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<snip>
I'm with Phil on the Keltner issue, but just for fun, I unearthed
a Keltner system I wrote some 6 years ago and haven't looked at
since. The results aren't that much different from those posted
earlier. Problem is the time period is way too short. Over longer
periods of time, results are more like break even with huge drawdowns.
This system does not use built in stops. If you use those, it's almost
perfect ;-) Logic is to look for channel turns (all lines vs 3 bars ago
plus a couple points).
tt - KeltnerTest SP99.TXT-5 min 09/13/1999 - 09/24/1999
Performance Summary: All Trades
Total net profit $ 17400.00 Open position P/L $ 0.00
Gross profit $ 30275.00 Gross loss $ -12875.00
Total # of trades 56 Percent profitable 50%
Number winning trades 28 Number losing trades 28
Largest winning trade $ 7575.00 Largest losing trade $ -1025.00
Average winning trade $ 1081.25 Average losing trade $ -459.82
Ratio avg win/avg loss 2.35 Avg trade(win & loss) $ 310.71
Max consec. winners 5 Max consec. losers 9
Avg # bars in winners 15 Avg # bars in losers 7
Max intraday drawdown $-4575.00
Profit factor 2.35 Max # contracts held 1
Account size required $ 4575.00 Return on account 380%
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