Re: Bull and Bear Fear System

[Fred Bender <fbender@xxxxxxxxxxx>]

Jeff,
I  ran your Bull and Bear Fear system on 10 years of cash SPX and got very
robust results (no losers over wide ranges of 5 parameters!) and then hond it in
to c. 50% wins at 2:1.  Unfortunately, total profits were only 60-65% of
buy-and-hold.  Are these results consistent with your experience with this
system?
Also, is it possible to trade this system by anticipating signals near the close
of the trading day, or does one have to wait until after ater the close for the
signals?

Thanks,
Fred Bender

Jeff Ledermann wrote:

> Brooke,
>
> Your post caught my attention and over the past few days I've been
> optimising the system against all the securities I track with credible
> results.  It certainly needs the DMI on entry to make it useful.
>
> To improve its exit characteristics I added a stochastic crossover
> as an alternative which improves its return dramatically in most cases.
> With a little bit of tweaking I can get its win to loss ratio around 8:1 for
> many of my securities.  Unfortunately in not a single instance did it
> give a better overall result on any period than the linear regression
> system I'm using, so I guess it's not going to make me rich <:-)
>
> Anyway here's the formula I used to test with:
>
> Enter Long
> BullFear:=(HHV(HIGH,opt1) - LLV(HIGH,opt1))/2 + LLV(HIGH,opt1);
> Cross(C,BullFear) AND (DX(opt2) > opt3)
>
> Close Long
> BullFear:=(HHV(HIGH,opt1) - LLV(HIGH,opt1))/2 + LLV(HIGH,opt1);
> Cross(BullFear,C) OR Cross(Mov(Stoch(opt4,3),opt5,S),Stoch(opt4,3))
>
> Jeff
> ----------------------------------
> j.ledermann@xxxxxxxxx