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Hi Jim:
I used msie3.0 to access ftp://ftp.eskimo.com/u/j/jimo/tsexpress and all I
get is:
UEsDBBQAAAAIAB1KnSPaaZ2yoSQAAF4kBQAMAAAAOTgwMnNlYTEuQk1Q7Z29izTLdYePsMx7AyVK
FAmDhQMrcbJgUKrQcEGJUivbf0GJgxspNAaDYDMFtsGBE/0FN3JgTSwlVqRAIAy2sru6C8fV09PV
pz67qk71VE/P75nemf6oOnW6+zzbPbO77/vDz//+r/6cJv72m0R/bV7/7s+I/vEbRN+gz2jhL/5m
/nL54jrRF1/ML9PDzHz55Zf05X9/Sf/3X/9G3/zmN+mzzz6jb33rW/Ttb3+bvvOd79B3v/td
Looks like some kind of easylanguage code written by Bill Brower ;-).
What's it supposed to be?
Carlos Lourenco
----------
> From: Jim Osborn <jimo@xxxxxxxxxx>
> To: omega-list@xxxxxxxxxx
> Subject: Fwd: TSExpress Sample
> Date: Monday, April 20, 1998 6:31 PM
>
> Bill Brower sent this to the list, but it's too big to post as is.
> I've put the mail Bill sent in my ftp area:
>
> ftp://ftp.eskimo.com/u/j/jimo/tsexpress
>
> Here's the text part:
> --
> jimo@xxxxxxxxxx
> maintainer of the omega list
> omega-list-request@xxxxxxxxxx
>
> ---------------forwarded msg---------------------
> X-Envelope-From: 1000mileman@xxxxxxxxxxxxxx Mon Apr 20 11:11:33 1998
> Old-Date: Mon, 20 Apr 1998 14:11:18 -0400 (EDT)
> Message-Id: <199804201811.OAA10627@xxxxxxxxxxxxxxxxxxxxx>
> To: omega-list@xxxxxxxxxx
> From: William Brower <1000mileman@xxxxxxxxxxxxxx>
> Subject: A Sample of TS Express
>
> To Omega List Readers:
> I have been encouraged to post a sample of the articles in TS Express. I
am
> assured that this will ameliorate the number of missiles directed my way,
> and might increase circulation (of TS Express, not blood flow to my
wounds).
> Below is such a sample from the Jan/Feb 1998 issue. The graphics from the
> original article are in the 9802sea.zip file attached. Enjoy.
>
>
> BOND SIX PACK SYSTEM
> By Bill Brower
>
> Readers of this periodical know that I have been critical of seasonal
> systems. Seasonality, in the most classical sense, involves buying or
> selling at predetermined times identified by the trading day of year.
> Unfortunately, seasonality has been shown to lack consistency. Sheldon
> Knight demonstrated this in an exhaustive piece of research which has
been
> presented to the attendees of several Futures Conferences.
>
> However, from time to time I revisit the concept. Recently, I wrote a
> seasonal indicator, for Murray Ruggiero which will be marketed by him in
his
> soon to be released home study course. It generates, in histogram
format, a
> profile showing, for each trading day of the year, the percent above or
> below the yearly average. The nice thing about this tool is that it
shows
> the relationship of each bar with all of the other bars in the year and
> compares to the yearly average. It is easy to see if there is a time of
> year where prices tend to be above or below the yearly averages. Since
the
> scale is measured in percentage points, it is possible to grasp the
> magnitude of the potential moves.
>
> I developed and tested this tool on a ten year continuous, back-adjusted
> contract of the US bonds. To my astonishment, the indicator generated a
> very clear pattern of seasonality. You can see the histogram in Figure 2
> below. From the end of December, to mid-January the market turns down.
> Then there is a small upward bias until early February. Next, there is a
> downward bias until late April. This is followed by a strong upward bias
> until early August where a short downward bias takes over until late in
> August. Then begins the powerful August to December upward bias.
>
> I estimated the possible entry dates and the corresponding trading day of
> year. After a little optimizing, I arrived at a seasonal system that
takes
> 6 trades every year on the same trading day of year. The system is
always
> in the market and uses no stops. It has had a rather remarkable run over
> the last 10 years. The results are posted in Figure 3 on page 6. These
> results were output to the Printlog window by SystemStatsScanner which is
an
> inexpensive system reporting utility that I developed and market.
>
> The system is highly profitable with a relatively low drawdown. It has
an
> very high average profit per trade and a remarkable profit factor. The
net
> profit to drawdown ratio is over twenty which puts this system in the
> extraordinary category. The mark-to-market drawdown is still quite
> reasonable, coming in under $8,000. These results were generated
assuming
> $150 for slippage and commission which is quite generous for the bonds.
> OK, "So where is the out-of-sample test?", you ask. Good question. The
> results for 1997 are all-out-of sample since the indicator is always one
> year behind. In 1997, this system had 6 winning trades worth over
$25,000.
> The system has not lost a trade since August 1995. To be fair, I tested
the
> system on data prior to 1988. The system did not fare as well. In fact,
> the seasonal pattern did not begin to become evident until 1984. Also
the
> system would have had you long from August 1987 through the crash in
October
> 1987. This would have been intolerable, because bonds declined
dramatically
> before the crash and experienced a bungee like rebound after the crash.
>
> Despite the poor showing prior to 1988, the system has a remarkable
ten-year
> batting average. This is not easy for a system always in the market. If
> the patterns are not just coincidental, then the system may just be
> tradable. Even if you discount seasonal patterns heavily, the seasonal
> patterns might be useful in tempering some of your trades. Would you
really
> want to buy bonds in mid-February or sell them in late August? The code
for
> this system is in the sidebar below.
>
> Sidebar: Bond Six Pack
> By William Brower
>
> Vars:
> OK2Sell(False),
> OK2Buy(False),
> TradeDayNum(0),
> ACntr(0);
>
> If year(d)>(year(d))[1] then TradeDayNum = 0;
> TradeDayNum = TradeDayNum+1;
> OK2Sell =TradeDayNum =24 or TradeDayNum = 149 or
> TradeDayNum = 248;
> OK2Buy = TradeDayNum = 7 or TradeDayNum = 79 or
> TradeDayNum = 164;
> If OK2Sell then Sell market;
> If OK2Buy then Buy market;
>
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