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At 03:57 PM 4/18/98 EDT, Chuck LeBeau wrote:
>The human mind tries to make order out of chaos and sees patterns. When the
>patterns are defined mathematically and tested with a computer, the computer
>sees all the patterns that didn't work while the human sees only those that
>worked. Show me a pattern that can be programmed and works better than 55% of
>the time. (My definition of better than random.)
SNIP
>I'm sure that the group as well as myself would be very interested in any
>patterns that work better than 50% of the time.
>Chuck LeBeau
Hi Chuck,
Here's one that wins 73% of the time for the past 11 years, and historically
better than 55% of the time, at least for the last 65 years!
I was going to publish a book about it, then make my fortune selling the
system to the public through Futures magazine, with one of those new
hypnotic ads, ;-) but decided to 'give it away' here, mainly because it's
already in the public domain.
It's just that most in the stock futures trading community aren't aware of
how good it is and therefore don't use it. By the way, it also outperforms
ALL MUTUAL FUNDS as well over the last 11 years, through the basic use of
leverage.
Also included below, some FREE TradeStation Easy Language Code for trading
the system on the S&P 500 futures. It OUTPERFORMS *most* Commercial S&P 500
systems sold! Best part is it is NOT OPTIMIZED OR CURVE FIT AT ALL.
Rather than the Supreme Order of Markets, I like to think of it as the
Natural Order of Markets, and hey,..... what can I say,.... it's a
'non-random entry pattern' too! ;-)
The next best part is you can GO GOLFING OR SKIING whenever you want, you
don't need a real time data feed, you don't need an end-of-day data service,
you don't need any software, you don't need any subscriptions, and you don't
need to learn any new high forehead type techno-trading words.
The performance report is based on $500 a point for the S&P 500, with no
adjustment since the change to $250. And no stops are needed. I ran it out
on the cash index for convenience, *including* trading through the Crash of
1987 and guess what, it works pretty much the same on the futures.
Use the following code as a benchmark for all your short term and
intermediate term stock market timing systems and you might be surprised how
tough it is to outperform.
*Michael Paauwe's Better S&P500 System* $SPX-Daily 01/02/87 - 03/13/98
**************************************************************************
Performance Summary: All Trades
Total net profit $ 375490.00 Open position P/L $ 10870.00
Gross profit $ 485985.00 Gross loss $-110495.00
Total # of trades 44 Percent profitable 73%
Number winning trades 32 Number losing trades 12
Largest winning trade $ 50765.00 Largest losing trade $ -45800.00
Average winning trade $ 15187.03 Average losing trade $ -9207.92
Ratio avg win/avg loss 1.65 Avg trade(win & loss) $ 8533.86
Max consec. winners 6 Max consec. losers 2
Avg # bars in winners 62 Avg # bars in losers 63
Max intraday drawdown $ -51180.00
Profit factor 4.40 Max # contracts held 1
Account size required $ 63180.00 Return on account 594%
Performance Summary: Long Trades
Total net profit $ 375490.00 Open position P/L $ 10870.00
Gross profit $ 485985.00 Gross loss $-110495.00
Total # of trades 44 Percent profitable 73%
Number winning trades 32 Number losing trades 12
Largest winning trade $ 50765.00 Largest losing trade $ -45800.00
Average winning trade $ 15187.03 Average losing trade $ -9207.92
Ratio avg win/avg loss 1.65 Avg trade(win & loss) $ 8533.86
Max consec. winners 6 Max consec. losers 2
Avg # bars in winners 62 Avg # bars in losers 63
Max intraday drawdown $ -51180.00
Profit factor 4.40 Max # contracts held 1
Account size required $ 63180.00 Return on account 594%
______________________________________________________________________
{"Michael Paauwe's Better S&P500 System" Copyright 1998 Michael Paauwe,
Please: Not to be resold by Vendors or Solution Providers. See CFTC
Disclosure Statement.}
if BarNumber = 1 then Buy 1 contract at close;
If Month(Date) = 3 or Month(Date) = 6 or Month(Date) = 9 or Month(Date) = 12
then begin
if Month(Date) <> Month(Date[1]) then begin
ExitLong close; {simply buys 1 contract and rolls each quarter}
Buy 1 contract at market; {allows $100 slip and comm and average margin}
end;
end;
{end of Michael Paauwe's Better S&P500 System -SPBuy&Hold}
Michael Paauwe
mpaauwe@xxxxxxxxxx
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