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Here's another breakout system created by Tushar Chande...it was printed in a
previous issue of Technical Analysis of Stocks and Commodities. I find it to
be very useful and accurate. If some one had previously posted this, sorry to
waste your invaluable time.
{user Function called Arn_up}
Inputs: R(Numeric);
Arn_up=100*((R-NthHighestBar(1,High,R))/R);
{userFunction called Arn_dn}
Inputs:R(Numeric);
Arn_dn=100*((R-NthLowestBar(!,High,R))/R);
{system: Aroon}
Inputs: R(21);
if Arn_up(R) crosses above Arn_dn(R) then buy 1 contract at close;
If Arn_dn(R) crosses below Arn_dn(R) then sell 1 contract at close;
Notes: it is effective for intrady and end of day...it is one of the best
simple ssystem I've ever seen. But that's my opinion. What are yours?
See attached file for result of 60 Min March S&P using $30 in commisions, $125
in slippage and $12,000 in margin per contract per round turn.
Aroon SP H8-60 min 11/17/97 - 02/26/98
Performance Summary: All Trades
Total net profit $ 22130.00 Open position P/L $ 3800.00
Gross profit $ 33885.00 Gross loss $ -11755.00
Total # of trades 14 Percent profitable 57%
Number winning trades 8 Number losing trades 6
Largest winning trade $ 11170.00 Largest losing trade $ -3205.00
Average winning trade $ 4235.63 Average losing trade $ -1959.17
Ratio avg win/avg loss 2.16 Avg trade(win & loss) $ 1580.71
Max consec. winners 3 Max consec. losers 2
Avg # bars in winners 41 Avg # bars in losers 10
Max intraday drawdown $ -6080.00
Profit factor 2.88 Max # contracts held 1
Account size required $ 18080.00 Return on account 122%
Performance Summary: Long Trades
Total net profit $ 19365.00 Open position P/L $ 3800.00
Gross profit $ 23600.00 Gross loss $ -4235.00
Total # of trades 7 Percent profitable 71%
Number winning trades 5 Number losing trades 2
Largest winning trade $ 11170.00 Largest losing trade $ -2730.00
Average winning trade $ 4720.00 Average losing trade $ -2117.50
Ratio avg win/avg loss 2.23 Avg trade(win & loss) $ 2766.43
Max consec. winners 4 Max consec. losers 2
Avg # bars in winners 48 Avg # bars in losers 10
Max intraday drawdown $ -5330.00
Profit factor 5.57 Max # contracts held 1
Account size required $ 17330.00 Return on account 112%
Performance Summary: Short Trades
Total net profit $ 2765.00 Open position P/L $ 0.00
Gross profit $ 10285.00 Gross loss $ -7520.00
Total # of trades 7 Percent profitable 43%
Number winning trades 3 Number losing trades 4
Largest winning trade $ 4270.00 Largest losing trade $ -3205.00
Average winning trade $ 3428.33 Average losing trade $ -1880.00
Ratio avg win/avg loss 1.82 Avg trade(win & loss) $ 395.00
Max consec. winners 2 Max consec. losers 3
Avg # bars in winners 30 Avg # bars in losers 10
Max intraday drawdown $ -4310.00
Profit factor 1.37 Max # contracts held 1
Account size required $ 16310.00 Return on account 17%
Aroon SP H8-60 min 11/17/97 - 02/26/98
Date Time Type Cnts Price Signal Name Entry P/L Cumulative
11/28/97 10:30am Buy 1 970.40
12/09/97 3:30pm LExit 1 990.00 $ 4745.00 $ 4745.00
12/09/97 3:30pm Sell 1 990.00
12/15/97 2:30pm SExit 1 974.10 $ 3820.00 $ 8565.00
12/15/97 2:30pm Buy 1 974.10
12/18/97 10:30am LExit 1 968.70 $ -1505.00 $ 7060.00
12/18/97 10:30am Sell 1 968.70
12/23/97 2:30pm SExit 1 959.30 $ 2195.00 $ 9255.00
12/23/97 2:30pm Buy 1 959.30
12/24/97 10:30am LExit 1 949.00 $ -2730.00 $ 6525.00
12/24/97 10:30am Sell 1 949.00
12/29/97 3:30pm SExit 1 961.20 $ -3205.00 $ 3320.00
12/29/97 3:30pm Buy 1 961.20
01/06/98 12:30pm LExit 1 975.20 $ 3345.00 $ 6665.00
01/06/98 12:30pm Sell 1 975.20
01/13/98 3:30pm SExit 1 957.50 $ 4270.00 $ 10935.00
01/13/98 3:30pm Buy 1 957.50
01/22/98 11:30am LExit 1 971.40 $ 3320.00 $ 14255.00
01/22/98 11:30am Sell 1 971.40
01/27/98 11:30am SExit 1 971.20 $ -105.00 $ 14150.00
01/27/98 11:30am Buy 1 971.20
02/12/98 1:30pm LExit 1 1016.50 $ 11170.00 $ 25320.00
02/12/98 1:30pm Sell 1 1016.50
02/12/98 3:30pm SExit 1 1028.40 $ -3130.00 $ 22190.00
02/12/98 3:30pm Buy 1 1028.40
02/20/98 2:30pm LExit 1 1033.10 $ 1020.00 $ 23210.00
02/20/98 2:30pm Sell 1 1033.10
02/20/98 3:30pm SExit 1 1036.80 $ -1080.00 $ 22130.00
02/20/98 3:30pm Buy 1 1036.80
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