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Here's a bonehead system based on the indicator from Clyde Lee
<clydelee@xxxxxxx>
{LEE indicator tester}
inputs: ATFMult(3),
Delay(0),
AvgLeng(21);
Value1=AbsValue(LeeX4(ATFMult,AvgLeng));
if l>value1 then exitlong {or sell} value1 stop;
if l<value1 then buy value1 stop;
{The End}
And here's the exciting results. Sorry the spacing seems messed up.
Trender SPNEW.TXT-Daily 10/11/84 - 10/14/98
Performance Summary: All Trades
Total net profit $ 439997.50 Open position P/L $ 1550.00
Gross profit $ 691215.00 Gross loss $-251217.50
Total # of trades 240 Percent profitable 60%
Number winning trades 144 Number losing trades 96
Largest winning trade $ 38552.50 Largest losing trade $ -20395.00
Average winning trade $ 4800.10 Average losing trade $ -2616.85
Ratio avg win/avg loss 1.83 Avg trade(win & loss) $1833.32
Max consec. winners 12 Max consec. losers 8
Avg # bars in winners 39 Avg # bars in losers 14
Max intraday drawdown $ -59065.00
Profit factor 2.75 Max # contracts held 7
Account size required $ 97469.50 Return on account 451%
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