Отрывки из моей книги: “Теория и практика технического анализа динамики рынка“ (Продолжение) Nikolz Часть 10. Тестирование систем В качестве данных для тестирования использовались тиковы
Отрывки из моей книги: “Теория и практика технического анализа динамики рынка“
(Продолжение)
Nikolz
Часть 10. Тестирование систем
В качестве данных для тестирования использовались тиковые данные по обыкновенным акциям РАО ЕЭС за период с 1999 года по 2004 год. Объем исторических данных составил 6.5 млн. сделок.
Разработка систем выполнялась в Omega Research с использованием dll библиотек на C++ автора и библиотек MATLAB. Все функции Omega Research переписаны на C++. Исключена необходимость подбора переходного участка при запуске системы. Переход на библиотеки на C++ позволил увеличить скорость вычислений в Omega Research примерно в 100 раз, что обеспечило возможность решать оптимизационные задачи на полном объеме данных в 6.5 млн. значений.
В процессе исследования использовались программы проектирования цифровых КИХ и БИХ фильтров , методы спектрального оценивания Берга, максимальной энтропии, метод Прони; быстрого преобразования фурье с последующим обнаружением спектральных компонент, адаптивного следящего спектрального анализа, нейронных систем, а также реализованная авторская концепция динамики фондового рынка.
Исследования проводилось без реинвестирования, без маржинальных сделок с реальными комиссионными сборами.
Проектирование систем производилась на интервале данных длительностью 1- 3 месяца. После чего система испытывалась на исторических данных в интервале 5 лет ( 60 месяцев). Пример 1: Ниже приведены подробные данные по результатам работы одной из систем при интервале принятия решений в 100 тиков:
Сумма инвестиций 1000 . Комиссионные сборы 0.1% за операцию. Кратко результаты следующие: доходность системы составила не менее 157% в год и 1100% за 5 лет. Система выполнила 1174 сделки. Подробно работу системы можно проследить по ежемесячным итоговым данным за пятилетний период.
TradeStation Strategy Performance Report – System_Nikolz_00501 EESR-100 Tick Bar (05/01/1999-10/03/2004)
Annual Trading Summary
Annual Analysis (Mark-To-Market):
| Period | Net Profit | % Gain | Profit Factor | # Trades | % Profitable |
| YTD | $1 017.30 | 9.19% | 15.36 | 65 | 87.69% |
| 12 month | $2 213.53 | 22.41% | 2.00 | 370 | 55.41% |
| 3 | $1 611.58 | 17.03% | 1.64 | 376 | 48.67% |
| 2 | $2 399.83 | 33.98% | 2.16 | 341 | 51.61% |
| 1 | $1 576.50 | 28.73% | 1.54 | 384 | 44.79% |
| 0 | $2 705.74 | 97.31% | 1.71 | 394 | 47.97% |
| 99 | $1 780.65 | 178.07% | 1.65 | 214 | 48.60% |
Annual Rolling Period Analysis (Mark-To-Market):
| Period | Net Profit | % Gain | Profit Factor | # Trades | % Profitable |
| 4 | $1 017.30 | 9.19% | 15.36 | 65 | 87.69% |
| 03-апр | $2 628.88 | 27.78% | 2.02 | 441 | 54.42% |
| 02-апр | $5 028.71 | 71.20% | 2.08 | 782 | 53.20% |
| 01-апр | $6 605.21 | 120.39% | 1.87 | 1166 | 50.43% |
| 00-04 | $9 310.95 | 334.85% | 1.82 | 1560 | 49.81% |
| 99-04 | $11 091.60 | 1109.16% | 1.78 | 1774 | 49.66% |
| Net Profit | $11 091.06 | Open Position | $0.55 |
| Gross Profit | $25 171.39 | Interest Earned | $0.00 |
| Gross Loss | ($14 080.33) | Commission Paid | $1 768.00 |
| Percent profitable | 49.72% | Profit factor | 1.79 |
| Ratio avg. win/avg. loss | 1.81 | Adjusted profit factor | 1.67 |
| Annual Rate of Return | 63.87% | Sharpe Ratio | 2.07 |
| Return on Initial Capital | 1109.11% | Return Retracement Ratio | 47.50 |
| Return on Max. Drawdown | 1689.84% | K-Ratio | 9.59 |
| Buy/Hold return | 673.19% | RINA Index | 615.18 |
| Cumulative return | 1109.19% | Percent in the market | 97.47% |
| Adjusted Net Profit | $9 769.81 | Select Net Profit | $7 458.07 |
| Adjusted Gross Profit | $24 322.38 | Select Gross Profit | $21 274.88 |
| Adjusted Gross Loss | ($14 552.57) | Select Gross Loss | ($13 816.81) |
Performance Summary: Long Trades
| Total Net Profit | $7 046.38 | Open position P/L | $0.00 |
| Gross Profit | $13 376.60 | Gross Loss | ($6 330.22) |
| Total # of trades | 884 | Percent profitable | 55.09% |
| Number winning trades | 487 | Number losing trades | 397 |
Performance Summary: Short Trades
| Total Net Profit | $4 044.68 | Open position P/L | $0.55 |
| Gross Profit | $11 794.79 | Gross Loss | ($7 750.11) |
| Total # of trades | 884 | Percent profitable | 44.34% |
| Number winning trades | 392 | Number losing trades | 492 |
Total Trade Analysis
| Number of total trades | 1 768 | ||
| Average trade | $6.27 | Avg. trade ± 1 STDEV | $38.68 /($26.13) |
| 1 Std. Deviation (STDEV) | $32.41 | Coefficient of variation | 516.60% |
Run-up
| Maximum Run-up | $400.09 | Max. Run-up Date | 10/01/2000 11:44 |
| Average Run-up | $26.42 | Avg. trade ± 1 STDEV | $57.47/$0.00 |
| 1 Std. Deviation (STDEV) | $31.05 | Coefficient of variation | 117.53% |
Drawdown
| Maximum Drawdown | ($152.78) | Max. Drawdown Date | 17/05/1999 10:56 |
| Average Drawdown | ($12.44) | Avg. trade ± 1 STDEV | ($0.05)/($24.82) |
| 1 Std. Deviation (STDEV) | $12.39 | Coefficient of variation | 99.58% |
Reward/Risk Ratios
| Net Prft/Largest Loss | 72.12 | Net Prft/Max Drawdown | 72.60 |
| Adj Net Prft/Largest Loss | 63.53 | Adj Net Prft/Max Drawdown | 63.95 |
| Outlier Trades | Total Trades | Profit/Loss |
| Positive outliers | 30 | $3 896.51 |
| Negative outliers | 2 | ($263.52) |
| Total outliers | 32 | $3 632.98 |
Efficiency Analysis
Total Efficiency
| Average Total Efficiency | -0.31% | Avg. trade ± 1 STDEV | 58.56%/-59.18% |
| 1 Std. Deviation (STDEV) | 58.87% | Coefficient of variation | 18834.81% |
Entry Efficiency
| Average Entry Efficiency | 58.44% | Avg. trade ± 1 STDEV | 91.34%/25.55% |
| 1 Std. Deviation (STDEV) | 32.90% | Coefficient of variation | 56.28% |
Exit Efficiency
| Average Exit Efficiency | 41.24% | Avg. trade ± 1 STDEV | 73.49%/8.99% |
| 1 Std. Deviation (STDEV) | 32.25% | Coefficient of variation | 78.19% |
Monthly Trading Summary
Monthly Average Analysis (Mark-To-Market):
| Period | Net Profit | % Gain | Profit Factor | # Trades | % Profitable |
| January | $316.59 | 7.32% | 2.28 | 36.60 | 53.55% |
| February | $109.16 | 1.78% | 1.53 | 27.83 | 50.90% |
| March | $224.85 | 5.73% | 2.16 | 25.83 | 54.84% |
| April | $27.47 | (0.81%) | 1.11 | 26.60 | 45.11% |
| May | $55.02 | (0.95%) | 1.15 | 27.80 | 41.01% |
| June | $181.85 | 7.37% | 1.76 | 29.00 | 47.59% |
| July | $285.30 | 6.97% | 2.44 | 29.00 | 50.34% |
| August | $128.09 | 6.27% | 1.66 | 29.00 | 48.97% |
| September | $242.79 | 6.91% | 2.03 | 32.40 | 48.77% |
| October | $176.07 | 3.76% | 1.77 | 29.20 | 51.37% |
| November | $184.86 | 3.08% | 1.69 | 30.80 | 51.95% |
| December | $219.46 | 4.86% | 2.07 | 31.20 | 51.28% |
Monthly Period Analysis (Mark-To-Market):
| Period | Net Profit | % Gain | Profit Factor | # Trades | % Profitable |
| 3/04 | $128.09 | 1.07% | 35.16 | 10 | 90.00% |
| 2/04 | $406.55 | 3.52% | 12.26 | 26 | 84.62% |
| 1/04 | $482.66 | 4.36% | 16.59 | 31 | 90.32% |
| 12/03 | $145.48 | 1.33% | 2.32 | 31 | 61.29% |
| 11/03 | $316.48 | 2.98% | 3.21 | 31 | 61.29% |
| 10/03 | $321.89 | 3.13% | 2.20 | 35 | 51.43% |
| 9/03 | $10.01 | 0.10% | 1.04 | 41 | 43.90% |
| 8/03 | $15.56 | 0.15% | 1.08 | 36 | 44.44% |
| 7/03 | $134.10 | 1.32% | 1.59 | 35 | 40.00% |
| 6/03 | $286.33 | 2.91% | 2.45 | 31 | 61.29% |
| 5/03 | $103.68 | 1.06% | 1.21 | 38 | 34.21% |
| 4/03 | ($137.28) | (1.39%) | 0.47 | 25 | 40.00% |
| 3/03 | $225.26 | 2.33% | 4.40 | 24 | 54.17% |
| 2/03 | $135.11 | 1.42% | 2.60 | 24 | 58.33% |
| 1/03 | $54.98 | 0.58% | 1.18 | 36 | 41.67% |
| 12/02 | $134.02 | 1.44% | 2.60 | 27 | 48.15% |
| 11/02 | $149.41 | 1.63% | 2.21 | 25 | 52.00% |
| 10/02 | $81.50 | 0.90% | 1.39 | 30 | 50.00% |
| 9/02 | $234.08 | 2.64% | 2.04 | 27 | 44.44% |
| 8/02 | $198.95 | 2.30% | 2.21 | 27 | 62.96% |
| 7/02 | $726.80 | 9.16% | 9.55 | 26 | 76.92% |
| 6/02 | $244.27 | 3.17% | 2.22 | 31 | 51.61% |
| 5/02 | $48.35 | 0.63% | 1.18 | 30 | 46.67% |
| 4/02 | $191.35 | 2.57% | 2.34 | 31 | 54.84% |
| 3/02 | $353.22 | 4.97% | 4.28 | 32 | 62.50% |
| 2/02 | ($59.97) | (0.84%) | 0.72 | 33 | 33.33% |
| 1/02 | $97.86 | 1.39% | 1.38 | 33 | 45.45% |
| 12/01 | $32.14 | 0.46% | 1.19 | 22 | 45.45% |
| 11/01 | $336.61 | 5.03% | 1.97 | 33 | 57.58% |
| 10/01 | $261.06 | 4.06% | 3.88 | 24 | 66.67% |
| 9/01 | $146.64 | 2.33% | 1.66 | 28 | 39.29% |
| 8/01 | $23.74 | 0.38% | 1.14 | 27 | 40.74% |
| 7/01 | $124.77 | 2.03% | 1.72 | 31 | 38.71% |
| 6/01 | ($92.61) | (1.49%) | 0.59 | 24 | 33.33% |
| 5/01 | ($45.09) | (0.72%) | 0.86 | 32 | 34.38% |
| 4/01 | $178.12 | 2.92% | 1.67 | 41 | 53.66% |
| 3/01 | $287.34 | 4.95% | 2.04 | 34 | 52.94% |
| 2/01 | $110.49 | 1.94% | 1.29 | 48 | 41.67% |
| 1/01 | $213.30 | 3.89% | 1.58 | 51 | 41.18% |
| 12/00 | $517.29 | 10.41% | 2.62 | 41 | 48.78% |
| 11/00 | ($26.75) | (0.54%) | 0.94 | 36 | 41.67% |
| 10/00 | ($21.47) | (0.43%) | 0.94 | 36 | 36.11% |
| 9/00 | $488.42 | 10.78% | 4.55 | 35 | 65.71% |
| 8/00 | $6.15 | 0.14% | 1.02 | 36 | 44.44% |
| 7/00 | $241.25 | 5.63% | 1.74 | 33 | 48.48% |
| 6/00 | $217.65 | 5.36% | 1.55 | 36 | 44.44% |
| 5/00 | $328.09 | 8.78% | 1.95 | 31 | 48.39% |
| 4/00 | $4.94 | 0.13% | 1.02 | 24 | 33.33% |
| 3/00 | $192.83 | 5.45% | 1.52 | 35 | 45.71% |
| 2/00 | $23.19 | 0.66% | 1.06 | 30 | 50.00% |
| 1/00 | $734.16 | 26.40% | 3.61 | 32 | 59.38% |
| 12/99 | $268.39 | 10.68% | 1.80 | 35 | 51.43% |
| 11/99 | $148.58 | 6.29% | 1.48 | 29 | 48.28% |
| 10/99 | $237.38 | 11.16% | 2.29 | 21 | 61.90% |
| 9/99 | $334.79 | 18.69% | 1.94 | 31 | 48.39% |
| 8/99 | $396.07 | 28.38% | 3.07 | 19 | 57.89% |
| 7/99 | $199.56 | 16.69% | 2.10 | 20 | 55.00% |
| 6/99 | $253.61 | 26.91% | 2.39 | 23 | 43.48% |
| 5/99 | ($159.92) | (14.51%) | 0.55 | 8 | 50.00% |
| 4/99 | ($99.78) | (8.30%) | 0.63 | 12 | 25.00% |
| 3/99 | $162.36 | 15.62% | 1.48 | 20 | 45.00% |
| 2/99 | $39.60 | 3.96% | 1.41 | 6 | 50.00% |
Monthly Rolling Period Analysis (Mark-To-Market):
| Period | Net Profit | % Gain | Profit Factor | # Trades | % Profitable |
| 3/04 | $128.09 | 1.07% | 35.16 | 10 | 90.00% |
| 2/04-3/04 | $534.63 | 4.63% | 14.41 | 36 | 86.11% |
| 1/04-3/04 | $1 017.30 | 9.19% | 15.36 | 67 | 88.06% |
| 12/03-3/04 | $1 162.77 | 10.64% | 7.41 | 98 | 79.59% |
| 11/03-3/04 | $1 479.25 | 13.94% | 5.56 | 129 | 75.19% |
| 10/03-3/04 | $1 801.14 | 17.50% | 4.03 | 164 | 70.12% |
| 9/03-3/04 | $1 811.14 | 17.62% | 3.18 | 205 | 64.88% |
| 8/03-3/04 | $1 826.71 | 17.80% | 2.79 | 241 | 61.83% |
| 7/03-3/04 | $1 960.81 | 19.35% | 2.57 | 276 | 59.06% |
| 6/03-3/04 | $2 247.14 | 22.83% | 2.55 | 307 | 59.28% |
| 5/03-3/04 | $2 350.81 | 24.13% | 2.21 | 345 | 56.52% |
| 4/03-3/04 | $2 213.53 | 22.41% | 2.00 | 370 | 55.41% |
| 3/03-3/04 | $2 438.79 | 25.27% | 2.07 | 394 | 55.33% |
| 2/03-3/04 | $2 573.89 | 27.04% | 2.09 | 418 | 55.50% |
| 1/03-3/04 | $2 628.88 | 27.78% | 1.99 | 454 | 54.41% |
| 12/02-3/04 | $2 762.90 | 29.62% | 2.01 | 481 | 54.05% |
| 11/02-3/04 | $2 912.30 | 31.73% | 2.02 | 506 | 53.95% |
| 10/02-3/04 | $2 993.80 | 32.91% | 1.97 | 536 | 53.73% |
| 9/02-3/04 | $3 227.88 | 36.42% | 1.98 | 563 | 53.29% |
| 8/02-3/04 | $3 426.83 | 39.55% | 1.99 | 590 | 53.73% |
| 7/02-3/04 | $4 153.64 | 52.33% | 2.17 | 616 | 54.71% |
| 6/02-3/04 | $4 397.91 | 57.16% | 2.17 | 647 | 54.56% |
| 5/02-3/04 | $4 446.25 | 58.16% | 2.11 | 677 | 54.21% |
| 4/02-3/04 | $4 637.60 | 62.22% | 2.11 | 708 | 54.24% |
| 3/02-3/04 | $4 990.82 | 70.29% | 2.17 | 740 | 54.59% |
| 2/02-3/04 | $4 930.85 | 68.86% | 2.10 | 773 | 53.69% |
| 1/02-3/04 | $5 028.71 | 71.20% | 2.06 | 806 | 53.35% |
| 12/01-3/04 | $5 060.84 | 71.98% | 2.03 | 828 | 53.14% |
| 11/01-3/04 | $5 397.46 | 80.63% | 2.03 | 861 | 53.31% |
| 10/01-3/04 | $5 658.52 | 87.96% | 2.06 | 885 | 53.67% |
| 9/01-3/04 | $5 805.16 | 92.34% | 2.04 | 913 | 53.23% |
| 8/01-3/04 | $5 828.90 | 93.07% | 2.01 | 940 | 52.87% |
| 7/01-3/04 | $5 953.67 | 97.00% | 2.01 | 971 | 52.42% |
| 6/01-3/04 | $5 861.06 | 94.07% | 1.95 | 995 | 51.96% |
| 5/01-3/04 | $5 815.97 | 92.68% | 1.90 | 1027 | 51.41% |
| 4/01-3/04 | $5 994.08 | 98.30% | 1.89 | 1068 | 51.50% |
| 3/01-3/04 | $6 281.42 | 108.11% | 1.90 | 1102 | 51.54% |
| 2/01-3/04 | $6 391.91 | 112.14% | 1.87 | 1150 | 51.13% |
| 1/01-3/04 | $6 605.21 | 120.39% | 1.85 | 1201 | 50.71% |
| 12/00-3/04 | $7 122.50 | 143.34% | 1.88 | 1242 | 50.64% |
| 11/00-3/04 | $7 095.75 | 142.03% | 1.84 | 1278 | 50.39% |
| 10/00-3/04 | $7 074.28 | 141.00% | 1.80 | 1314 | 50.00% |
| 9/00-3/04 | $7 562.69 | 166.99% | 1.84 | 1349 | 50.41% |
| 8/00-3/04 | $7 568.84 | 167.35% | 1.82 | 1385 | 50.25% |
| 7/00-3/04 | $7 810.09 | 182.41% | 1.81 | 1418 | 50.21% |
| 6/00-3/04 | $8 027.74 | 197.54% | 1.80 | 1454 | 50.07% |
| 5/00-3/04 | $8 355.83 | 223.67% | 1.81 | 1485 | 50.03% |
| 4/00-3/04 | $8 360.77 | 224.10% | 1.79 | 1509 | 49.77% |
| 3/00-3/04 | $8 553.60 | 241.76% | 1.78 | 1544 | 49.68% |
| 2/00-3/04 | $8 576.79 | 244.02% | 1.75 | 1574 | 49.68% |
| 1/00-3/04 | $9 310.95 | 334.85% | 1.80 | 1606 | 49.88% |
| 12/99-3/04 | $9 579.34 | 381.30% | 1.80 | 1641 | 49.91% |
| 11/99-3/04 | $9 727.92 | 411.56% | 1.79 | 1670 | 49.88% |
| 10/99-3/04 | $9 965.30 | 468.67% | 1.80 | 1691 | 50.03% |
| 9/99-3/04 | $10 300.09 | 574.94% | 1.80 | 1722 | 50.00% |
| 8/99-3/04 | $10 696.17 | 766.51% | 1.82 | 1741 | 50.09% |
| 7/99-3/04 | $10 895.73 | 911.11% | 1.82 | 1761 | 50.14% |
| 6/99-3/04 | $11 149.33 | 1183.25% | 1.83 | 1784 | 50.06% |
| 5/99-3/04 | $10 989.41 | 997.06% | 1.80 | 1792 | 50.06% |
| 4/99-3/04 | $10 889.64 | 905.99% | 1.78 | 1804 | 49.89% |
| 3/99-3/04 | $11 052.00 | 1063.10% | 1.77 | 1824 | 49.84% |
| 2/99-3/04 | $11 091.60 | 1109.16% | 1.77 | 1830 | 49.84% |
Тестирование систем Пример2: Исследования проводилось только на длинных позициях, без реинвестирования и заемных средств Проектирование систем производилась на интервале длительностью 3 месяца в 2003 году. После чего система испытывалась на исторических данных в интервале 1999-2004 год. График цен РАО ЕЭС приведен в относительных единицах к началу истории. Доходность системы составила 740% за 5 лет , при минимальной годовой доходности 90%.