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The system seems interesting, but some EOD coding shows it is not
very useful. While a real time version with sophisticated exit
strategy would give more detailed info, this EOD, I beleive, gives
adequate evaluation of the system. Eliminating trades when there was
a 0.5% gap in the opposite direction (down gap for long positions),
improved the results slightly.
I tested 2 years of data for SPX and the SP500, with similar results:
Sell@ No Negative Gaps Gaps OK
#Trades AvgTrade #Trades AvgTrade
SPX Close 91 $17.86 94 $14.99
SPX High 91 $78.35 94 $76.87
No commision is considered and each trade is $10,000.
The two conditions were:
1. Sell at the close
2. Sell at the high of the day (to evaluate max potential).
The results when selling at the close were very small.
The results when selling at the high of the day at $76.87 for $10K
position gives 0.76% return. A realistic return mignt be 1/3 to 1/2
of the maximum possible producing 0.25% to 0.38% return.
It would seem to me that there is no real statistical significance.
Leading me to the conclusion that the money to be made is up to the
individual trader more than the system used.
Ara
--- In amibroker@xxxx, "wdbaker8" <wdbaker8@xxxx> wrote:
> Hi All,
> Has anyone coded this system or something like it, it looks a
little
> complicated for me but will take a stab at it, just didn't want to
> duplicate efforts.
>
> http://www.tradingeducators.net/3.htm
>
> I saw this listed on the www.elitetraders.com website as a possible
> daytrade system for volatile stocks or futures, it was originally
set
> up for the S&P 500
>
> Thanks
> wdbaker8
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