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This was originally posted last year to the Omega-List by Mark Brown. I
could never reproduce the results Mark obtained. Plus, as Mark mentions, it
is not fully tested and I'm quite sure that it does/will have many problems
staying profitable going forward.
Maybe he has set his Cray to work on this simple code and would be willing
to share any updates??
The following is for demonstration purposes only. Use at your own risk
ect.
{ Mark Brown's interpretation of a Tom Jackson style of SP DayTrading
System. The system takes only one trade per day and has money
management and a profit target stop. Tom's system for the year of 99 so
far has shown a 40,000+ profit. This system I programmed while not
exactly like Tom's did yield 40,000+ profit with the same or less risk
than Tom's system. By messing with the settings I was able to squeeze
an additional 18,000 dollars out of the system bring the total 99 years
profits close to 60,000. Since Tom's posted results allow nothing for
slippage and commissions, for the purpose of comparison I didn't show
any either. Tom charges 10.00 dollars per winning trade, my code is
free. I do not wish to think I am endorsing this trading system or
Tom's, cause I'm not. I simply wanted to demonstrate something to
myself and share it with you all. I do believe at least my system is
curve fitted to the recent few years' SP volatility. I am very
skeptical about systems that aren't backtested with massive amounts of
data and this one was not. This system is provided for educational
purposes only. Mark Brown
---- DayTrading ----
System Settings begin below:
[x] Money Management Stop 1500.00
[x] Profit Target Stop 3000.00
[x] Close all trades at end of day session, in Stop Setting Page
System Code begins below:}
input:len(5);
if t=sess1firstbartime then begin
if c >=waverage(c,len) then buy on OpenD(0)stop;
if c <= waverage(c,len) then sell on OpenD(0)stop;
end;
NOTE: I believe the above pictures demonstrate that if you are willing
to risk more you get more and I liked that the percentage of winners
went up as the risk increased.
Logic: If a new trading day then begin, if the close of the first forty
five minute bar is above the weighted average of the past (five) -
forty five minute bars back in history then buy on the open of the
10:00 (Chicago Time) bar, else do just the opposite calculations for a
sell. Use a money management and profit target stop else close all
trades at the end of the day.
Weighted Moving Average
A weighted moving average is designed to put more weight on recent data
and less weight on past data. A weighted moving average is calculated
by multiplying each of the previous day's data by a weight. The
following table shows the calculation of a 5-day weighted moving
average.
5-day Weighted moving average
Day # Weight Price Weighted Average
1 1 * 25.00 = 25.00
2 2 * 26.00 = 52.00
3 3 * 28.00 = 84.00
4 4 * 25.00 = 100.00
5 5 * 29.00 = 145.00
Totals: 15 * 133.00 = 406.00 / 15 = 27.067
The weight is based on the number of days in the moving average. In the
above example, the weight on the first day is 1.0 while the value on
the most recent day is 5.0. This gives five times more weight to
today's price than the price five days ago.
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