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Hi all:
I'm posting the results of a very simple system in order to express a
point.
Is this system optimized? YOU BET.
Data1 (the traded contract) is weekly data of US T Bonds. (All the other
data is also weekly).
My point / thinking is that most systems eventually fail because they do
not take into consideration any "fundamental" data. However, since analysis
of fundamental data is very hard to quantify in advance, I think the next
best thing to use in a model is other data, indexes, etc. that have shown
to be "leading" or at least "confirming" the trend of the market that one
actually trades. I have developed/copied/modified systems along these lines
which show similar results.
The following system was arrived at from ideas published by someone else,
which I then modified for my use.
As you can see, it uses a total of 7 data series to confirm the trend, as
opposed to an optimized set of parameters only on the tradable contract.
Anyone care to comment on this observation/system?
Carlos Lourenco
{007 Bond System - WEEKLY}
Inputs: D2a(31), D3a(4), D4a(6), D5a(16), D6a(24), D7a(9);
Condition1=C of Data2>Average(C, D2a)Data2;
If Condition1 then Value1=1 Else Value1=0;
Condition2=C of Data3<Average(C, D3a)Data3;
If Condition2 then Value2=1 Else Value2=0;
Condition3=C of Data4<Average(C, D4a)Data4;
If Condition3 then Value3=1 Else Value3=0;
Condition4=C of Data5>Average(C, D5a)Data5;
If Condition4 then Value4=1 Else Value4=0;
Condition5=C of Data6<Average(C, D6a)Data6;
If Condition5 then Value5=1 Else Value5=0;
Condition6=C of Data7<Average(C, D7a)Data7;
If Condition6 then Value6=1 Else Value6=0;
If (Value1+Value2+Value3+Value4+Value5+Value6)>=5 then BUY today on CLOSE;
If (Value1+Value2+Value3+Value4+Value5+Value6)<=1 then SELL today on CLOSE;
RESULTS:
007 Bond Trader US TBond Futures-Weekly 09/28/84 - 03/20/98
Performance Summary: All Trades
Total net profit $ 120061.00 Open position P/L $ 9312.00
Gross profit $ 128468.00 Gross loss $ -8407.00
Total # of trades 18 Percent profitable 72%
Number winning trades 13 Number losing trades 5
Largest winning trade $ 35250.00 Largest losing trade $ -3188.00
Average winning trade $ 9882.15 Average losing trade $ -1681.40
Ratio avg win/avg loss 5.88 Avg trade(win & loss) $ 6670.06
Max consec. winners 5 Max consec. losers 2
Avg # bars in winners 44 Avg # bars in losers 11
Max intraday drawdown $ -4000.00
Profit factor 15.28 Max # contracts held 1
Account size required $ 4000.00 Return on account 3002%
Performance Summary: Long Trades
Total net profit $ 97374.00 Open position P/L $ 9312.00
Gross profit $ 97593.00 Gross loss $ -219.00
Total # of trades 9 Percent profitable 89%
Number winning trades 8 Number losing trades 1
Largest winning trade $ 35250.00 Largest losing trade $ -219.00
Average winning trade $ 12199.13 Average losing trade $ -219.00
Ratio avg win/avg loss 55.70 Avg trade(win & loss) $ 10819.33
Max consec. winners 6 Max consec. losers 1
Avg # bars in winners 48 Avg # bars in losers 23
Max intraday drawdown $ -3718.00
Profit factor 445.63 Max # contracts held 1
Account size required $ 3718.00 Return on account 2619%
Performance Summary: Short Trades
Total net profit $ 22687.00 Open position P/L $ 0.00
Gross profit $ 30875.00 Gross loss $ -8188.00
Total # of trades 9 Percent profitable 56%
Number winning trades 5 Number losing trades 4
Largest winning trade $ 11656.00 Largest losing trade $ -3188.00
Average winning trade $ 6175.00 Average losing trade $ -2047.00
Ratio avg win/avg loss 3.02 Avg trade(win & loss) $ 2520.78
Max consec. winners 2 Max consec. losers 2
Avg # bars in winners 39 Avg # bars in losers 9
Max intraday drawdown $ -6220.00
Profit factor 3.77 Max # contracts held 1
Account size required $ 6220.00 Return on account 365%
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