CATATAN AKHIR TAHUN 2010 - Belajar Backtest

CATATAN AKHIR TAHUN 2010

Coba2 backtest Project Bargain Hunter nya mas Wisnu... hasilnya profit 4500.71% khusus backtest pd saham2 yg ada di Indeks JII. Performance sistem per bulan atau per tahun, seperti yg terlihat pd tabel berikut...

Tabel itu juga bisa dipakai untuk melihat pd bulan2 apa system ini berfungsi dgn maksimum speed dan pd bulan2 apa dia slowdown bahkan mogok...

Buat teman2 yg blm coba... saya sarankan untuk coba backtest Project Bargain Hunter ini, saya yakin anda akan banyak memperoleh pelajaran... saya sebutkan satu diantaranya berupa pertanyaan: apakah ada sistem dengan return positif pada bulan May 2010 ? Anda tidak akan memperoleh jawabannya jika tidak belajar backtest thdp beberapa sistem gacoan anda.

AFL nya mas Wisnu saya copas di bagian bawah.

Thanks again mas Wisnu.

//================================

Modal	75,000,000
MaxPostSize	4
Period	1-Jan-05	23-Dec-10	6thn
Statistics
	All trades	Long trades	Short trades
Initial capital	75000000	75000000	75000000
Ending capital	3450530170	3450530170	75000000
Net Profit	3375530170	3375530170	0
Net Profit %	4500.71%	4500.71%	0.00%
Exposure %	52.48%	52.48%	0.00%
Net Risk Adjusted Return %	8576.59%	8576.59%	N/A
Annual Return %	89.85%	89.85%	0.00%
Risk Adjusted Return %	171.22%	171.22%	N/A

//======================

On Tue, Dec 21, 2010 at 12:57 PM, Wisnu Mobile &lt> wrote:


Ternyata Wiseman1 lumayan menguntungkan.

1. 20 years backtested. CAR: 82%! WB kalah tuw.. Problema nya ada di MaxSysDD: -52%! Saya belum pernah lihat trader senior yang mampu stomach this kind of drawdown. Kalau beginner malah sering lihat.. :) Bisa diperbaiki dengan better Exit.

2. Entry: BULLISH DIVERGENCE BAR, with DISCOUNT as a qualifier (gantinya Angulasi). Silahkan diganti dengan kondisi lain yang anda mau. Leave variable names intact, supaya bisa dipanggil.

3. Simple MM: 5 max open positions (optimization capable - untuk yang mau belajar optimasi), RSI based position score. 

4. Exit, karena tidak ada inputan - mungkin entry nya sangat profitable barangkali, saya pakai REVERSE Divergence Bar... hehe... silahkan diganti kalau punya kode yang lebih baik.

5. Realtime Entry-Exit.

Snapshot and code, attached.

Hari ini sudah masuk pasar lagi... jadinya project ini kudu diselesaikan.. :) Silahkan dikembangkan sendiri-sendiri ya..

Salam.

Code:

_SECTION_BEGIN("Price");

SetChartOptions(0,chartShowArrows|chartShowDates|chartLogarithmic);

_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 )) ));

Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() ); 

if( ParamToggle("Tooltip shows", "All Values|Only Prices" ) )

{

 ToolTip=StrFormat("Open: %g\nHigh:  %g\nLow:   %g\nClose:  %g (%.1f%%)\nVolume: "+NumToStr( V, 1 ), O, H, L, C, SelectedValue( ROC( C, 1 )));

}

_SECTION_END();

_SECTION_BEGIN("Trade System");

GfxSelectFont("Tahoma", 12, 400);

GfxDrawText("Wiseman1 - BETA", 4, 15, 350, 40);

SetFormulaName("Wiseman1 - BETA");

SetTradeDelays( 0, 0, 0, 0);

MaxOpenPos=Optimize("MaxOpenPositions", 5, 1, 10, 1);

SetOption("MaxOpenPositions", MaxOpenPos);

PositionSize=-100/MaxOpenPos;

PositionScore=100-RSI();

/*Wiseman1*/

DivBar=(L(H+L)/2); //DivBar

/*Angulation Replacement - take out and replace if you want, but keep the variables name intact.*/

PriceDisc=1-Param("PriceDisc (%)", 5, 0, 50, 5)/100;

DBQualifier1=(C<=Ref(C,-Param("LookBack Period", 5, 3, 10, 1))*PriceDisc);

WS1DivBar=DivBar AND DBQualifier1;

DaySinceDivBar=BarsSince(WS1DivBar);

WS1BuyCond1=C>Ref(H,-DaySinceDivBar);//Entry if Close higher than DivBar H

Buy=WS1BuyCond1;

BuyPrice=Ref(H,-DaySinceDivBar);//Realtime Buy Price at DivBar H

RevDivBar=(L>Ref(L,-1)) AND (C<(H+L)/2); // Reverse DivBar Exit

DaySinceRevDivBar=BarsSince(RevDivBar);

WS1ExitCond1=CDaySinceRevDivBar); //Exit if Close lower than RevDivBar L

Sell=WS1ExitCond1;

SellPrice=Ref(L,-DaySinceRevDivBar);//Realtime Exit Price at RevDivBar L

Buy=ExRem(Buy,WS1DivBar);

Sell=ExRem(Sell,RevDivBar);

Sell=ExRem(Sell,Buy);

PlotShapes(IIf(WS1DivBar,shapeSmallUpTriangle,Null), colorBlue, 0, L, -15);

PlotShapes(IIf(Buy,shapeSmallUpTriangle,Null), colorBrightGreen, 0, L, -10);

PlotShapes(IIf(RevDivBar,shapeSmallDownTriangle,Null), colorYellow, 0, H, -15);

PlotShapes(IIf(Sell,shapeSmallDownTriangle,Null), colorRed, 0, H, -10);

_SECTION_END();

_SECTION_BEGIN("Daily Explorer");

Filter=Buy OR Sell;

AddTextColumn( WriteIf(Buy, "Buy!", 

WriteIf(Sell, "Sell!", "")), "Trade Signal", 1.0);

AddColumn(C, "Close", 1.0);

_SECTION_END();

//======================

Semoga bermanfaat.
Eco Syariah Share

Update JKSE 29 Des 2010 - Golden Cross & Ganti Baju

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda. Semoga bermanfaat.
Eco Syariah

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John Murphy's Ten Laws of Technical Trading

Dear Teknikal Trader,

Sebagai reminder buat yg sudah pernah baca... fyi buat yang belum tau...

Semoga bermanfaat dan keep learning.

ES
===============

Sumber: http://stockchart.com/

John Murphy's Ten Laws of Technical Trading

StockCharts.com's Chief Technical Analyst, John Murphy, is a very popular author, columnist, and speaker on the subject of Technical Analysis. John's "Ten Laws of Technical Trading" is the best guide available anywhere for people who are new to the field of charting. I urge you to print out this page and refer to it often. If you find this information useful, consider subscribing to StockCharts' Market Message.

Which way is the market moving? How far up or down will it go? And when will it go the other way? These are the basic concerns of the technical analyst. Behind the charts and graphs and mathematical formulas used to analyze market trends are some basic concepts that apply to most of the theories employed by today's technical analysts.

John Murphy, StockCharts.com's Chief Technical Analyst, has drawn upon his thirty years of experience in the field to develop ten basic laws of technical trading: rules that are designed to help explain the whole idea of technical trading for the beginner and to streamline the trading methodology for the more experienced practitioner. These precepts define the key tools of technical analysis and how to use them to identify buying and selling opportunities.

Before joining StockCharts, John was the technical analyst for CNBC-TV for seven years on the popular show Tech Talk, and has authored three best-selling books on the subject: Technical Analysis of the Financial Markets, Intermarket Technical Analysis and The Visual Investor.

His most recent book demonstrates the essential visual elements of technical analysis. The fundamentals of John's approach to technical analysis illustrate that it is more important to determine where a market is going (up or down) rather than the why behind it.

The following are John's ten most important rules of technical trading:

1. Map the Trends
2. Spot the Trend and Go With It
3. Find the Low and High of It
4. Know How Far to Backtrack
5. Draw the Line
6. Follow That Average
7. Learn the Turns
8. Know the Warning Signs
9. Trend or Not a Trend?
10. Know the Confirming Signs

1. Map the Trends

Study long-term charts. Begin a chart analysis with monthly and weekly charts spanning several years. A larger scale map of the market provides more visibility and a better long-term perspective on a market. Once the long-term has been established, then consult daily and intra-day charts. A short-term market view alone can often be deceptive (ES: misleading).  Even if you only trade the very short term, you will do better if you're trading in the same direction as the intermediate and longer term trends.

2. Spot the Trend and Go With It

Determine the trend and follow it. Market trends come in many sizes – long-term, intermediate-term and short-term. First, determine which one you're going to trade and use the appropriate chart. Make sure you trade in the direction of that trend. Buy dips if the trend is up. Sell rallies if the trend is down. If you're trading the intermediate trend, use daily and weekly charts. If you're day trading, use daily and intra-day charts. But in each case, let the longer range chart determine the trend, and then use the shorter term chart for timing. ES: dip = decrease, rallies = come up/gather/enthusiasm

3. Find the Low and High of It

Find support and resistance levels. The best place to buy a market is near support levels. That support is usually a previous reaction low. The best place to sell a market is near resistance levels. Resistance is usually a previous peak. After a resistance peak has been broken, it will usually provide support on subsequent pullbacks. In other words, the old "high" becomes the new low. In the same way, when a support level has been broken, it will usually produce selling on subsequent rallies – the old "low" can become the new "high."

4. Know How Far to Backtrack

Measure percentage retracements. Market corrections up or down usually retrace a significant portion of the previous trend. You can measure the corrections in an existing trend in simple percentages. A fifty percent retracement of a prior trend is most common. A minimum retracement is usually one-third of the prior trend. The maximum retracement is usually two-thirds. Fibonacci retracements of 38% and 62% are also worth watching. During a pullback in an uptrend, therefore, initial buy points are in the 33-38% retracement area.

5. Draw the Line

Draw trend lines. Trend lines are one of the simplest and most effective charting tools. All you need is a straight edge and two points on the chart. Up trend lines are drawn along two successive lows. Down trend lines are drawn along two successive peaks. Prices will often pull back to trend lines before resuming their trend. The breaking of trend lines usually signals a change in trend. A valid trend line should be touched at least three times. The longer a trend line has been in effect, and the more times it has been tested, the more important it becomes.

6. Follow that Average

Follow moving averages. Moving averages provide objective buy and sell signals. They tell you if existing trend is still in motion and help confirm a trend change. Moving averages do not tell you in advance, however, that a trend change is imminent (ES: about to occur / close in time). A combination chart of two moving averages is the most popular way of finding trading signals. Some popular futures combinations are 4- and 9-day moving averages, 9- and 18-day, 5- and 20-day. Signals are given when the shorter average line crosses the longer. Price crossings above and below a 40-day moving average also provide good trading signals. Since moving average chart lines are trend-following indicators, they work best in a trending market.

7. Learn the Turns

Track oscillators. Oscillators help identify overbought and oversold markets. While moving averages offer confirmation of a market trend change, oscillators often help warn us in advance that a market has rallied or fallen too far and will soon turn. Two of the most popular are the Relative Strength Index (RSI) and Stochastics. They both work on a scale of 0 to 100. With the RSI, readings over 70 are overbought while readings below 30 are oversold. The overbought and oversold values for Stochastics are 80 and 20. Most traders use 14-days or weeks for stochastics and either 9 or 14 days or weeks for RSI. Oscillator divergences often warn of market turns. These tools work best in a trading market range. Weekly signals can be used as filters on daily signals. Daily signals can be used as filters for intra-day charts.

8. Know the Warning Signs

Trade MACD. The Moving Average Convergence Divergence (MACD) indicator (developed by Gerald Appel) combines a moving average crossover system with the overbought/oversold elements of an oscillator. A buy signal occurs when the faster line crosses above the slower and both lines are below zero. A sell signal takes place when the faster line crosses below the slower from above the zero line. Weekly signals take precedence over daily signals. An MACD histogram plots the difference between the two lines and gives even earlier warnings of trend changes. It's called a "histogram" because vertical bars are used to show the difference between the two lines on the chart.

9. Trend or Not a Trend

Use ADX. The Average Directional Movement Index (ADX) line helps determine whether a market is in a trending or a trading phase. It measures the degree of trend or direction in the market. A rising ADX line suggests the presence of a strong trend. A falling ADX line suggests the presence of a trading market and the absence of a trend. A rising ADX line favors moving averages; a falling ADX favors oscillators. By plotting the direction of the ADX line, the trader is able to determine which trading style and which set of indicators are most suitable for the current market environment.

10. Know the Confirming Signs

Include volume and open interest. Volume and open interest are important confirming indicators in futures markets. Volume precedes (ES: come before) price. It's important to ensure that heavier volume is taking place in the direction of the prevailing trend. In an uptrend, heavier volume should be seen on up days. Rising open interest confirms that new money is supporting the prevailing trend. Declining open interest is often a warning that the trend is near completion. A solid price uptrend should be accompanied by rising volume and rising open interest.

"11."

Technical analysis is a skill that improves with experience and study. Always be a student and keep learning.

- John Murphy

-----------------------------
Semoga bermanfaat.
Eco Syariah Share

BWPT MPPA MLPL 28 Des 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda. Semoga bermanfaat. Eco Syariah

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JKSE 28 Dec 2010 - EMA dan Oscillator

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Semoga bermanfaat.
Eco Syariah Share

MNCN 23 Des 2010 - Flag Pattern

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Berikut ttg Flag (Bullish Continuation) dan Pennant (Bearish Continuation) Pattern.

• Flags and Pennants can be categorized as continuation patterns.
• They usually represent only brief pauses in a dynamic stock.
• They are typically seen right after a big, quick move.
• The stock then usually takes off again in the same direction.  --> kalau itu benar Flag berarti mau naik lagi dunk ?
• Research has shown that these patterns are some of the most reliable continuation patterns.

Semoga bermanfaat.
Eco Syariah Share

JKSE dan Berbagai Saham Nge-Trend - 15 Dec 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Sharing chart ini bukan ajakan beli jual, tapi sbg pembanding aja... dan sebagai antisipasi kalau JKSE mantul, maka sudah tau pilihan saham yg masih ngetrend.

Sesuaikan dengan Saham Pilihan Anda dan comot yg terbaik based on TA tools ini.

DISCLAIMER

Semoga bermanfaat.
Eco Syariah Share

View JKSE 13 Dec 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda. DISCLAIMER.

Dah lama ndak update blog krn laptop saya ngadat... sekarang baru sembuh dan mudah2an lancar lagi.

Berikut view thdp JKSE closing 13 Desember 2010.

Trend Line: --> kalau garis2 itu valid, maka terlihat sudah dua garis ditembus, mudah2an mantul di garis ketiga... antisipasinya kalau garis ketiga itu tembus juga... better wait and see dulu.

EMA Line: --> Sinyal buy muncul sejak pertengahan Juni 2010 dan belum ada sinyal sell sampai 13 Des 2010. Closing kemarin yang berada di atas Yellow Line memberikan harapan rebound... antisipasi kalu closing di bawah Yellow dan Red Line, apalagi jika penembusan itu dibarengi dgn sinyall sell... better ngaso dulu.

Dari TA tools (Trend Line dan EMA) yg populer ini... JKSE terlihat masih relatif aman. So, manfaatkan peluangnya dan hindari resikonya. Cari dan hanya traksaksikan saham2 yang berada di Top5 Rank saja, hindari saham2 rumors dan isu yang ndak jelas.


Semoga bermanfaat.

Eco Syariah Share

Besok 01 Muharram 1432 H

Selamat Tahun Baru 01 Muharram 1432 H

Semoga Allah subhana wa ta'ala mengampuni dosa dan kesalahan kita pada tahun-tahun sebelumnya... dan kita senantiasa diberi-Nya hidayah dan petunjuk pada jalan yang diredhoi-Nya... dalam upaya hijrah ke tingkatan dan tempat yang lebih baik... aamiin..

Eco Syariah Share

Watch List Saham Sariah 30 Nov 2010

Jangan begitu saja percaya dengan Hasil Explorer ini... selalu always recek dan percaya dengan TA dan chart Anda.

List ini dijaring dengan teknikal... fundamental nya saya ndak tau. Mudah2 ada yg mau share FA nya.

DISCLAIMER

Semoga bermanfaat.
Eco Syariah Share

DES - Daftar Efek Syariah Baru per 29 Nov 2010

Tanggal 29 Nov 2010 Bapepam-LK sudah mengeluarkan Daftar Efek Syariah terbaru yang berlaku efektif setelah 5 hari bursa sejak tanggal 29 Nov 2010 sampai dengan May 2011.

Berikut adalah tabel saham yang masuk-keluar DES dan pindah sektor:

Daftar DES selengkapnya (pdf) bisa di donlod di web Bapepam-LK di sini: http://www.bapepam.go.id/index.htm

Semoga bermanfaat.
Eco Syariah Share

JKSE 29 Nov 2010 - GS9

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Semoga bermanfaat.
Eco Syariah Share

Saham2 DES yg layak dipantau - Day Week Month Quart Year

Jangan begitu saja percaya dengan Hasil Explorer ini... selalu always recek dan percaya dengan TA dan chart Anda.

Jangan lupa juga recek ke daftar DES yg terbaru (saat ini diposting, DES terbaru belum keluar), sehingga tidak salah pilih saham non DES. Dan sekali lagi, hati2 dengan saham tidur, kalau mau aman pilih yang BC saja. Berikut pilihan per 26 Nov 2010:

Semoga bermanfaat.
Eco Syariah Share

UNTR 19 Nov 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Semoga bermanfaat.
Eco Syariah Share

Saham Syariah Pilihan untuk 20 Nov 2010 - Potensi Naik/Turun

Jangan begitu saja percaya dengan Hasil Explorer ini... selalu always recek dan percaya dengan TA dan chart Anda.

INGAT sebentar lagi (biasanya akhir bulan November) Daftar Efek Syariah (DES) akan dikeluarkan BAPEPAM-DSN MUI... kemudian disusul Daftar Saham yang masuk ke JII oleh BEI (biasanya bulan Desember), sesuaikan portofolio dan saham yang akan Anda transaksikan atau hold.

Hasil Explorer ini akan terus diperbaiki:

Semoga bermanfaat.
Eco Syariah Share

JKSE 19 Nov 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

JKSE 19 Nov 2010 ... terlihat ada tanda2 melanjutkan kenaikannya.

DISCLAIMER

Semoga bermanfaat.
Eco Syariah Share

JKSE 18 Nov 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Semoga bermanfaat.
Eco Syariah Share

Update TLKM / TLK 18 Nov 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Buat saya TLKM masih menguji kesabaran, seperti terlihat pada chart berikut.

Semoga bermanfaat.
Eco Syariah Share

Selamat 'IDUL ADHA 1431 H

SELAMAT

'IDUL ADHA 1341 H

SEMOGA QURBAN DAN KEPEDULIAN KITA KEPADA SESAMA

DAPAT DILAKSANAKAN DENGAN IKHLAS SEMATA MENGHARAPKAN

RIDHO ALLAH SUBHANA WA TA'ALA

AAMIIN

Eco Syariah

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JKSE 12 Nov 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Semoga bermanfaat.
Eco Syariah Share

Update + Kalkulator Saham TLKM 10 Nov 2010

Jangan begitu saja percaya dengan TA Katrok ini... selalu always recek dan percaya dengan TA dan chart Anda.

Chart 1 = Belum confirmed
Chart 2 = Kalkulator Saham plus MM (misal: modal 50 juta dan risk/trade 2%)

Semoga bermanfaat.
Eco Syariah Share