Measuring the effectiveness of Break High Strategy using Quantitative Trading Methods by Amibroker

Abstract

This study aims to test the efficiency of Break High Strategy investment by using Quantitative Trading algorithm to analyze performance using various testing procedures such as Market Classification (MKC), Monkey Test and Walk-Forward Analysis. Case studies. Price information of all stocks in the SET100 of the Stock Exchange of Thailand The experimental period from January 1, 2005 to December 31, 2015 was 10 years, using daily data for testing. To compare Buy and Hold investment strategies, the data is divided into 2 sets: In Sample, a data set in the sample from January 1, 2005 to December 31, 2015, and Out of Sample, a data set outside the sample group from January 1, 2010. Until December 31, 2015, using Net Profit %, Maximum Drawdown% ,CAR/MaxDD, Profit Factor, Sharpe Ratio as criteria to measure the performance of Trading System.

The results of the study in In Sample data showed that the investment strategy of Break High Strategy gave Net Profit % equal to 122.96%, but if the strategy was applied in the Out of sample data set, Net Profit % was 23.85% and CAR/ MDD is 0.62 compared to the test results of the In Sample data, the CAR/MDD value is 0.22, which results in quite a big difference in the maximum drawdown%. It is found that the Break High Strategy from the In Sample data set provides The Maximum Drawdown% is -12.64% and for the Out of sample data set it is -10.33%, which is not a big difference. From the test it can be concluded that the Break High Strategy investment strategy after testing the Out of sample Period data set in different steps Compared to the Buy and Hold strategy, the Net Profit % is 98.87%, which is better than the Break High Strategy with the Net Profit % at 23.85. % for Out of Sample.  But if comparing with Maximum Drawdown% ,CAR/MaxDD, Profit Factor, Sharpe Ratio, Break High Strategy investment strategy has a better value. We can therefore say that the researcher's Break High Strategy investment strategy There is not enough stability and it is dangerous to actually implement the strategy for investment. Because you cannot be sure that the trading system will still be able to make a profit in the future as before. Because the results from doing the Walk Forward Analysis are clearly different values.