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A while back, Andy posted the Aberration system code. I ran it on all 35 commodities that Keith listed on his web-site. (www.trade-system.com). 1/1/80 - 12/31/97. CSI continuous back-adjusted contracts. $75 slip/comm per trade.
It's legit. My numbers matched up with his...or at least close enough. With the notable exception of the SP and NYSE. He had both of those making money, $16K, $30K respectively. I had the SP down something like $25K, I forget the NYSE. Since he's doing 35 commodities, a few discrepancies don't change the character of the combined equity curve much. I plotted the combined equity curve in Excel and compared it to his closely.
Interesting thing...I ran a couple of other simple trend systems on the same data set. The ubiquitous turtle 20x20 breakout, Chande's 63ma, and they all kind of performed the same.
Just goes to show that it doesn't matter too much what trend system you use, as long as it's measuring intermediate to long term trends. The other thing was the shotgun approach...trade every market with any liquidity with a trend system, keep your risk per trade under 1%, and stick with it a long, long time and you will almost certainly make money. Problem is you need a ton of money to trade those 35 commodities...like major 6 figures.
One other thing...the equity curves are getting more noisy...definately more in the mid 90's versus the early 80s. Translation...declining reward/risk. I quess all these computers are squeezing the inefficiency out of even these long term trend systems. I don't know.
Scott Hoffman
-----Original Message-----
From: Andy [SMTP:adle@xxxxxxxxxx]
Sent: Friday, June 05, 1998 2:22 PM
To: omega-list@xxxxxxxxxx
Subject: Plugging vendors and their systems, Part II
Of all the daytrading systems out there, I've found that Richard
Saidenberg's "R Breaker" is the only system that can make money
consistently, in daytrading the S&P 500 futures. Since he's on this list,
let's give him 3 "All right!! Way to go !!", a couple of "Hurrah!!" and 1
"Congratulations!".
Another daytrading system that is being adverstised in Technical Analysis of
Stocks and Commodities is the %C-DT series. Supposedly, in an old
advertisement, it traded 1 contract from January 2, 1996 to December 10,1996
and made a net profit of $63,275 in 103 trades (or $615 per trade). It is
leased for $495/quarter, $895 for 6 months or $1,695 per year. If you feel
like it, you can make a contribution to Jack Cahn of Creative Breakthrough,
Inc. at (561)776-0895. Hurry! The number of %C-whatever leases made
available will be limited............
--------------------------------------------------
{Function: PercentC2}
Inputs:lng(numericsimple);
Value1=High;
Value2=Low;
Value3=Value1-value2;
Value4=Summation(value3,lng);
Value5=Highest(Value1,lng);
Value6=Lowest(value2,lng);
If value5-value6>0 then Value7=value5-value6;
Value8=(value4/value7);
if Value8 <> 0 then Value9 = Log (value8);
Value10=value9/log(lng);
Value11=Value10*100;
@PercentC2=Value11;
-------------------------------------------------------
{Indicator: %C}
input:ma(3),Lng(14);
Value1=PercentC2(LNG);
Value2=average(value1,ma);
Plot1(value1,"able");
Plot2(value2,"ma");
Plot3(55,"");
Plot4(35,"");
{input:ma(3),Lng(14);
Value1=TrueHigh;
Value2=Truelow;
Value3=Value1-value2;
Value4=Summation(value3,lng);
Value5=Highest(Value1,lng);
Value6=Lowest(value2,lng);
Value7=value5-value6;
Value8=(value4/value7);
Value9 = Log (iff (Value8 <> 0, value8, 1 point));
{Value9=Log(value8);}
Value10=value9/log(lng);
Value11=Value10*100;
Value13=Avg001(value11,ma);
Plot1(value8,"able");}
{Plot2(value13,"ma");}
-----------------------------------------------
{System: %C-Opti Scapler}
Input: trlng(10),VF(.95), trlng2(6),VF2(1.4);
Value91=percentc2(19);
Value92=Highest(truerange,trlng);
Value93=Highest(truerange,trlng2);
Value95=Average(close,4)+(value92*vf);
Value96=Average(close,4)-(value93*vf2);
If value91>50 and value91[1]<50 and time>0945 and time<1400 then
Buy at ( "%C-Scalper le" ) value96 limit;
If value91>43 and value91[1]<43 and time>0945 and time<1345 then
Sell at ( "%C-Scalper se" ) value95 limit;
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