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Hi Tim:
This looks like a "standard" moving average crossover with an additional
condition. For the buy side, the 30 day MA has to be above the 75 day MA
and the additional condition is that yesterdays high has to be the highest
high in the last 21 periods in order for the system to issue a buy signal.
When we're in an extended bull market and rising at the speed of the last
3-4 years, this system will do ok.
The problem is that as you can see, when tested between 1978 and 1994, this
system failed. This was tested on the cash S&P index so do not pay atention
to $ figures. There is no "edge". If used as is there is the risk one could
lose a TON of money. On some trades it is possible to lose 10% of the index
before you're stopped out. This would be equivalent to losing 120 BIG S&P
points today. That's $30,000 in one trade ($250/point).
I think Michael Mermer's ETS is better ;-)
Carlos Lourenco
VSTS S&P500 Index-Daily 01/03/78 - 12/30/94
Performance Summary: All Trades
Total net profit $ 10255.80 Open position P/L $ 0.00
Gross profit $ 36940.00 Gross loss $ -26684.20
Total # of trades 41 Percent profitable 37%
Number winning trades 15 Number losing trades 26
Largest winning trade $ 5540.00 Largest losing trade $ -3671.00
Average winning trade $ 2462.67 Average losing trade $ -1026.32
Ratio avg win/avg loss 2.40 Avg trade(win & loss) $ 250.14
Max consec. winners 4 Max consec. losers 6
Avg # bars in winners 127 Avg # bars in losers 45
Max intraday drawdown $ -8420.20
Profit factor 1.38 Max # contracts held 1
Account size required $ 8420.20 Return on account 122%
Performance Summary: Long Trades
Total net profit $ 15335.80 Open position P/L $ 0.00
Gross profit $ 30824.00 Gross loss $ -15488.20
Total # of trades 27 Percent profitable 44%
Number winning trades 12 Number losing trades 15
Largest winning trade $ 5535.00 Largest losing trade $ -3671.00
Average winning trade $ 2568.67 Average losing trade $ -1032.55
Ratio avg win/avg loss 2.49 Avg trade(win & loss) $ 567.99
Max consec. winners 4 Max consec. losers 4
Avg # bars in winners 140 Avg # bars in losers 47
Max intraday drawdown $ -6850.20
Profit factor 1.99 Max # contracts held 1
Account size required $ 6850.20 Return on account 224%
Performance Summary: Short Trades
Total net profit $ -5080.00 Open position P/L $ 0.00
Gross profit $ 6116.00 Gross loss $ -11196.00
Total # of trades 14 Percent profitable 21%
Number winning trades 3 Number losing trades 11
Largest winning trade $ 5540.00 Largest losing trade $ -2409.00
Average winning trade $ 2038.67 Average losing trade $ -1017.82
Ratio avg win/avg loss 2.00 Avg trade(win & loss) $ -362.86
Max consec. winners 1 Max consec. losers 6
Avg # bars in winners 77 Avg # bars in losers 42
Max intraday drawdown $ -6435.00
Profit factor 0.55 Max # contracts held 1
Account size required $ 6435.00 Return on account -79%
----------
> From: Timothy Morge <tmorge@xxxxxxxxxxxxxxx>
> To: omega-list@xxxxxxxxxx
> Subject: Statistics and code
> Date: Friday, July 10, 1998 7:37 PM
>
> 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]
>
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