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Dear Doug Deming, Hugh Wilson, Tabanna, & list readers:
I think it would be better to allow others to confirm
(or refute) these results, in much the same way that
physicists "replicate" one another's experiments.
This will reduce the chances of human bias slanting
the outcome. It also introduces a brand new coded
implementation of the random entry and the Chandelier
exit, which will be a very good thing. (Perhaps my
system code contains one or more bugs. Heaven knows
it wouldn't be the first time!) And it seems all but
certain that others will use a different package than
Trading Recipes, since T.R. is rather rare and
esoteric, thus removing the chance that the code
for the system is right but the software envelope
is wrong.
By the way, let me direct your attention to System
Traders Club Bulletin 2, in which it is stated that
both Chuck LeBeau and Van Tharp have tested the idea
themselves & come to the same conclusion: random
entries plus Chandelier exits equals profits. They
just didn't show any data. My "contribution" was
merely to post some of the detailed results of
the experiment.
So, I invite and welcome other programmers & trading
system researchers to code up a Random Entry plus
Chandelier Exit "system" in TradeStation or Metastock
or InvestographPlus or PERL or VisualBasic, and see
whether your results match mine and Chuck Le Beau's
and Van Tharp's. You can rerun the tests as many
times as you like, tote up whatever cumulative
statistics you want, re-seed (or replace) the random
number source as you see fit, try out different
numbers of days for the ATR, try out different
multipliers for the ATR in different markets, hang
the Chandelier from the close rather than the high
(suggested in bulletin 2), and do lots and lots and
lots of other fun experiments, limited only by
your own fertile imagination.
I feel confident that Bill "1000mileman" Brower will
chime in to say that this is particularly easy to
do in Omega TradeStation, all you gotta do is think
for a couple minutes. And (my prediction continues)
he'll say the newsletter TS Express has already
published code that does the majority of the chore
for you.
Mark Johnson
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