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I cut off the bottom line of the system by accident...i dont think it works without it
ExitLONG at Value0-Value1 Stop;
perhaps that will yield different results....or perhaps you figured that line already into the testing
But just to argue a bit...wouldn't a system that trades 1000 times a year with a 1.1 profit factor be as good as a system that trades 2 times a year with a 2:1 profit facture? Shouldn't there be some accounting for activity
Andy
*********** REPLY SEPARATOR ***********
On 5/12/99 at 7:43 PM Jan H. Philipp wrote:
>The profit factor of your system (total profits/total losses) is quite low:
> (43/57)*1.8=1.36
>A good system should have PF=min.2.0
>
>Conrad
>>
>>Here is my break-out system (just the long only portion). I just test it in
>TS, i trade it mainly with by hand with Excel
>>
>>input: len(20), bank(500000), risk(.02);
>>
>>Vars:Mp(0), NewBank(0);
>>Mp=MarketPosition;
>>Value0=Highest(High,len);
>>NewBank=netprofit+bank;
>>Value3 = (Highest(High,len) - Lowest(Low,len));
>>Value4 = (NewBank*risk) / (BigPointValue*Value3);
>>If Value4 <1 then Value4 = 0;
>>
>>Buy Value4 contracts at Value0 Stop;
>>
>> If Mp=1 and Mp[1]=0 then
>> Value1=(Highest(High[1],len) - Lowest(Low[1],len));
>>
>>
>>My research leads me to believe this is the same basic system used by the
>turtles, Dennis, Eckhardt, Seykota, and others.
>>
>>I am not worried about anyone copying because
>>1. none of you believe me :)
>>2. You need at least $300,000 to trade futures if you are going to risk 1%
>per trade
>>3. Most people can't watch 20% of their money disappear
>>4. It is very difficult to test a system on TS that uses a common bank so
>it is impossible to see bankroll growth without doing things by hand and
>most people are too lazy to spend 100-500 hours testing a system by hand to
>see the true results
>>
>>My testing shows this system is a 1.8 average win to average loss with a
>43% win rate
>>
>>your thoughts?
>>
>>Andy
>>
>>
>>
>>
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