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EuroFX

.
1. .
:
Timing Solution
, :)
(Yuri Shramenko) .
EuroFX
Active Zones Astronomy (Composite)
, TS.
,
, Zigzag .
2 : buy/sell (
, , ,
). ,
. ,
, (
) .
, ,
, , RPO. ,
. 1% Detrended Zigzag, Swing=Close-Close.
Euro/USD, CME. 2000
Dollar Index, LBC 01.01.2000.
Phenomenological Solution , 3
:
Financial Instrument: FX Euro.csv
Analyzed 18 models
LBC Info: 1619 train/2044 test
Target: Detr. Zig.( 1.00%), Curv=1.000)
NN (first 806 NN (last 812 LIN (first
pt)
pt)
1616 pt)

LIN (first
806 pt)

LIN (last 812


pt)

Spectrum Model TI=1000 4.55%

3.86%

5.78%

4.99%

4.63%

5.90%

Spectrum Model TI=50

3.41%

5.55%

1.63%

1.23%

8.57%

-6.58%

FAM Model Geo,


Orb=15, TI=1000

3.34%

10.27%

-2.74%

4.05%

0.90%

6.63%

FAM Model Geo,


Orb=10, TI=1000

2.47%

10.00%

-5.54%

1.25%

-1.53%

3.82%

Model

NN (first
1616 pt)

,
6 .
. Astronomy (Composite),
Active Zones (AZ).

, .
future leaks. Zigzaga

: Options/ActiveZones Critical ChiSq.


2 ( 2.5).
.

Composite Report :

Active Zones Present (AZ),


. .
.
4: -, - Geo Longitude Phase .
/.

, Critical
Change Swing. Critical Change Active Zones Astronomy
(Composite). Report.
, . Swing,
, .
, -
.
, 1% co Swing=Close-Close
2.2% Swing=High-Low. Active Zones Astronomy (Composite)
2.2% Swing=High-Low , 1% co
Swing=Close-Close,
.
.
NN .
2000 8.1
EuroFX. 10.

FAM . 144+1 .
- .
15000 :

2000 (8.1 ), 1.01.2000.


6 , 2000 2006 . , buy/sell
, ,
2000 6
( ). ,
(
, , ).
, , , .
!
11,4%, 2,5 ,
Phenomenological Solution, . ,
.
.
, 2 !
,
. :

(
, :)

- - ? .
.
2. .
() Buy Sell
6 AmiBroker.
, . ,
( ), ,
, ,
. ,
, :)) ,
. buy/sell ,
( ).
, risk control money management.
, .
, ,
.
Stop and Reverse , :

:
Statistics

Initial capital
Ending capital
Net Profit
Net Profit %
Exposure %
Net Risk Adjusted Return %
Annual Return %
Risk Adjusted Return %
All trades
Avg. Profit/Loss
Avg. Profit/Loss %
Avg. Bars Held
Winners
Total Profit
Avg. Profit
Avg. Profit %
Avg. Bars Held
Max. Consecutive
Largest win
# bars in largest win
Losers
Total Loss
Avg. Loss
Avg. Loss %
Avg. Bars Held
Max. Consecutive
Largest loss
# bars in largest loss

All trades

Long trades

Short trades

100000.00
141449.87
41449.87
41.45 %
-0.38 %
-10955.95 %
5.71 %
-1510.20 %
88
471.02
47102.13 %
19.26
45 (51.14 %)
271200.00
6026.67
602666.67 %
18.40
6
24625.00
49
43 (48.86 %)
-229750.13
-5343.03
-534302.62 %
20.16
6
-15925.02
51

100000.00
145324.94
45324.94
45.32 %
0.10 %
44679.04 %
6.17 %
6084.40 %
44 (50.00 %)
1030.11
103011.22 %
19.64
23 (26.14 %)
151300.01
6578.26
657826.14 %
19.61
5
24625.00
49
21 (23.86 %)
-105975.08
-5046.43
-504643.22 %
19.67
4
-15125.01
15

100000.00
96124.94
-3875.06
-3.88 %
-0.48 %
807.68 %
-0.63 %
131.57 %
44 (50.00 %)
-88.07
-8806.96 %
18.89
22 (25.00 %)
119899.99
5450.00
544999.95 %
17.14
4
14525.01
19
22 (25.00 %)
-123775.05
-5626.14
-562613.86 %
20.64
5
-15925.02
51

Max. trade drawdown


Max. trade % drawdown
Max. system drawdown
Max. system % drawdown

-25900.01
-99.59 %
-65725.04
-45.25 %

-18799.99
-99.59 %
-34125.03
-28.04 %

-25900.01
-99.50 %
-73625.03
-51.99

c 6 $41450, ,
, performance bond $4000.
, -
. , drawdowns.
2002 2004 drawdown. 2004 2005
.
.

, .
-, AmiBroker , 0,01 (
). -
. .
:
- Net Profit, ;
- Avg. Profit/Loss, ;
- Avg. Profit, Avg. Loss, ;
- Max. Consecutive, ;
- Max. trade drawdown, ;
- Max. system drawdown, .
, .
2 . ,
$41450.
$65725! $25900. !
TS. ,
. .
? ! - .
, :
.
: - -.
stop loss profit target.
- profit target, (buy-stop and sell stop
orders).
( ):

. -, . ,
. ,
, . , ,
- .
- 0.8% profit target 2.5%.
TS .
:
Statistics

Net Profit
All trades
Avg. Profit/Loss
Winners
Total Profit
Avg. Profit
Max. Consecutive
Largest win
Losers
Total Loss
Avg. Loss
Max. Consecutive
Largest loss
Max. system drawdown

All trades

Long trades

Short trades

89449.90
88
1016.48
35 (39.77 %)
201874.97
5767.86
4
8200.02
53 (60.23 %)
-112425.07
-2121.23
5
-2725.01
-15900.05

52474.69
44 (50.00 %)
1192.61
18 (20.45 %)
109049.90
6058.33
2
8024.99
26 (29.55 %)
-56575.21
-2175.97
4
-2700.00
-11700.06

36975.20
44 (50.00 %)
840.35
17 (19.32 %)
92825.07
5460.30
3
8200.02
27 (30.68 %)
-55849.87
-2068.51
5
-2725.01
-18724.96

, :

- 2 ;
- , ,
;
- Max. trade drawdown Max. system drawdown!
32,95%. -.
,
. - 0,8%,
88 6 .
equity .

. ,
. , .
. MACD.
MACD ,
, . ,
MACD () ,
.
, , .
, :

Net Profit
All trades
Avg. Profit/Loss
Winners
Avg. Profit
Max. Consecutive
Largest win
Losers
Avg. Loss
Max. Consecutive
Max. trade drawdown
Max. system drawdown

All trades
-6750.20
134
-50.37
43 (32.09 %)
6367.44
3
24575.00
91 (67.91 %)
-3082.97
7
-10275.01
-59550.08

Long trades
21599.90
67 (50.00 %)
322.39
23 (17.16 %)
7502.17
3
24575.00
44 (32.84 %)
-3430.68
7
-9800.00
-40324.99

Short trades
-28350.10
67 (50.00 %)
-423.14
20 (14.93 %)
5062.50
3
13325.01
47 (35.07 %)
-2757.45
10
-10275.01
-67125.07

. MACD,
TS MACD. (
, TS ,
, , ).
TS : TS
, 3 MACD 0

.
. :
All trades
42199.97
16
2637.50
15.94
8 (50.00 %)
55174.99
6896.87
17.88
3
23550.00
8 (50.00 %)
-12975.02
-1621.88
14.00
3
-2850.01
-11725.01
-12174.99

Net Profit
All trades
Avg. Profit/Loss
Avg. Bars Held
Winners
Total Profit
Avg. Profit
Avg. Bars Held
Max. Consecutive
Largest win
Losers
Total Loss
Avg. Loss
Avg. Bars Held
Max. Consecutive
Largest loss
Max. trade drawdown
Max. system drawdown

Long trades
42174.98
10 (62.50 %)
4217.50
17.90
6 (37.50 %)
48375.01
8062.50
19.83
2
23550.00
4 (25.00 %)
-6200.03
-1550.01
15.00
1
-2850.01
-11725.01
-11725.01

Short trades
24.99
6 (37.50 %)
4.16
12.67
2 (12.50 %)
6799.98
3399.99
12.00
1
6025.00
4 (25.00 %)
-6774.99
-1693.75
13.00
2
-2675.00
-8775.00
-8775.00

, 16. 2637,5.

Trade
Short
Long
Short
Long
Long
Short
Long
Long
Short
Long
Long
Long
Short

Date
29.Feb.0
0
14.Mar.0
0
31.Mar.0
0
28.Nov.0
0
04.Apr.0
1
08.May.0
1
28.Feb.0
2
28.Aug.0
2
25.Sep.0
2
31.Mar.0
3
14.Nov.0
3
18.Mar.0
4
05.Apr.0
4

Price
0.9645
0.9681
0.9554
0.8561
0.901
0.8846
0.8688
0.9791
0.9762
1.0915
1.1775
1.2382
1.2016

Ex. date
09.Mar.0
0
30.Mar.0
0
11.Apr.0
0
15.Dec.0
0
03.May.0
1
28.May.0
1
20.Mar.0
2
24.Sep.0
2
14.Oct.0
2
21.Apr.0
3
22.Jan.0
4
01.Apr.0
4
16.Apr.0
4

Ex.
Price

% chg

Profit

0.9667

0.23%

-550
1650.0
1

0.9615

-0.68%

0.959

0.38%

0.8943

4.46%

0.8896

-1.27%

-900
9549.9
9
2850.0
1

0.8605

-2.72%

6025

0.8854

1.91%

4150

0.9811

0.20%

500.01

0.9869

1.10%

1.0867

-0.44%

-2675
1200.0
2

1.2717

8.00%

1.2362

-0.16%

23550
499.99

1.1985

-0.26%

774.98

Cum.
Profit
-550

#
bars

Profit/b
ar

-68.75

13

-126.92

-112.5

6449.98

14

682.14

3599.97

21

-135.71

9624.97
13774.9
8
14274.9
8
11599.9
9

15

401.67

15

276.67

20

25

14

-191.07

15

-80

48

490.63

11

-45.45

86.11

2200.01
3100.01

10399.9
7
33949.9
7
33449.9
8
34224.9
6

Short
Long
Long

21.Jul.04
14.Feb.0
5
02.Mar.0
6

1.2257
1.2971
1.2035

19.Aug.0
4
25.Feb.0
5
17.Mar.0
6

1.2363

0.86%

2649.9
9

1.3244

2.10%

6825

1.2187

1.26%

3800

31574.9
6
38399.9
6
42199.9
7

22

-120.45

10

682.5

12

316.67

. ?
(): ( ),
, Max. system drawdown.
money management,
. ,

.
.
, ,
.
1. , ,
timeframe. , ,
.
2. .
ADX.
3. . ,
3 , .
, . ,
.
4. , , , .
.
5. , , - TS !

, , ma_pavlov@mail.ru

1. (TS)
Mode: Neural Net
Price Events: Detr. Zig.( 1.00%), Curv=1.000)
Criterion: Correlation 65 bars after LBC
Model
4aspforzig.hyp
NN Topology

32 hidden

Training Mode

2000 before LBC


train 15000 steps

+/- Statistics

+15/-9

Average (r,dev)

r=0.080 dev=0.2968

LBC: 31.12.1999

r=-0.117 dev=0.337

LBC: 03.04.2000

r=0.102 dev=0.241

LBC: 04.07.2000

r=0.109 dev=0.268

LBC: 03.10.2000

r=-0.320 dev=0.452

LBC: 04.01.2001

r=-0.011 dev=0.297

LBC: 05.04.2001

r=0.519 dev=0.239

LBC: 06.07.2001

r=-0.130 dev=0.275

LBC: 05.10.2001

r=0.338 dev=0.250

LBC: 08.01.2002

r=0.055 dev=0.379

LBC: 10.04.2002

r=0.059 dev=0.228

LBC: 10.07.2002

r=0.068 dev=0.318

LBC: 09.10.2002

r=0.254 dev=0.354

LBC: 10.01.2003

r=0.051 dev=0.272

LBC: 11.04.2003

r=0.190 dev=0.243

LBC: 14.07.2003

r=0.419 dev=0.344

LBC: 13.10.2003

r=0.057 dev=0.270

LBC: 14.01.2004

r=-0.203 dev=0.383

LBC: 15.04.2004

r=0.313 dev=0.288

LBC: 15.07.2004

r=0.459 dev=0.225

LBC: 14.10.2004

r=-0.048 dev=0.267

LBC: 13.01.2005

r=-0.099 dev=0.301

LBC: 15.04.2005

r=-0.126 dev=0.279

LBC: 15.07.2005

r=0.020 dev=0.270

LBC: 14.10.2005

r=-0.027 dev=0.342

2. , TS.
Buy 14.01.2000 price $1.0142
Sell (lose) 09.02.2000 price
$0.9927
Buy (win) 16.02.2000 price
$0.9865
Sell (win) 24.02.2000 price
$0.9924
Buy (win) 09.03.2000 price
$0.9667
Sell (lose) 30.03.2000 price
$0.9615
Buy (win) 11.04.2000 price
$0.9590
Sell (lose) 24.04.2000 price
$0.9378
Buy (win) 05.05.2000 price
$0.8971
Sell (win) 30.05.2000 price
$0.9301
Buy (lose) 30.06.2000 price
$0.9525
Sell (lose) 14.07.2000 price
$0.9380
Buy (win) 10.08.2000 price
$0.9083
Sell (lose) 08.09.2000 price
$0.8666
Buy (lose) 10.10.2000 price
$0.8717
Sell (lose) 06.11.2000 price
$0.8619
Buy (win) 23.11.2000 price
$0.8388
Sell (win) 15.12.2000 price
$0.8943
Buy (lose) 02.01.2001 price
$0.9510
Sell (lose) 22.01.2001 price
$0.9384
Buy (win) 16.02.2001 price
$0.9141
Sell (win) 06.03.2001 price
$0.9340
Buy (win) 30.03.2001 price
$0.8759
Sell (win) 03.05.2001 price
$0.8896
Buy (win) 28.05.2001 price
$0.8605
Sell (lose) 06.06.2001 price
$0.8482
Buy (lose) 13.08.2001 price
$0.8959
Sell (win) 10.09.2001 price
$0.8977
Buy (lose) 21.09.2001 price
$0.9147
Sell (lose) 11.10.2001 price
$0.9021
Buy (win) 30.11.2001 price
$0.8964

Sell (lose) 04.11.2003 price


$1.1484
Buy (lose) 13.11.2003 price
$1.1732
Sell (win) 22.01.2004 price
$1.2717
Buy (lose) 12.02.2004 price
$1.2808
Sell (lose) 03.03.2004 price
$1.2203
Buy (lose) 15.03.2004 price
$1.2262
Sell (win) 01.04.2004 price
$1.2362
Buy (win) 16.04.2004 price
$1.1985
Sell (win) 04.06.2004 price
$1.2280
Buy (win) 18.06.2004 price
$1.2135
Sell (win) 16.07.2004 price
$1.2451
Buy (win) 19.08.2004 price
$1.2363
Sell (lose) 01.09.2004 price
$1.2188
Buy (lose) 23.09.2004 price
$1.2269
Sell (win) 25.10.2004 price
$1.2804
Buy (lose) 08.11.2004 price
$1.2917
Sell (win) 24.11.2004 price
$1.3184
Buy (lose) 09.12.2004 price
$1.3301
Sell (win) 24.12.2004 price
$1.3527
Buy (win) 12.01.2005 price
$1.3250
Sell (lose) 27.01.2005 price
$1.3043
Buy (win) 09.02.2005 price
$1.2802
Sell (win) 25.02.2005 price
$1.3244
Buy (lose) 10.03.2005 price
$1.3412
Sell (lose) 28.03.2005 price
$1.2894
Buy (lose) 11.04.2005 price
$1.2970
Sell (win) 20.04.2005 price
$1.3083
Buy (win) 19.05.2005 price
$1.2641
Sell (lose) 14.07.2005 price
$1.2080
Buy (lose) 15.08.2005 price
$1.2364
Sell (lose) 30.09.2005 price
$1.2023

Sell (lose) 10.12.2001 price


$0.8906
Buy (win) 24.12.2001 price
$0.8772
Sell (win) 22.01.2002 price
$0.8861
Buy (win) 01.02.2002 price
$0.8617
Sell (win) 11.02.2002 price
$0.8765
Buy (win) 25.02.2002 price
$0.8689
Sell (win) 20.03.2002 price
$0.8854
Buy (lose) 29.04.2002 price
$0.9034
Sell (win) 14.06.2002 price
$0.9455
Buy (lose) 26.08.2002 price
$0.9715
Sell (win) 24.09.2002 price
$0.9811
Buy (lose) 14.10.2002 price
$0.9869
Sell (lose) 30.10.2002 price
$0.9837
Buy (lose) 19.12.2002 price
$1.0272
Sell (win) 09.01.2003 price
$1.0487
Buy (lose) 27.01.2003 price
$1.0849
Sell (lose) 07.02.2003 price
$1.0818
Buy (win) 25.02.2003 price
$1.0763
Sell (lose) 18.03.2003 price
$1.0634
Buy (lose) 31.03.2003 price
$1.0915
Sell (lose) 21.04.2003 price
$1.0867
Buy (lose) 30.06.2003 price
$1.1504

Buy (win) 28.12.2005 price


$1.1834
Sell (win) 10.02.2006 price
$1.1903
Buy (lose) 01.03.2006 price
$1.1915
Sell (win) 17.03.2006 price
$1.2187

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