Custom Backtest file available at Download page

Requested my several readers, I post here the Custom Backtest File that I use. It includes features like go-in-cash, export stats, multiple entries etc. Credits go to Frank Hassler at that has shared his CBT and from which I took several code snippets. Download (rename file extension to .afl) QD

MSR Indicator for Amibroker

After some struggling Amibroker  I was able to create the translation for the MSR indicator introduced by David Varadi. The code uses the QDMedian3() function for Amibroker, that can be download here. During the weekend I will post the system analysis for my ETF’s based on the MSR system. – QD – MSR Indicator Code … Read more

Amibroker Median() function for Multiple Arrays

In trying build the MSR indicator introduced by David Varadi for Amibroker, I run into a shortcoming of the Amibroker Formula Language (AFL). The language does not allow for the Median() calculation over 3 price arrays (in this H,L,C). After several false attempts in AFL and consulting various sources of help, I decided to accept my fait and build my first .dll for Amibroker to calculate the Median across 2 Arrays or the Median across 3 Arrays.

Below are instructions to Download & Install.

Have fun with it!

– QD –

Instructions to install:

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My thoughts on “Go-In-Cash”

Most of my systems tend to be market-timing strategies. That is, they enter the market and usually exit within a couple of days. This has the benefit of having limited exposure in the market and during non-trading periods the capital can be used for alternative strategies/investments. However, I have noticed that even when running several strategies, I am in cash a significant moment of the time.

My main worry is that during those periods, I do not generate a return on my capital. Yes, theoretically one could be getting some interest on their savings account, however as I need my cash to be ready-to-go-in at all times, I need to keep it at my IB account. And IB does not give interest on this account. So I started to play around with the thought of moving into a low risk asset class as an alternative to moving money into a savings account (which in reality I am not able to do – it takes two days to transfer money from IB to my Dutch savings account and another 2 days to get it back).

Having a preference for trading ETF’s, I ended up with the idea to go long in a fixed income ETF during the times that my strategy is in cash. The ETF’s that I have selected are SHY (iShares Lehman 1-3 Year Treas.Bond), IEF (iShares Lehman 7-10 Yr Treas. Bond) and TLT (iShares Barclays 20+ Yr Treas.Bond).

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SPC for Strategy Tracking (2/2)

In my previous post I discussed the application of Statistical Process Control charts in monitoring trading strategy performance. Based on the SPC selection tool  I have decided to use the X and Rm  control charts to track the returns of a trading strategy. The X chart will track the actual returns of a trades and compare these … Read more