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At 19.52 19/10/98 -0400, Bob Fulk wrote:
>....
>
>The gotha in this is what you mean by *reliably*. As I posted earlier, the
>simple system:
>
> if Close > Close[1] then buy next bar at market;
> if Close < Close[1] then sell next bar at market;
>
>is reasonable profitable when applied to many markets. I wouldn't trade it
>but it could only work if prices tended to trend. So I would say that this
>proves that past price does predict future prices to a statistically
>significant degree. But it works on probabilities as do all such systems. A
>success rate of 60% might well be called *reliable by most system traders.
>
>Bob Fulks
>
>
I have tested a system a bit different:
If Close>Close[1] Then Buy At Close;
If Close<Close[1] Then Sell At Close;
on S&P data from 1/02/87 to 10/18/96 continuous contract (data from MB), but
(IMPORTANT) using as Close time price of 3:45pm. It is possible to obtain
positive result also using 3:15pm and 3:30pm as Close time.
---> Commission=$100, no slippage <----
---> 1 S&P point=$500 <----
____ SP5.ASC-Daily 01/02/87 - 10/18/96
Performance Summary: All Trades
Total net profit $ 155475.00 Open position P/L $ 1550.00
Gross profit $1101425.00 Gross loss $-945950.00
Total # of trades 1240 Percent profitable 36%
Number winning trades 444 Number losing trades 796
Largest winning trade $ 43300.00 Largest losing trade $ -6325.00
Average winning trade $ 2480.69 Average losing trade $ -1188.38
Ratio avg win/avg loss 2.09 Avg trade(win & loss) $ 125.38
Max consec. winners 6 Max consec. losers 14
Avg # bars in winners 3 Avg # bars in losers 1
Max intraday drawdown $ -68400.00
Profit factor 1.16 Max # contracts held 1
Account size required $ 68400.00 Return on account 227%
Performance Summary: Long Trades
Total net profit $ 159200.00 Open position P/L $ 1550.00
Gross profit $ 593125.00 Gross loss $-433925.00
Total # of trades 620 Percent profitable 39%
Number winning trades 242 Number losing trades 378
Largest winning trade $ 14475.00 Largest losing trade $ -6325.00
Average winning trade $ 2450.93 Average losing trade $ -1147.95
Ratio avg win/avg loss 2.14 Avg trade(win & loss) $ 256.77
Max consec. winners 4 Max consec. losers 10
Avg # bars in winners 3 Avg # bars in losers 1
Max intraday drawdown $ -28725.00
Profit factor 1.37 Max # contracts held 1
Account size required $ 28725.00 Return on account 554%
Performance Summary: Short Trades
Total net profit $ -3725.00 Open position P/L $ 0.00
Gross profit $ 508300.00 Gross loss $-512025.00
Total # of trades 620 Percent profitable 33%
Number winning trades 202 Number losing trades 418
Largest winning trade $ 43300.00 Largest losing trade $ -6000.00
Average winning trade $ 2516.34 Average losing trade $ -1224.94
Ratio avg win/avg loss 2.05 Avg trade(win & loss) $ -6.01
Max consec. winners 6 Max consec. losers 14
Avg # bars in winners 3 Avg # bars in losers 1
Max intraday drawdown $-100200.00
Profit factor 0.99 Max # contracts held 1
Account size required $ 100200.00 Return on account -4%
---
Well, it's not Holy Grail, but (I think) a little proof of hour-of-day
importance in financial market.
Happy trading,
-Lorenzo Vercesi
ik2hlb@xxxxxxxx
ik2hlb@xxxxxxxxx
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