Тестирование: Процент сопротивления (Percent of resistance).
Сигналы осциллятора:
 сигнал к покупке |
поступает при пересечении границы значений 10% снизу вверх |
 сигнал к продаже |
поступает при пересечении границы значений 90% сверху вниз |
|
закрытие длинных позиций |
поступает при открытии коротких позиций |
|
закрытие коротких позиций |
поступает при открытии длинных позиций |
|
защитные стоп приказы |
полное отсутствие стоп приказов |
| размер комиссионных | размер комиссионных составляет 0,5% при входе и при выходе из сделки |
Тестирование осциллятора проводилось по двум акциям РТС: PAO ЕЭС и АО Ростелеком. Период тестирования для РАО ЕЭС с 25/10/1995 по 21/09/2000, для АО Ростелеком 25/09/1998-21/09/2000
На данной странице представлены тесты с значениями процента сопротивления равными 5, 10, 15.
РАО ЕЭС
| Процент сопротивления (PCR) для n=5 | |||
| Total net profit | 578.44 | Open position value | 280.05 |
| Percent gain/loss | 57.84 | Annual percent gain/loss | 11.77 |
| Initial investment | 1000.00 | Interest earned | 0.00 |
| Buy/Hold profit | 4051.08 | Days in test | 1794 |
| Buy/Hold pct gain/loss | 405.11 | Annual B/H pct gain/loss | 82.42 |
| Total closed trades | 102 | Commissions paid | 1072.15 |
| Avg profit per trade | 2.93 | Avg Win/Avg Loss ratio | 3.08 |
| Total long trades | 51 | Total short trades | 51 |
| Winning long trades | 14 | Winning short trades | 12 |
| Total winning trades | 26 | Total losing trades | 76 |
| Amount of winning trades | 5773.39 | Amount of losing trades | -5475.00 |
| Average win | 222.05 | Average loss | -72.04 |
| Largest win | 721.94 | Largest loss | -145.24 |
| Average length of win | 23.50 | Average length of loss | 5.29 |
| Longest winning trade | 57 | Longest losing trade | 22 |
| Most consecutive wins | 2 | Most consecutive losses | 14 |
| Total bars out | 357 | Average length out | 5.95 |
| Longest out period | 19 | ||
| Процент сопротивления (PCR) для n=10 | |||
| Total net profit | 21562.97 | Open position value | 2984.97 |
| Percent gain/loss | 2156.30 | Annual percent gain/loss | 438.71 |
| Initial investment | 1000.00 | Interest earned | 0.00 |
| Buy/Hold profit | 4051.08 | Days in test | 1794 |
| Buy/Hold pct gain/loss | 405.11 | Annual B/H pct gain/loss | 82.42 |
| Total closed trades | 57 | Commissions paid | 6972.17 |
| Avg profit per trade | 325.93 | Avg Win/Avg Loss ratio | 2.94 |
| Total long trades | 30 | Total short trades | 27 |
| Winning long trades | 10 | Winning short trades | 10 |
| Total winning trades | 20 | Total losing trades | 37 |
| Amount of winning trades | 50227.41 | Amount of losing trades | -31649.40 |
| Average win | 2511.37 | Average loss | -855.39 |
| Largest win | 6531.04 | Largest loss | -2070.27 |
| Average length of win | 37.85 | Average length of loss | 6.95 |
| Longest winning trade | 103 | Longest losing trade | 33 |
| Most consecutive wins | 4 | Most consecutive losses | 8 |
| Total bars out | 289 | Average length out | 8.76 |
| Longest out period | 26 | ||
| Процент сопротивления (PCR) для n=15 | |||
| Total net profit | 18179.06 | Open position value | 2010.53 |
| Percent gain/loss | 1817.91 | Annual percent gain/loss | 369.86 |
| Initial investment | 1000.00 | Interest earned | 0.00 |
| Buy/Hold profit | 4051.08 | Days in test | 1794 |
| Buy/Hold pct gain/loss | 405.11 | Annual B/H pct gain/loss | 82.42 |
| Total closed trades | 50 | Commissions paid | 4443.67 |
| Avg profit per trade | 323.37 | Avg Win/Avg Loss ratio | 3.53 |
| Total long trades | 26 | Total short trades | 24 |
| Winning long trades | 10 | Winning short trades | 7 |
| Total winning trades | 17 | Total losing trades | 33 |
| Amount of winning trades | 35878.22 | Amount of losing trades | -19709.70 |
| Average win | 2110.48 | Average loss | -597.26 |
| Largest win | 4961.30 | Largest loss | -1471.39 |
| Average length of win | 45.35 | Average length of loss | 7.67 |
| Longest winning trade | 102 | Longest losing trade | 28 |
| Most consecutive wins | 3 | Most consecutive losses | 6 |
| Total bars out | 272 | Average length out | 9.07 |
| Longest out period | 38 | ||
АО Ростелеком
| Процент сопротивления (PCR) для n=5 | |||
| Total net profit | 983.55 | Open position value | 442.99 |
| Percent gain/loss | 98.35 | Annual percent gain/loss | 49.31 |
| Initial investment | 1000.00 | Interest earned | 0.00 |
| Buy/Hold profit | 4115.05 | Days in test | 728 |
| Buy/Hold pct gain/loss | 411.50 | Annual B/H pct gain/loss | 206.32 |
| Total closed trades | 56 | Commissions paid | 574.44 |
| Avg profit per trade | 9.65 | Avg Win/Avg Loss ratio | 2.40 |
| Total long trades | 29 | Total short trades | 27 |
| Winning long trades | 9 | Winning short trades | 10 |
| Total winning trades | 19 | Total losing trades | 37 |
| Amount of winning trades | 2856.88 | Amount of losing trades | -2316.33 |
| Average win | 150.36 | Average loss | -62.60 |
| Largest win | 565.69 | Largest loss | -146.51 |
| Average length of win | 14.32 | Average length of loss | 5.16 |
| Longest winning trade | 28 | Longest losing trade | 20 |
| Most consecutive wins | 2 | Most consecutive losses | 6 |
| Total bars out | 104 | Average length out | 4.16 |
| Longest out period | 9 | ||
| Процент сопротивления (PCR) для n=10 | |||
| Total net profit | 276.14 | Open position value | 285.00 |
| Percent gain/loss | 27.61 | Annual percent gain/loss | 13.84 |
| Initial investment | 1000.00 | Interest earned | 0.00 |
| Buy/Hold profit | 4115.05 | Days in test | 728 |
| Buy/Hold pct gain/loss | 411.50 | Annual B/H pct gain/loss | 206.32 |
| Total closed trades | 31 | Commissions paid | 356.70 |
| Avg profit per trade | -0.29 | Avg Win/Avg Loss ratio | 3.41 |
| Total long trades | 17 | Total short trades | 14 |
| Winning long trades | 4 | Winning short trades | 3 |
| Total winning trades | 7 | Total losing trades | 24 |
| Amount of winning trades | 1939.92 | Amount of losing trades | -1948.78 |
| Average win | 277.13 | Average loss | -81.20 |
| Largest win | 468.43 | Largest loss | -144.95 |
| Average length of win | 29.00 | Average length of loss | 9.08 |
| Longest winning trade | 50 | Longest losing trade | 25 |
| Most consecutive wins | 2 | Most consecutive losses | 8 |
| Total bars out | 115 | Average length out | 6.05 |
| Longest out period | 15 | ||
| Процент сопротивления (PCR) для n=15 | |||
| Total net profit | 704.01 | Open position value | 382.11 |
| Percent gain/loss | 70.40 | Annual percent gain/loss | 35.30 |
| Initial investment | 1000.00 | Interest earned | 0.00 |
| Buy/Hold profit | 4115.05 | Days in test | 728 |
| Buy/Hold pct gain/loss | 411.50 | Annual B/H pct gain/loss | 206.32 |
| Total closed trades | 24 | Commissions paid | 320.96 |
| Avg profit per trade | 13.41 | Avg Win/Avg Loss ratio | 2.88 |
| Total long trades | 14 | Total short trades | 10 |
| Winning long trades | 4 | Winning short trades | 3 |
| Total winning trades | 7 | Total losing trades | 17 |
| Amount of winning trades | 2071.84 | Amount of losing trades | -1749.94 |
| Average win | 295.98 | Average loss | -102.94 |
| Largest win | 509.50 | Largest loss | -145.96 |
| Average length of win | 33.86 | Average length of loss | 8.71 |
| Longest winning trade | 57 | Longest losing trade | 25 |
| Most consecutive wins | 2 | Most consecutive losses | 5 |
| Total bars out | 141 | Average length out | 9.40 |
| Longest out period | 22 | ||
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