Re: Nov. Beans Seasonal Trade

["Walter Lake" <wlake@xxxxxxxxx>]

Hi Jeff

This was from Momsen's article on November old beans (SX) seasonal trade?

Did you use a continuous contract or did you run your system test code on
each year's SX contract?

Best regards

Walter


----- Original Message -----
From: "Jeff Ledermann" <j.ledermann@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Sunday, May 14, 2000 5:59 AM
Subject: Nov. Beans Seasonal Trade


| List,
|
| Anyone giving the Nov. Soybean seasonal trade described in
| Feb. 2000 TASC a go this year?
|
| My backtesting seems to confirm the authors analysis.
| I tested it on the 89-99 contracts and got 8 wins v. 2 losses.
| Avg. win      = 60pts
| Largest win  = 95pts
| Largest loss = 66pts
| Largest winning drawdown = 45pts
| The drawdown figure implies a $2500 money management stop
| is required.
|
| My system test code is appended if anyone is interested.
| For general amusement I'll let the list know how it goes this year.
|
| Jeff.
|
| ===========================================================
| Enter Short
| -----------------
| InSeason:=(DayOfMonth()>=15 AND Month()=5) OR Month()=6 OR Month()=7;
| ShortEntry:=InSeason AND (Ref(L,-1)<=Ref(LLV(L,16),-2)-1.5);
| ShortEntry
|
| Exit Short
| ---------------
| InSeason:=(DayOfMonth()>=15 AND Month()=5) OR Month()=6 OR Month()=7;
| ShortEntry:=InSeason AND (Ref(L,-1)<=Ref(LLV(L,16),-2)-1.5);
| {DEFINE ENTRY PRICE, WITH EXIT BEING -ENTRY PRICE AND NO TRADE BEING 0}
| TrailingStop:=Ref(HHV(HIGH,11),-1)+0.25;
| EntryPrice:= If(PREV <= 0,
|    {Trade entered today?}
|    If(ShortEntry, OPEN, 0),
|    {Trade entered before today. Stopped today?}
|     If(DayOfMonth()>=13 AND Month()>=8,-PREV,
|     If(ValueWhen(1,PREV=0,OPEN) > TrailingStop,
|       If(HIGH >= TrailingStop,-PREV,PREV),
|       If(HIGH >=
ValueWhen(1,PREV=0,Ref(HHV(HIGH,5),-1)+0.25),-PREV,PREV))));
|
| {EXIT IF ENTRY PRICE < 0 (MEANING EXIT)}
| EntryPrice < 0
|