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Continuing with the trailing stop thread, astute readers may have
noticed that my dhScam1 system gave *unbelievable* results. Well,
here's what might happen if you tried to trade this thing (Buy MOO
and trail a $450 stop). I didn't get fancy with the code and I'm
missing some data for this period so the results are only an
example. There is no allowance for slip/comm so, in spite of the
strong up trend, the system is a clear loser in real-world trading.
=============
{
system: dhScam2
Similar to dhScam1 except it runs on 2 minute SP data
and uses coded $450 stops instead of the built-in stops.
}
input: trail(1.80);
var: ts(0),hh(0);
if d>d[1] then begin
buy;
hh = h;
end;
if h>hh then hh=h;
ts = hh-trail;
exitlong ts stop;
===============
dhScam2 DSP8H-2 min 12/19/97 - 03/12/98
Performance Summary: All Trades
Total net profit $ 1000.00 Open position P/L $ 0.00
Gross profit $ 9100.00 Gross loss $ -8100.00
Total # of trades 55 Percent profitable 33%
Number winning trades 18 Number losing trades 37
Largest winning trade $ 1625.00 Largest losing trade $ -450.00
Average winning trade $ 505.56 Average losing trade $ -218.92
Ratio avg win/avg loss 2.31 Avg trade(win & loss) $ 18.18
Max consec. winners 2 Max consec. losers 8
Avg # bars in winners 18 Avg # bars in losers 3
Max intraday drawdown $ -3150.00
Profit factor 1.12 Max # contracts held 1
Account size required $ 3150.00 Return on account 32%
--
Dennis
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