|
PureBytes Links
Trading Reference Links
|
Here's a www link to a free system download
in Omega .ela format (and also plain ASCII
for TS3 users) that tests out to have a
much better than average Sharpe ratio:
http://traderclub.com/discus/messages/18/444.html
Using the exact same code and the exact same parameter
values to trade 20 different commodity futures markets,
the system's backtest results were
72.85 .... Compound Annual Growth Rate (percent per yr)
1.458 .... Sharpe Ratio
2.097 .... Semideviation Ratio
6.248 .... Return Retracement Ratio
1.645 .... Sterling Ratio
All those other ratios (Semideviation, RRR, Sterling)
are alternative ways to quantify "Reward per unit Risk"
for those who don't like the Sharpe Ratio. One such
person is Jack Schwager and he discusses AT LENGTH
his reasons for not liking Sharpe, and for liking these
others, in his book "Managed Trading: Myths and Truths".
As you can see, in backtesting [NOT the same as
real trading with real fills], the freebie system's
Sharpe Ratio handily beats the pants off practically
every CTA fund in existence. A complete daily equity
curve is also provided in Excel format, for those who
may wish to compute Sharpe ratios themselves based on
weekly returns, monthly returns, quarterly returns,
however you like. Download the numbers and
crunch away.
The basic oscillator inside this system closely
mimic's Bollinger's "%B" oscillator, but instead
of using standard deviation as an approximation
of "volatility", this system's oscillator uses
an exponential moving average of Welles Wilder's
TrueRange as an approximation of "volatility".
If you will, it replaces "Bollinger Bands" by
"XMATR Bands". Dennis Holverstott was, to my
knowledge anyway, the first person to correctly
point this out.
(The system appeared on the omega-list a while ago,
but I don't know of any omega-list archive sites on
the web, to which I might provide a hyperlink. sorry.)
|