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If you listen to the presentations in my earlier post directing you to
http://www.zapfutures.com/archive/farchive.htm
then you'll hear
where a good system in futures trading has a profit rastio (total
profit/total risk) for an excellent system is 7. Crap =0. A win ratio
(winners:loser) of 2 (66%) was good and 3 (65%) great. The important thing
is have you got the indicator for trending matched to the market? I.e use
support resistance in S?R and trennding in trending. Obvious isn't it. But
who isn't doing this. The other important information on the Russelll 3000
that woiuld have been nice to hear was the ROI. And pf course the maxm and
averaged draw downs.
P
----- Original Message -----
From: <schildroth@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, July 04, 2001 9:18 PM
Subject: [amibroker] Re: winning system ?
> Hi David,
>
> Interesting scan. It appears to do better with indexes than
> individual stocks. I did a quick check with the Russell 3000 and got
> a 71% win ratio with a 2.75 profit factor. This includes closing out
> all trades on the last day.
>
> My biggest gripe would be the long (for me) holding period. The
> average trade was over 200 days.
>
> Thanks for posting the code,
>
> Schildroth
>
>
>
> --- In amibroker@xxxx, "David Holzgrefe" <dtholz@xxxx> wrote:
> > Hi Ami users I was sorting through little code snips and came
> across this one
> > mostlikely posted but one of the ami users ..
> >
> > anyway backtesting on the asx shows excellent results for the
> medium term trader
> > on the asx 50 asx 200 and the s&p all ords index .
> >
> > Maybe a few other could run it on there indexes to see if performs
> the same ?
> >
> > an give me some feed back as the results seem a little to good ..
> >
> >
> > Thanks David
> >
> > prevclose = ref( close, -1);
> > signl = iif( close > prevclose , 1, 0 );
> >
> > BUY = CROSS(bbandbot(close, 15, 2),close) AND RSI(14) < 35 AND
> signl = 1;
> >
> > SELL = CROSS(bbandtop(close, 15, 2),close) AND RSI(14) > 70;
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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