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Hi renu_daga1973"
Some months ago I asked in another group if anyone has
a profitable use for good signals for buy and sell in
indexes like DJIA, DJA, IBOVESPA, AORD, etc. and what
I found is that you don't make money with indexes you
make money with indexes "futures" unless you want to
trade in a medium or in a long term basis.
So I think I lost a lot of my time doing short term
trading systems research in indexes quotes that one do
not trade like in the DJIA.
I posted some months ago the folowing [] :
[ According to Roberto Pardo in his book DESIGN,
TESTING, and OPTIMIZATION of TRADING SYSTEMS]
"Potential Profit is the profit that could be realize
by buying every bottom and selling every top. More
precisely, it is the sum of every price change where
each change is taken as a positive number." [and he
continues ] "An excellent measure of model performance
is the efficiency which the trading model converts
potential profits offered by the market into trading
profits. This measure is simple to calculate: Divide
the net trading profit [in % simple not cumulative or
in points] by the potential market profit" [in %
simple not cumulative or in points]..."Experience has
shown that trading models with model efficiencies of
5% and better are good based on closing prices".
[I found, after researching trading systems for more
that 15 years one system that can earn more than the
"potential profit" of the DOW JONES COMPOSITE INDEX
(^DJA in Yahoo Finance) from 1/6/1988 to 7/13/2006
with just one parameter, one number, and no
optimization. Data was taken from Yahoo Finance
(^DJA). The potential profit of this market was 3,130%
and the system earns 3,229% (percentage is calculated
as simple not cumulative and 69,232 in points). It
earns 83.9% of the operations and 77.1% in a daily
basis. Makes 1,933 operations in 4,367 trading days.
It is a short term system. The maximum drawdown in the
entire period was 17.8% in 10/25/2002 (-375 in points)
and after this date was just 4.2% (-175 in points)
until today. The worst year was 2005 and the net
profit was 111.2%. This year the profit is 59% or
2,241 points until 7/13/. The same system with the
same parameter with the same period earns 76.3% of the
"Potential Profit" in the Dow Jones Industrial Average
(^DJI in Yahoo Finance). In the Ibovespa Index (^BVSP
in Yahoo Finance), another system, same principle,
with no optimization with just one parameter earns
47.3% of the potential profit of this market from
1/2/1986 to 7/13/2006. The system works in any market
that has open, high, low and closing prices.
Are there any uses for this system? ]
>From 7/14 to 12/8 the profit of the above system in
the DJA was 35.5% or 1,409 in points.
If I want to know the Potential Profit of any market
in Metastock I use POINTS ONLY TEST because in % is
cumulative and I can not compare with my results in
Excel.
All the trading systems data presented here was made
in Excel.
Bellow is a table with the results of the same trading
system in percent in the DJIA until december 8, 2006.
The only optimized year was 1993 with a result of
189.8% the others 17 years the results was
out-of-sample data. This year the profits in points
are 11,922 (104.8%) and is profitable in 71.7% of the
trading days and 83.6% of the operations and the
largest drawdown was 197 points. Numbers of operations
in 2006 = 80. It gives short term signals.
It earned 76% of the "Potential Profit" of this market
for the 18 years in %. In 2006 it is earning 94,4% of
the "Potential Profit" in points, 11,922, with
parameters optimized for the year 1993.
DOW JONES INDUSTRIAL AVERAGE RESULTS in %:
Percentage is calculated in Excel as simple not
cumulative.
Only optimized year was 1993.
Years Profits % (^DJI in Yahoo Finance)
1988 87.4
1989 63.2
1990 93.3
1991 117.2
1992 141.3
1993 189.8
1994 116.0
1995 155.3
1996 132.9
1997 101.0
1998 215.7
1999 239.9
2000 239.0
2001 143.5
2002 84.8
2003 93.7
2004 115.3
2005 109.4
2006 104.8
Results in IBOVESPA (^BVSP in Yahoo Finance)
Percentage is calculated in Excel as simple not
cumulative.
Years Profits %
1986 240.1
1987 383.9
1988 390.7
1989 457.9
1990 527.7
1991 454.1
1992 376.8
1993 256.0
1994 263.4
1995 255.8
1996 101.1
1997 268.7
1998 419.7
1999 221.0
2000 140.4
2001 71.7
2002 103.3
2003 142.1
2004 136.5
2005 132.7
2006 106.9
Thanks for the attention,
Roberto Lisboa
roberto.lisboa@xxxxxxxxxxxx
--- renu_daga1973 <renu_daga1973@xxxxxxxxx> wrote:
> iam looking forward to a good signal like coopock
> curve for buy and
> sell,,signals,,with appropriate commentary for stop
> loss.and proper
> entry and exit value...i ahve installed coopock
> curve ,,but it seems
> someything si missng,,kindly help me in this
> matter...thanks to
> all ,in advance..
>
>
>
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