Systems;
1. Simple breakout.
2. HHV breakout.
3. RSI breakout - RSI must be above 70.
4. MA "breakout" - classic C crossing the MA, not really a breakout.
5. Random entry - uses Random()>0.955 in Amibroker.
The above chart shows the RAR of the 5 different entries teamed with a 12 week timed exit. So the exit is always taken 12 weeks after the entry.
Position sizing was 10% of equity.
The tests were run on the current ASX200 stocks.
The 0 to 80 axis is a dummy variable to generate 10 possible outcomes of each system. Positionscore was set to random.
Trades delayed and timeframe was weekly and the test was run from 1997 to December 2005. This allows, if so desired, for out of sample runs on all the systems up to April 2008.
You could investigate this sort of stuff for years wondering if the results are real, whether you are curve fitting, whether you got some test methodology wrong, or whether the whole concept of testing is flawed in some way etc.
stevo
