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I Am sending stuff I think you might be interested in as TS users. (DEV soon
maybe)
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Date: Sun, 30 Aug 1998 17:22:10 -0700
From: David Fenstemaker <dfens@xxxxxxxxxxxxx>
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Subject: Trading Oscillators
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Actually I think oscillator systems work quite
well if traded correctly, by doing three things:
First, you want to trade them on financial instruments
that don't have huge price shocks. For those, I use
volatility/volume systems. SPY is a good trending
or oscillating instrument.
The second is that you have to trade with the trend,
going long only when the market is net up so you are
buying the dips, or shorting when the market is net short
so you are shorting the humps. Getting this filter right
is the hardest part and something can't give away.
Third, run stops that are adaptive to your trading. By this
I mean keep them tight in chop and in a trend open up the profit
stops. I use four stops, a loss stop, a profit stop, a days in
trade stop and a oscillator rollover stop.
Here is a system for trading the spyders (SPY) for instance,
that uses just rate of change, and Mark Jurik's "Vel" smoother.
Almost any length of 3 - 10 works well with a smooth of 2 or 3.
This is long only, no stops, $150,000 on 2x margin (The way I trade).
Remember is NO stops, NO Filters. Don't trade this way at home,
kids.
{ ****** Vel ROC System ****** }
Input: Money(300000), Length(8), Smooth(2),
Trade(1);
Vars: Ind(0), MP(0), SharesToBuy(0),
GoLong(False), GoShort(False);
Ind = JRC_Velocity2(RateOfChange(Close,Length), Smooth);
SharesToBuy = Round(((Money+NetProfit)/Close), 0);
If CurrentBar > 1 and Ind > 0 and
Ind < Ind[1] and Ind[2] <= Ind[1] then
Begin
GoShort = True;
GoLong = False;
End;
If CurrentBar > 1 and Ind < 0 and
Ind > Ind[1] and Ind[2] >= Ind[1] then
Begin
GoShort = False;
GoLong = True;
End;
IF CurrentBar > 1 and
GoLong = True then
Begin
GoLong = False;
Buy("BuyROC") SharesToBuy Contracts Next Bar at Open;
End;
IF CurrentBar > 1 and Trade = 1 and
GoShort = True then
Begin
GoShort = False;
ExitLong("BExitROC") Next Bar at Open;
End;
********************************************************************
Vel ROC System STANDARD & POORS DEP a-Daily 04/29/88 - 08/28/98
Performance Summary: All Trades
Total net profit $1038885.03 Open position P/L $ -59912.30
Gross profit $1364299.00 Gross loss $-325413.97
Total # of trades 165 Percent profitable 76%
Number winning trades 126 Number losing trades 39
Largest winning trade $ 67265.13 Largest losing trade $ -52782.72
Average winning trade $ 10827.77 Average losing trade $ -8343.95
Ratio avg win/avg loss 1.30 Avg trade(win & loss)$ 6296.27
Max consec. winners 11 Max consec. losers 4
Avg # bars in winners 8 Avg # bars in losers 8
Max intraday drawdown $-175071.61
Profit factor 4.19 Max # contracts held 13464
Account size required $ 175071.61 Return on account 593%
******************************************************************
Ok, Let's say I curve fitted length and smooth.
Lets try again with Murray Ruggerio's adaptive %K,
no trend filter, no stops.
{ ****** Vel Adaptive %K System ****** }
Input: Money(300000),
Trade(1);
Vars: Ind(0), MP(0), SharesToBuy(0),
GoLong(False), GoShort(False);
Ind = JRC_Velocity2(MRA_SK_TrueAdaptive, 1);
SharesToBuy = Round(((Money+NetProfit)/Close), 0);
If CurrentBar > 1 and Ind > 0 and
Ind < Ind[1] and Ind[2] <= Ind[1] then
Begin
GoShort = True;
GoLong = False;
End;
If CurrentBar > 1 and Ind < 0 and
Ind > Ind[1] and Ind[2] >= Ind[1] then
Begin
GoShort = False;
GoLong = True;
End;
IF CurrentBar > 1 and
GoLong = True then
Begin
GoLong = False;
Buy("Buy%K") SharesToBuy Contracts
Next Bar at Open;
End;
IF CurrentBar > 1 and Trade = 1 and
GoShort = True then
Begin
GoShort = False;
ExitLong("BExit%K")
Next Bar at Open;
End;
***************************************************************
Vel %K System STANDARD & POORS DEP a-Daily 04/29/88 - 08/28/98
Performance Summary: All Trades
Total net profit $ 713776.69 Open position P/L $ 0.00
Gross profit $1196630.25 Gross loss $-482853.56
Total # of trades 173 Percent profitable 72%
Number winning trades 124 Number losing trades 49
Largest winning trade $ 35642.88 Largest losing trade $ -56271.54
Average winning trade $ 9650.24 Average losing trade$ -9854.15
Ratio avg win/avg loss 0.98 Avg trade(win & loss)$ 4125.88
Max consec. winners 13 Max consec. losers 3
Avg # bars in winners 7 Avg # bars in losers 9
Max intraday drawdown $ -80541.64
Profit factor 2.48 Max # contracts held 13821
Account size required $80541.64 Return on account 886%
***********************************************************
I have no connection to Jurik or Ruggerio, I am just a customer.
Thanks,
David
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