nahezu perfektes hs!! aber möglicherweise schauts in die zukunft
tach, wie der titel bereits vermuten lässt, ich hab ein hs entwickelt auf basis des rsi-lebeau-systmes, aber die ergenisse sind so naja perfekt, das es in die zukunft schauen muss, oder ein falf von überoptimierung oder so, jedenfalls zweifel ich an dem hs schon weil die sudent-t test signifikanz bei fast allen bei ca.55 % liegt
aber ich kann die fehlerquelle nicht finden..
vielleicht könnt ihr helfen:
Optimierung von System ewq
Beendet am 08.11.2007 15:45:23
Generationen: 4
Annäherung: 0,0%
*** Ergebnisse ***
Profit-Ratio zu Buy/Hold:
ABN AMRO HOLDING: 26.448,57%
3M COMPANY: 10.595,75%
AEGON: 127.575,00%
AHOLD: 65.410,87%
AIR LIQUIDE: 20.302,35%
ALCOA INC: 499.689,70%
ALLIANZ N: 51.566,75%
ALTRIA GROUP INC: 26.222,73%
AMER EXPRESS INC: 133.034,70%
AMER INTL GROUP I: 78.691,24%
AT&T INC.: 56.992,82%
AXA: 190.597,40%
BANCO SANTANDER R: 64.692,85%
BASF: 14.652,96%
BAYER: 23.729,76%
BBVA R: 110.692,60%
BMW: 39.196,57%
BOEING CO: 229.414,50%
BOUYGUES: 106.085,30%
CAP GEMINI: 2.102.924,00%
CARREFOUR: 21.918,58%
CATERPILLAR INC: 655.841,60%
CITIGROUP INC: 152.776,20%
COCA COLA CO THE: 132.550,70%
COMMERZBANK: 31.572,47%
DAIMLERCHRYSLER N: 16.022,50%
DANONE: 4.530,65%
DEUTSCHE BANK N: 12.909,51%
Dow Jones 30 Industrials: 6.562,82%
DT.LUFTHANSA N: 45.037,75%
DU PONT E I DE NE: 163.429,20%
E.ON AG: 9.820,12%
ENDESA: 18.815,52%
ESSILOR INTL: 40.012,54%
EXXON MOBIL CP: 12.373,61%
FORTIS: 60.459,14%
GEN ELECTRIC CO: 35.635,19%
GEN MOTORS: 161.332,60%
HENKEL VZ: 6.512,60%
HEWLETT PACKARD C: 1.796.699,00%
HOME DEPOT INC: 98.634,25%
HONEYWELL INTL IN: 106.436,80%
IBERDROLA: 11.306,71%
ING GROEP: 31.410,75%
INTL BUSINESS MAC: 49.645,38%
JOHNSON AND JOHNS: 26.055,98%
JP MORGAN CHASE C: 135.598,50%
LAFARGE: 36.743,64%
LAGARDERE SCA N: 134.319,50%
LINDE: 11.451,07%
L'OREAL: 21.929,94%
LVMH: 61.656,48%
MAN: 26.416,18%
MCDONALDS CP: 24.112,03%
MERCK CO INC: 61.649,55%
MICHELIN: 41.461,74%
PERNOD RICARD: 13.049,10%
PEUGEOT: 47.157,20%
PFIZER INC: 59.149,86%
PPR: 82.889,87%
PROCTER GAMBLE: 35.673,59%
REPSOL YPF: 18.902,94%
ROY.PHILIPS ELECTR: 148.152,60%
RWE -A-: 4.828,12%
SANOFI-AVENTIS: 34.911,40%
SCHNEIDER ELECTRIC: 69.019,68%
SIEMENS N: 56.542,35%
STE GENERALE-A-: 83.640,81%
SUEZ: 18.507,90%
TELEFONICA: 42.413,71%
TOTAL: 48.098,73%
TUI N: 59.651,03%
UNILEVER CERT: 1.657,83%
UNITED TECH: 50.343,52%
VALLOUREC: 45.080,64%
VERIZON COMMUN: 28.983,98%
VIVENDI: 87.404,79%
VOLKSWAGEN: 58.548,28%
WAL MART STORES: 46.094,38%
WALT DISNEY-DISNE: 240.777,10%
Durchschn. Trade-Länge:
ABN AMRO HOLDING: 1,00
3M COMPANY: 1,00
AEGON: 1,00
AHOLD: 1,00
AIR LIQUIDE: 1,00
ALCOA INC: 1,00
ALLIANZ N: 1,00
ALTRIA GROUP INC: 1,00
AMER EXPRESS INC: 1,00
AMER INTL GROUP I: 1,00
AT&T INC.: 1,00
AXA: 1,00
BANCO SANTANDER R: 1,00
BASF: 1,00
BAYER: 1,00
BBVA R: 1,00
BMW: 1,00
BOEING CO: 1,00
BOUYGUES: 1,00
CAP GEMINI: 1,00
CARREFOUR: 1,00
CATERPILLAR INC: 1,00
CITIGROUP INC: 1,00
COCA COLA CO THE: 1,00
COMMERZBANK: 1,00
DAIMLERCHRYSLER N: 1,00
DANONE: 1,00
DEUTSCHE BANK N: 1,00
Dow Jones 30 Industrials: 1,00
DT.LUFTHANSA N: 1,00
DU PONT E I DE NE: 1,00
E.ON AG: 1,00
ENDESA: 1,00
ESSILOR INTL: 1,00
EXXON MOBIL CP: 1,00
FORTIS: 1,00
GEN ELECTRIC CO: 1,00
GEN MOTORS: 1,00
HENKEL VZ: 1,00
HEWLETT PACKARD C: 1,00
HOME DEPOT INC: 1,00
HONEYWELL INTL IN: 1,00
IBERDROLA: 1,00
ING GROEP: 1,00
INTL BUSINESS MAC: 1,00
JOHNSON AND JOHNS: 1,00
JP MORGAN CHASE C: 1,00
LAFARGE: 1,00
LAGARDERE SCA N: 1,00
LINDE: 1,00
L'OREAL: 1,00
LVMH: 1,00
MAN: 1,00
MCDONALDS CP: 1,00
MERCK CO INC: 1,00
MICHELIN: 1,00
PERNOD RICARD: 1,00
PEUGEOT: 1,00
PFIZER INC: 1,00
PPR: 1,00
PROCTER GAMBLE: 1,00
REPSOL YPF: 1,00
ROY.PHILIPS ELECTR: 1,00
RWE -A-: 1,00
SANOFI-AVENTIS: 1,00
SCHNEIDER ELECTRIC: 1,00
SIEMENS N: 1,00
STE GENERALE-A-: 1,00
SUEZ: 1,00
TELEFONICA: 1,00
TOTAL: 1,00
TUI N: 1,00
UNILEVER CERT: 1,00
UNITED TECH: 1,00
VALLOUREC: 1,00
VERIZON COMMUN: 1,00
VIVENDI: 1,00
VOLKSWAGEN: 1,00
WAL MART STORES: 1,00
WALT DISNEY-DISNE: 1,00
Profitable Long Trades (%):
ABN AMRO HOLDING: 64,90%
3M COMPANY: 65,19%
AEGON: 66,26%
AHOLD: 65,19%
AIR LIQUIDE: 64,98%
ALCOA INC: 68,82%
ALLIANZ N: 64,98%
ALTRIA GROUP INC: 67,43%
AMER EXPRESS INC: 65,33%
AMER INTL GROUP I: 67,95%
AT&T INC.: 64,89%
AXA: 68,65%
BANCO SANTANDER R: 66,49%
BASF: 63,48%
BAYER: 64,76%
BBVA R: 68,04%
BMW: 64,68%
BOEING CO: 68,80%
BOUYGUES: 62,56%
CAP GEMINI: 65,55%
CARREFOUR: 65,35%
CATERPILLAR INC: 71,34%
CITIGROUP INC: 65,30%
COCA COLA CO THE: 71,08%
COMMERZBANK: 65,73%
DAIMLERCHRYSLER N: 62,80%
DANONE: 62,54%
DEUTSCHE BANK N: 62,74%
Dow Jones 30 Industrials: 70,15%
DT.LUFTHANSA N: 61,77%
DU PONT E I DE NE: 69,92%
E.ON AG: 65,65%
ENDESA: 63,55%
ESSILOR INTL: 64,18%
EXXON MOBIL CP: 65,87%
FORTIS: 64,12%
GEN ELECTRIC CO: 68,46%
GEN MOTORS: 67,54%
HENKEL VZ: 63,08%
HEWLETT PACKARD C: 70,28%
HOME DEPOT INC: 64,14%
HONEYWELL INTL IN: 65,15%
IBERDROLA: 65,10%
ING GROEP: 64,54%
INTL BUSINESS MAC: 64,01%
JOHNSON AND JOHNS: 66,84%
JP MORGAN CHASE C: 65,92%
LAFARGE: 62,70%
LAGARDERE SCA N: 64,96%
LINDE: 63,57%
L'OREAL: 64,12%
LVMH: 64,45%
MAN: 64,14%
MCDONALDS CP: 61,45%
MERCK CO INC: 67,48%
MICHELIN: 63,79%
PERNOD RICARD: 61,72%
PEUGEOT: 63,86%
PFIZER INC: 62,62%
PPR: 64,72%
PROCTER GAMBLE: 71,31%
REPSOL YPF: 62,98%
ROY.PHILIPS ELECTR: 62,63%
RWE -A-: 63,74%
SANOFI-AVENTIS: 63,89%
SCHNEIDER ELECTRIC: 63,81%
SIEMENS N: 65,35%
STE GENERALE-A-: 66,95%
SUEZ: 63,51%
TELEFONICA: 62,63%
TOTAL: 65,96%
TUI N: 63,22%
UNILEVER CERT: 67,10%
UNITED TECH: 68,11%
VALLOUREC: 62,19%
VERIZON COMMUN: 65,20%
VIVENDI: 62,60%
VOLKSWAGEN: 65,98%
WAL MART STORES: 62,13%
WALT DISNEY-DISNE: 68,27%
Sharpe Ratio:
ABN AMRO HOLDING: 3,02
3M COMPANY: 3,20
AEGON: 3,41
AHOLD: 2,77
AIR LIQUIDE: 3,31
ALCOA INC: 3,53
ALLIANZ N: 3,00
ALTRIA GROUP INC: 2,44
AMER EXPRESS INC: 3,75
AMER INTL GROUP I: 3,55
AT&T INC.: 3,03
AXA: 3,02
BANCO SANTANDER R: 3,28
BASF: 2,69
BAYER: 2,89
BBVA R: 3,83
BMW: 2,83
BOEING CO: 4,00
BOUYGUES: 2,85
CAP GEMINI: 2,88
CARREFOUR: 3,25
CATERPILLAR INC: 3,95
CITIGROUP INC: 3,41
COCA COLA CO THE: 4,30
COMMERZBANK: 2,52
DAIMLERCHRYSLER N: 2,54
DANONE: 2,57
DEUTSCHE BANK N: 2,55
Dow Jones 30 Industrials: 3,70
DT.LUFTHANSA N: 2,65
DU PONT E I DE NE: 3,99
E.ON AG: 2,17
ENDESA: 3,18
ESSILOR INTL: 2,98
EXXON MOBIL CP: 3,53
FORTIS: 3,25
GEN ELECTRIC CO: 3,20
GEN MOTORS: 3,53
HENKEL VZ: 2,00
HEWLETT PACKARD C: 3,71
HOME DEPOT INC: 3,41
HONEYWELL INTL IN: 3,17
IBERDROLA: 3,12
ING GROEP: 2,89
INTL BUSINESS MAC: 3,02
JOHNSON AND JOHNS: 3,61
JP MORGAN CHASE C: 2,85
LAFARGE: 3,00
LAGARDERE SCA N: 2,96
LINDE: 2,49
L'OREAL: 2,92
LVMH: 2,94
MAN: 2,67
MCDONALDS CP: 3,07
MERCK CO INC: 3,57
MICHELIN: 3,06
PERNOD RICARD: 2,58
PEUGEOT: 3,29
PFIZER INC: 3,28
PPR: 3,19
PROCTER GAMBLE: 3,66
REPSOL YPF: 3,07
ROY.PHILIPS ELECTR: 2,88
RWE -A-: 2,50
SANOFI-AVENTIS: 3,20
SCHNEIDER ELECTRIC: 2,99
SIEMENS N: 2,16
STE GENERALE-A-: 2,90
SUEZ: 2,56
TELEFONICA: 3,06
TOTAL: 3,52
TUI N: 2,45
UNILEVER CERT: 2,67
UNITED TECH: 3,63
VALLOUREC: 2,39
VERIZON COMMUN: 2,97
VIVENDI: 2,38
VOLKSWAGEN: 2,85
WAL MART STORES: 3,23
WALT DISNEY-DISNE: 3,93
Student t-Test Signifikanz:
ABN AMRO HOLDING: 52,27%
3M COMPANY: 52,29%
AEGON: 52,25%
AHOLD: 52,29%
AIR LIQUIDE: 52,31%
ALCOA INC: 52,31%
ALLIANZ N: 52,33%
ALTRIA GROUP INC: 52,27%
AMER EXPRESS INC: 52,29%
AMER INTL GROUP I: 52,27%
AT&T INC.: 52,30%
AXA: 52,30%
BANCO SANTANDER R: 52,28%
BASF: 52,27%
BAYER: 52,29%
BBVA R: 52,32%
BMW: 52,28%
BOEING CO: 52,30%
BOUYGUES: 52,36%
CAP GEMINI: 52,40%
CARREFOUR: 52,27%
CATERPILLAR INC: 52,32%
CITIGROUP INC: 52,29%
COCA COLA CO THE: 52,30%
COMMERZBANK: 52,32%
DAIMLERCHRYSLER N: 52,28%
DANONE: 52,30%
DEUTSCHE BANK N: 52,29%
Dow Jones 30 Industrials: 52,25%
DT.LUFTHANSA N: 52,34%
DU PONT E I DE NE: 52,32%
E.ON AG: 52,25%
ENDESA: 52,28%
ESSILOR INTL: 52,35%
EXXON MOBIL CP: 52,27%
FORTIS: 52,25%
GEN ELECTRIC CO: 52,29%
GEN MOTORS: 52,33%
HENKEL VZ: 52,36%
HEWLETT PACKARD C: 52,28%
HOME DEPOT INC: 52,27%
HONEYWELL INTL IN: 52,27%
IBERDROLA: 52,30%
ING GROEP: 52,24%
INTL BUSINESS MAC: 52,30%
JOHNSON AND JOHNS: 52,27%
JP MORGAN CHASE C: 52,30%
LAFARGE: 52,32%
LAGARDERE SCA N: 52,35%
LINDE: 52,37%
L'OREAL: 52,26%
LVMH: 52,31%
MAN: 52,47%
MCDONALDS CP: 52,28%
MERCK CO INC: 52,29%
MICHELIN: 52,31%
PERNOD RICARD: 52,30%
PEUGEOT: 52,33%
PFIZER INC: 52,28%
PPR: 52,34%
PROCTER GAMBLE: 52,28%
REPSOL YPF: 52,30%
ROY.PHILIPS ELECTR: 52,28%
RWE -A-: 52,48%
SANOFI-AVENTIS: 52,27%
SCHNEIDER ELECTRIC: 52,32%
SIEMENS N: 52,48%
STE GENERALE-A-: 52,31%
SUEZ: 52,34%
TELEFONICA: 52,28%
TOTAL: 52,29%
TUI N: 52,35%
UNILEVER CERT: 53,04%
UNITED TECH: 52,28%
VALLOUREC: 52,37%
VERIZON COMMUN: 52,30%
VIVENDI: 52,33%
VOLKSWAGEN: 52,27%
WAL MART STORES: 52,28%
WALT DISNEY-DISNE: 52,30%
*** Optimierte Berechnungen ***
Enter Long:
If( AroonUp(Close, shit )<AroonDown(Close, shit) , 0 ,
(High > Ref(close,-1) + Ref(ATR(1),-1) *0.0001) and Ref(td_rei(),-1) < --0.763 )
Exit Long:
td_rei()>-0.967
Übergreifende Definitionen:
global Calc x: 6;
global Calc w: 4.716;
global const shit: 2;
*** Testbedingungen ***
Positionen: Long
Enter-Basis: MAX (Ref(close,-1)+Ref(ATR(1),-1)*0.001,open)
Delay: 0
Exit-Basis: Close
Delay: 0
Buy/Hold-Basis: Close
Trade-Mindestdauer: 1
Out-Mindestdauer: 1
Startkapital: 10000 Euro
Margin: 100%
Risikofreie Zinsen 0
Hebel: x
Entry-Gebühren: 0,08%
Exit-Gebühren: 0%
Slippage: 0,2%
Portfolio Zinssatz: 2
Risikotoleranz: 24
ATR-Verlust Long
bei ATR(60)*5,770
Money-Manag. Kapitalanteil
Anteil w%