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Dickie, I get a 41% drawdown testing from 1/1/2000 -
8/12/2005 , not the 6% you mention.
--- Dickie Paria <babui@xxxxxxxxx> wrote:
> Was leafing through the latest 'Active Trader' mag
> at a newsstand and
> came across the %K trading system which seems pretty
> robust. The
> theory behind the system is simple. The StochK
> indicator is a very
> popular indicator used by many traders. The traders
> wait till it is
> oversold (under 5) and then jump in to buy.
> Different traders have
> different timeframes. So, the technique
> 'piggybacks' on this
> inclination. It takes the StochK for various
> periods and
> Buys = when all the StochK's are under 5
> Sells = the next day at the open
> Active Trader tests the system on its 'standard'
> stock portfolio
> which is 18 large cap stocks like Apple, Caterpillar
> etc over a 10 yr
> (I think) period. The system is in the market about
> 10% of the time
> and has a very steady equity curve growth. Annual %
> profit is 11.5%
> with no margin. If cash is invested in the money
> mkt at other times,
> then total annual profit is greater buy and hold.
> Drawdown is (if I
> remember correctly) only 6%. Only 25% was risked at
> any one time (I
> think) and Active Trader took about $8 or $9 as
> commission.
> Overall - they say that it is very robust
> system.....
>
> Here's the code
> ***************************
>
> /* %K Trading System as written in Active Trader
> ** Sept 2005
> ** Coded by Dickie Paria for AB Group Discussion,
> */
>
>
> Cond1 = StochK (10);
> Cond2 = StochK (15);
> Cond3 = StochK (20);
> Cond4 = StochK (25);
> Cond5 = StochK (30);
>
> Plot( Cond1 , "StochK10", colorRed, styleThick );
> Plot( Cond2 , "StochK15", colorGreen, styleThick );
> Plot( Cond3 , "StochK20", colorBlack, styleThick );
> Plot( Cond4 , "StochK25", colorYellow, styleThick );
> Plot( Cond5 , "StochK30", colorBrightGreen,
> styleThick );
>
> Plot (5,"",colorBlue,styleNoLabel);
>
>
> Buy = (Cond1 AND Cond2 AND Cond3 AND Cond4 AND
> Cond5) < 5;
> Sell = 0;
> SellPrice = Open;
> ApplyStop(3,1,1);
>
> Capital = 100000; /* IMPORTANT: Set it also in the
> Settings: Initial
> Equity */
> PositionSize = -25;
>
>
>
>
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