|
PureBytes Links
Trading Reference Links
|
Super,
I re-ran the system test on 10 years of data again
(Thanks again Dusant). I ran them from Jan 1 to Dec 31
of each year. Out of the 800+ symbols I have in my group I narrowed the list to
467 that had history back to 1995. I uploaded the spreadsheet up to the
files area.
In the 1995-2004 Worksheet you will find my summary. On the far right I calculated
the winning percentages for each symbol. In the bottom right cell I calculate
the number of symbols that had a 80% or better hit rate. I came up with 218
securities. I will re-run my criteria on those 218 only and report my
results.
Do you think it is reasonable to run the explorer only
on the 218 best candidates? I would guess that I would re-run this exercise
every quarter or so to keep the symbols fresh.
Scott
-----Original Message-----
From:
Metastockusers@xxxxxxxxxxxxxxx [mailto:Metastockusers@xxxxxxxxxxxxxxx]On
Behalf Of superfragalist
Sent: Friday, April 15, 2005 1:34
AM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject:
[Metastockusers] System Tester Results Comparison with Scott's
system
Since we're having fun with numbers, I ran a comparison of
part of a
system I saw that Roy is publishing in his newsletter next
month
against the system results Scott published for us. Scott's
results
look good.
I used Scott's criteria, $20,000 in equity, 100%
in. All trades are on
the open after the signal so that's a one bar delay.
(Scott didn't
tell me what he was doing with the entry/exit.) Roy's is a
long only
system. I don't know if Scott's is long only or both long and
short. I
ran Roy's on the S&P 500 and did not eliminate losing stocks.
Oh, I
almost forgot. I didn't optimize it. Scott's is
optimized.
Scott's dates are 4/13/xxxx to 4/13/xxxy Normally I
won't test across
skewed dates, but I wanted good comparisons so I used
Scott's dates.
Roy's
Scott's
2004/5 $500.965
$139,048
2003/4 $613,302
$234,187
2002/3 $17,897
$106,714
2001/2 $198,010
$158,116
2000/1 $75,173
$(-29,693)
1999/0 $219,871
$290,114
If you guys are interested in seeing how this works, get a
copy of
Roy's next newsletter. The code for this part of the system will be
in
there. Since Roy is having other trader's write articles, maybe
Scott
would be willing to share his system in Roy's newsletter also. I
would
read about it, and play with
it.
Yahoo! Groups Links
|