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Over 10 years about 200 trades--I didn't do the systems test myself--
I looked at the results--then I took the historical data and marked
my entry and exit points and calculated the returns manually to see
if I could read the siganls and how it worked--no, the data is not
curve fitted--it's really hard to curve fit a 20 dma and a 4% flat
increase--I don't know if it was tested on out of sample data--I
don't do a lot with mechanical testing because I've found that in
live trading not much of that type of testing holds up because people
don't trade like the computer (my opinion)--a lot of people have
tested this system on historical data every since Zweig first
published it--the results are half as good without the 20 dma--no
it's not fitted to the "current" market conditions, at least not over
the ten years I looked at it--that's all I know. The rest you'll have
to figure out for yourself.
Last question. What do I use this for? Well, I have several
indicators setup that give me a very high percentage take on what's
going to happen in the short term. I call that my trading bias.
What do I do with my trading bias. I use it to decide if I'm going to
act quickly on trend changes or wait awhile and whether I should take
weak signals. If they are toward my bias, I take them, if they are
not I don't.
Let me save you all time and email. I set my trading bias using some
VIX charts based on Larry Connors, Rydex Fund Flows, the VLE I
described, a five minute chart of the trading volume diff on NYSE,
and adv/decline numbers and a multiple MA ribbon analysis on 30, 60
and daily charts. That's about it. Don't email me asking me to
explain more, I won't. If you want to know about any of these things
you can find plenty of information, if you look.
Do I like this as a trading system. Yes, it's one of the best no
brainer black box type systems around. If you add a few brains and
some seasoned judgement you can make more than the 22% annually with
nothing more than what appears on your screen if you follow my
instructions. All this stuff is well known. I didn't invent it. I try
not to invent (re-invent) the wheel the way a lot of people on this
and other trading sites try to do, and I keep as simple as possible.
It works better!
When I am too old to read my regular indicators, and I druel too much
to sit in front of the computer without a bib, this is the system I
will probably use to trade. It will still be beating the crap out of
98% of the mutual fund managers out there, and that will make me
enough money to pay the retirement home every month.
JO
--- In Metastockusers@xxxxxxxxxxxxxxx, "Joe J." <jojab@xxxx> wrote:
> JO,
>
> Thanks for posting your work. I have a few questions for you:
>
> - How many times did this system trade in the 10 year period?
> - Did you optimize any variables? If so, how did the results hold
up in the out of sample data?
> - Since the gains are concentrated in the last three years of
trading, are you concerned that the system might be "fitted" to the
current market conditions and that the system might not adapt well to
changes which do occur?
>
> As a side note, does anyone have data that is older than 10 years
to test this on (you could substitute the S&P Cash index for the SPY
since that has a limited history)? I'd be curious to see how this
system performed.
>
> I am writing this email not to appear critical of your post but
rather to try to constructively analyze your system. I look forward
to your comments.
>
> Good Trading,
>
> Joe J.
>
>
>
>
>
>
>
> -----Original Message-----
> From: manohohman [mailto:kelols@x...]
> Sent: Thursday, November 13, 2003 10:48 PM
> To: Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] Here's an SPY trading System
>
>
> Roy (code refinement) and I (theory and application) took Zweig's
old
> 4% indicator based on the Valueline Geometric Index, updated it,
> added a twist to it and refined it for trading the SPY Daily.
>
> Here's how it works.
>
> 1. Instead of the Valueline Geometric Index, this system uses the
> Valueline Arithmetic Index. (This is an important difference!) This
> index is $VLE on Esignal. (I don't know what it is on whatever free
> service you've found so don't ask me.)
>
> 2. Once you've opened that Index on a daily chart, color the price
> line (not bars) red, create the following expert, and apply it.
>
> Highlight Code Green
>
> X:=If(Cum(Ref(C>Lowest(C)*1.04 OR C<Highest(C)*.96,-1))=0,
> If(C>Lowest(C)*1.04,1,
> If(C<Highest(C)*.96,-1,0)),
> If(PREV=1,
> If(C<HighestSince(1,PREV<1,C)*.96,-1,PREV),
> If(C>LowestSince(1,PREV>-1,C)*1.04,1,PREV)));
> I:=Cum(1)<=2;
> State:=BarsSince(X=1 OR I)<BarsSince(X=-1 OR I)+(Cum(X=1)=1);
> State;
>
> 3. Since March your price line should be green, except for two red
> down turns.
>
> 4. To this chart apply a simple 20 ma.
>
> 5. Open another chart of the SPY daily. Create a new window on the
> Valueline chart, copy the SPY daily and paste it into the new
window
> on the Valueline Chart. Close the SPY chart.
>
> 6. Here are the trading rules. You must follow them exactly. A buy
> signal is created when either the price line turns green or crosses
> the 20 dma. You take which ever signal comes first. It doesn't
matter.
>
> A sell signal comes when the price line turns red or crosses below
> the 20 dma. It doesn't matter which comes first. You take the first
> signal from either indicator. You sell the long and take the short.
> If you're trading in a retirement account, you can't short but you
> can buy Rydex, Profunds or Potomac on the short side.
>
> 7. To avoid whipsaws, you can use a pyramiding technique of buying
> one third of your buyin at a time. It will limit losses on the
> whipsaws but reduces your overall return somewhat. It's all in your
> risk profile. You decide.
>
> 7. Since you can't buy the Valueline Arithmetic Index you buy the
SPY
> on the Valueline entry and exit signals.
>
> 8. Don't apply this to any other security except the SPY.
>
> 9. How good does it work?
>
> Over the last 10 years, it's averaged 22% a year, with one small
> losing year and 40% plus gains the last 3 years. Just take
whichever
> signal occurs first, either the green indicator signal or the 20
dma
> crossover.
>
> This is as simple as TA gets. Use it to your advantage. I got this
by
> paying attention to some of my systems development books. It's
about
> twice as profitable as Zweig's original method, and is about 3
times
> more profitable than buy and hold.
>
> Now isn't this why you bought MS in the first place. I know, don't
> tell me, all of you arrogant wizard traders won't waste your time
on
> a measely 22% a year unless I can hang a 1 in front of the 22. No,
> you killer TA masters are going to make buckets of money! Really,
> well here's an article to put that theory to rest.
>
> www.investorhome.com/psych.htm
>
> Read this article on behavioral finance and see what arrogance gets
> you......
>
> This system is free, my momma could make money with it, and now you
> don't have any excuses for losing dough.
>
> JO
>
>
>
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