|
PureBytes Links
Trading Reference Links
|
Hi folks...
Ok, now I'm in a quandary: I told a friend I wanted some systems to look at, so
maybe I can develop an 'eye' for code, as well as trying to understand how a
system is written, how code 're-translates' so I can understand what it is
actually doing and so I can try to take a system through the testing routine...
Here's a system sent to me. Anyone want to look at it and evaluate its
performance and also what it's trying to do?
________________
Tim:
Here's the Very Simple Trading System: VSTS
When you look at it, keep these in mind: It's a daily S&P trading system with
$250 slippage, $30 commision, $12,500 margin. It has a Rina Index of 112.42, a
Sharpe ratio of .45, a Return Retracement Ratio of 19.58, and a K Ratio of 3.86.
Data started 8/29/94 until now. The S&P index's Big point value has been
converted to 250 to act as a proxy for a continuous futures contract. *Note*
The actual return is definitely different because of last year's 2 for 1 split
($500 per contract point is now $250). Is its performance better or worse than
the theoretical results?
Mark Ver.01.1 SPX-Daily 08/29/94 - 07/09/98
Performance Summary: All Trades
Total net profit $ 95740.00 Open position P/L $ 43267.50
Gross profit $ 95740.00 Gross loss $ 0.00
Total # of trades 3 Percent profitable 100%
Number winning trades 3 Number losing trades 0
Largest winning trade $ 44627.50 Largest losing trade $ 0.00
Average winning trade $ 31913.33 Average losing trade $ 0.00
Ratio avg win/avg loss 100.00 Avg trade(win & loss) $ 31913.33
Max consec. winners 3 Max consec. losers 0
Avg # bars in winners 212 Avg # bars in losers 0
Max intraday drawdown $ -1870.00
Profit factor 100.00 Max # contracts held 1
Account size required $ 9870.00 Return on account 970%
-------------------------------------------------
Mark Ver.01.1 SPX-Daily 08/29/94 - 07/09/98
Date Time Type Cnts Price Signal Name Entry P/L Cumulative
01/27/95 Buy 1 470.39
08/01/96 LExit 1 650.02 $ 44627.50 $ 44627.50
09/12/96 Buy 1 671.13
04/17/97 LExit 1 761.77 $ 22380.00 $ 67007.50
05/21/97 Buy 1 839.35
11/28/97 LExit 1 955.40 $ 28732.50 $ 95740.00
01/29/98 Buy 1 985.49
-----------------------------------------------------------------------
{System: VSTS}
Inputs: Length1(30), Length2(75),Lbck(21);
Vars; ma1(0),ma2(0);
Ma1=Average(Close,Length1);
Ma2=Average(Close,Length2);
Condition1=Ma1>Ma2;
Condition2=Ma1<Ma2;
if Condition1 and High>Highest(High[1],Lbck) then buy on high stop;
if Condition2 then exitlong on close;
if Condition2 and Low<Lowest(Low[1],Lbck) then sell on low stop;
if Condition1 then exitshort on close;
----------------------------------------------------------------
Anyone want to look at the statistics on this? And/or maybe comment on what the
system is doing [In english]?
Thanks.
Tim Morge [Soon to be hand-plotting on the back of old paper bags...come year
2000]
|