Plugging Vendors and their systems: R Breaker

["Andy " <adle@xxxxxxxxxx>]

Somebody, who shall be nameless, email me this: R breaker.
In the July 1997 Futures magazine, R Breaker is listed as one of the Top 10
trading systems tracked by Futures Truth. In the attached files, I've used
the SPX as a proxy for a continous futures contract. I'm using $30
commision, $150 slippage and $12,500 as margin (standardized for
comparision's sake. Aberration is the next one coming up. It'll use the same
cost, slippage and margin). Because of Tradestation's limitation, I had to
split up the time frame involved (7/28/94-5/22/98) into 4 distinct period of
300 days of 10 minute bars.

Unlike most systems, this one has a positive net profit...of $47,094 for the
4 year test period (I have to admit though that my approach was rough and
unscientific). And to think that people have to pay $3,000 for this. You can
contact Richard Saidenburg at (914) 769-5164 if you want more details on
this.Could
somebody run a more scientific test of this system for me? The code is
posted below. ;-)



{R-Breaker}
{***********SystemSetup*******************
Trading between 9:15 and 14:29 ChicagoTime only
MMStop $1000
Close End of Day
10 min Time Frame
******************************************}
input:notbef(1030),notaft(1530);
var:f1(.35),f2(0.07),f3(.25),reverse(2.00),rangemin(1.15),xdiv(3);
var:ssetup(0),bsetup(0),senter(0),benter(0),bbreak(0),sbreak(0),
  ltoday(0),hitoday(9999),startnow(0),div(0),
  rfilter(false);

if currentbar=1 then startnow=0;
div=maxlist(xdiv,1);
if d>d[1] then begin
  startnow=startnow+1;
  ssetup=hitoday[1]+f1*(c[1]-ltoday[1]);
  senter=((1+f2)/2)*(hitoday[1]+c[1])-(f2)*ltoday[1];
  benter=((1+f2)/2)*(ltoday[1]+c[1])-(f2)*hitoday[1];
  bsetup=ltoday[1]-f1*(hitoday[1]-c[1]);

bbreak=ssetup+f3*(ssetup-bsetup){(1.3625*hitoday[1]+.45*c[1])-.8125*ltoday[1
]};

sbreak=bsetup-f3*(ssetup-bsetup){(1.3625*ltoday[1]+.45*c[1])-.8125*hitoday[1
]};
  hitoday=h;
  ltoday=l;
  rfilter=hitoday[1]-ltoday[1]>=rangemin;
end;

if h>hitoday then hitoday=h;
if l<ltoday then ltoday=l;
if t>=notbef and t<notaft and startnow>=2 and rfilter and
date>entrydate(1) then begin
  if hitoday>=ssetup and marketposition>-1 then
    SELL("Rlev SE") senter+(hitoday-ssetup)/div stop;
  if ltoday<=bsetup and marketposition<1 then
    BUY("Rlev LE") benter-(bsetup-ltoday)/div stop;
  if marketposition=-1 then
    BUY("RbUP LE") entryprice+reverse stop;
  if marketposition=1 then
    SELL("RbDN SE") entryprice-reverse stop;
  if marketposition=0 then
    BUY("Break LE") bbreak stop;
  if marketposition=0 then
    SELL("Break SE") sbreak stop;
end;
if t>=notaft and t<>sess1endtime then begin
  if marketposition=-1 then
    EXITSHORT("RbUP SX") entryprice+reverse stop;
  if marketposition=1 then
    EXITLONG("RbDN LX") entryprice-reverse stop;
  EXITSHORT("Late SX") h+.05 stop;
  EXITLONG("Late LX") l-.05 stop;
END;

{END ELSE BEGIN IF T=SESS1FIRSTBARTIME
OR T[1]=SESS1FIRSTBARTIME THEN
IF (INTPORTION(CURRENTBAR/2))*2=CURRENTBAR THEN
BUY("EXPIRED") C ELSE SELL("EXPIRED ") C;END;}


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