|
PureBytes Links
Trading Reference Links
|
Yes,
it was intended as an EOD system. Since JO had already tested it on
some EOD data, I thought I would put it to the test on some intraday data
to further the tests for robustness. Since it is a SAR
system, it should lend itself to any timeframe (note: I didn't
subtract anything for commissions or slippage so that isn't a factor in
profitability in this case).
<FONT face=Arial color=#0000ff
size=2>
Good
Trading,
<FONT face=Arial color=#0000ff
size=2>
Joe
J.
<FONT face=Tahoma
size=2>-----Original Message-----From: david castley
[mailto:drc1939@xxxxxxxxxxxx]Sent: Tuesday, November 18, 2003 3:54
PMTo: equismetastock@xxxxxxxxxxxxxxxSubject: Re:
[EquisMetaStock Group] Re: simple SPY trading system using Bolinger
Bands
JO - isn't it an EOD system?
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Joe J.
To: <A
title=equismetastock@xxxxxxxxxxxxxxx
href="">equismetastock@xxxxxxxxxxxxxxx
Sent: Tuesday, November 18, 2003 9:30
PM
Subject: RE: [EquisMetaStock Group] Re:
simple SPY trading system using Bolinger Bands
<FONT face=Arial color=#0000ff
size=2>JO,
<FONT face=Arial color=#0000ff
size=2>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>
<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>
<FONT face=Arial color=#0000ff
size=2>Good Trading,
<FONT face=Arial color=#0000ff
size=2>
<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 unsubscribe from this group, send an
email
to:equismetastock-unsubscribe@xxxxxxxxxxxxxxxYour
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
To unsubscribe from this group, send an email
to:equismetastock-unsubscribe@xxxxxxxxxxxxxxxYour
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
To
unsubscribe from this group, send an email
to:equismetastock-unsubscribe@xxxxxxxxxxxxxxxYour
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|