avg Loss ratio 1.27
Total long trades 113 Total short trades 112
Winning long trades 67 Winning short trades 44
Total winning trades 111 Total losing trades 114
Amount of winning trades 1809.50 Amount of losing trades -1466.98
Average win 16.30 Average loss -12.87
Largest win 66.47 Largest loss -71.02
Average length of win 2.00 Average length of loss 2.00
Longest winning trade 2 Longest losing trade 2
Most consecutive wins 6 Most consecutive losses 5
Total bars out 25 Average length out 25.00
Longest out period 25
System close drawdown -73.15 Profit/Loss index 18.93
System open drawdown -73.15 Reward/Risk index 82.40
Max open trade drawdown -71.02 Buy/Hold index 50.56
6. Список использованных источников.
http://www.parusinvestora.ru/
http://www.fora-capital.ru/5/