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:Who needs this junk anyway? If anyone thinks that backtesting and technical
:analysis is useless let me offer the following. Works on SP daily charts in
:particular. It's just an example.
:
:1. C < Open for three days in a row. Also H < Highest(h,3).
:2. Open next bar > L.
:3. If so then buy next day limit C.
:4. Set a stop a mile away.
:5. Exit is up to you!
:6. Also include some rules to reduce size or not trade if the volatility is
:beyond a certain point.
:7. There may be some other rules to fine-tune / filter things. Can't
:remember at the moment.
:
:Backtesting from 1985 to the present, trading 2 contracts, the System
:Report shows a Net Profit of 348480.00, with a drawdown 10,465.00.
:Regardless of which newsletter I read!
Here's my interpretation of Phil's system; $20 commision, $250 slippage,
attached report is for an unoptimized system. Thanks, Phil !! Thanks should
also be given out to Chuck Lebeau!!
{System: Phil Lane's System}
Inputs: ATRLen(10),Lvl(10),Pct(2.5);
Vars: Atr(0),Eb(0),LStop(0),Mp(0);
Atr=Average(TrueRange,ATRLen);
Mp=MarketPosition;
If Mp<>1 and c[1]<o[1] and c[2]<o[2] and c[3]<o[3] and H<Highest(H[1],3) and
O>L[1] then begin
buy on close;
Eb=currentbar;
LStop=0;
end;
If MP=1 and currentbar<>eb then begin
LStop=Maxlist(LStop,MaxTradeHigh-EntryPrice*Pct/100);
exitlong Lstop stop;
end;
{Note: the interpretatiof the exit above is this: If the system is long and
the currentbar is not the entry bar, then exit long on a chandelier exit.}
Attachment Converted: "c:\eudora\attach\sp.txt"
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