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<FONT face=Arial color=#0000ff
size=2>JO,
Not to
defend the poster of the BB system but as I see it, he has some
variables in his system and you have some in yours (in fact all systems have
rules - i.e., variables). Just because you decided not to change
the 4% (why not 2% or 5%? - remember too that Ziewg probably optimized the
4% number to begin with) or the 20dma, doesn't mean that your system is
better/worse on its face than the BB system.
<FONT face=Arial color=#0000ff
size=2>
That
being said, you make some good points about testing the robustness
of the system. I ran this on the five minute SPY bars from 11-3 to
11-17 (857 bars) in a points only test and it made
a woeful .38 points on 69 trades. The win percentage was almost
61%.
<FONT face=Arial color=#0000ff
size=2>
In
looking at it, one would have a hard time trading this system because you
are shorting while the market can be screaming up (and vice-versa) and you have
no means of a stop to get you out - you have to wait for a reversal. Thus,
I don't disagree with your conclusion with regard to this
system.
<FONT face=Arial color=#0000ff
size=2>
Good
Trading,
<FONT face=Arial color=#0000ff
size=2>
Joe
J.
<SPAN
id=hbblock>
<FONT face=Tahoma
size=2>-----Original Message-----From: manohohman
[mailto:no_reply@xxxxxxxxxxxxxxx]Sent: Tuesday, November 18, 2003
1:48 PMTo: equismetastock@xxxxxxxxxxxxxxxSubject:
[EquisMetaStock Group] Re: simple SPY trading system using Bolinger
BandsThis is an interesting systems as opposed to the
4% VLE system that I posted. This system has the potential to be
curve fitted. Curve fitting is simply changing variables in the expert
equations, or adding trading rules to a trading system to the point where
the system is tuned only for the historical data it is being tested on.
In this system you have two variables which impact the outcome. You
have the BB periods and BB std devs. Both of which can be tweaked for
one security over a specified range of historical data. BB systems are
easily over optimized. In the 4% VlE system you have the VLE which
can't be manipulated. You have the 4% rule which can't be changed and you
have a 20 dma which is very common. The trading rules are take whichever
signal comes first. So there's only one trading rule. Once moving average,
which was not optimized (ie 20 not 22 or 36 or whatever) and you have the
4% price differential which is fixed. That makes it really hard to
curve fit it. However, it is not robust in that it only trades the
price movement of the SPY, or the market as a whole, as it was
intended. The BB system is not robust either in that it is only
applied to the SPY. If it were applied to other markets, it would likely
produce much lower results. (Actually I did test it and it does produce
lower results as expected. Since it wasn't presented as a robust trading
system, I didn't bother sharing those results.) To test the degree
of curve fit in the BB, I did a walk-forward out-of-sample data test and
in sample test. Walk-forward tests are difficult to do with MS because it
does not have that as an optional choice. Here are the results.
Annual B&H Trades
DrwDwn Ten Years 18.24% 5.84%
138/206 >0.003Seven Years 18.67% 10.42%
81/120 0.015OutSamTwo
Years 16.94% -3.62% 25/38
0.041One Year 31.20% -27.4%
14/18 0One Year 18.97%
27.98% 7/12 0.038Six
Months 6.65% -6.68%
5/9 0.045Six Months
25.30% 23.00% 10/15 0.016You have
to be careful how short your walk forward periods are because if they are
too short, you'll chop off parts of the drawdowns periods.In
addition, in almost every year tested the lossing trades, both average and
highest, were worse than the winning trades. However because winning
trades out number losing trades the system is profitable.The
TradeStation report on the 4% VLE system is different from MS reports. It
ended its tests in 2002. As I said I didn't run it, but I have the
results. The annual rate of return was 21.7% vs about 6% for the market.
Tradestation doesn't give me the exact raito between winners and losers
but it looks like 140 or so out 207 were good trades. In addition, the
winning trades returned a much higher percentage of profit than losses.
The 4% VLE system can't be curve fitted--at least by any conventional
means that I am aware of. I programmed it uniquely using a highlight
code which can't be used direclty in the systems tester. I am thinking
about writing an expert for it and if I do, I will try to put it in a form
that can be tested in MS. The way I want to do it is a little tricky
because I am not coding for the SPY, I will be coding for the VLE and then
transfering the entry and exit points to the SPY. How much fun can one guy
have!Anyway, you can read the data and draw your own conclusions. If
you think that you need to do your own systems tests because you feel
more comfortable with whatever you think you're doing that other
people aren't, please do so, and then share the results. Recognize
that there probably won't be a way to reconcile the differences,and I
just can't help you with figuring out how to do your own tests. If you
don't know how to do these tests, the results probably aren't going to be
reliable anyway. I think the BB system paired with some other
non-curve fit non-colliner indicators might work well for the SPY. That's
my opinion.JO--- In equismetastock@xxxxxxxxxxxxxxx,
"personal592002" <personal592002@xxxx> wrote:> For your
system backtesting enjoyment:> > Use 6 day Bollinger Bands
+/-1.6 stadard deviations on end of day > data on SPY. Buy at
open when the closing price crosses above the > lower Bolinger Band,
sell when the closing price crosses below the > upper Bollinger Band.
Trade both long and short. Very simple & back > tests
great on the SPY. Ten year performance over 2X that of buy and >
hold, 207 trades in ten years 140 of which were profitable....>
> Code - > > Buy & Buy to cover:> >
Cross(CLOSE, BBandBot(CLOSE, 6, SIMPLE, 1.6))> > Sell
& Sell Short:> > Cross(CLOSE, BBandTop(CLOSE, 6,
SIMPLE, 1.6))To
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