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Oddball Followers,
(Following results are for the time period Nov 30/98 - July 26/2001)
Here are some results on Oddball using a simple directional bias (i.e. only
taking trades in the direction of the trend). The directional bias used was
just a 25 period MA of the hourly close (see code variation at the bottom).
I invite comments on the results, as I have trouble figuring out what good
tradeoffs are in tweaking systems. Let me first say that I have not been
able to reproduce Mark's results exactly, and for some reason, I get wildly
differing results depending on what time frame my data is downloaded in (I
tried with 30 min., 5 min. and 1 min. downloaded as txt or csv files from
quote.com). My best results were using the 30 minute file, where I got net
profits of about 640K, then with the 5 minute file, it was 430K, and with a
1 minute file, the worst results of 339K. I am taking these worst results
to be the most accurate. Having said that, I know I'm still not getting the
same signals, as I plotted the system on ES1Z and compared it to the gif on
MArk's site -- mine has more signals and more whips.
***PS (Can anyone send me several years (as many as possible) of data for
back adjusted Intraday (preferably tick) snp and NYSE advancing issues in
OMZ or XPO format? The accuracy of the data and how it lines up is one
problem I think. Thanks in advance!)
RESULTS -- ORIGINAL ODDBALL
Total Net: $339,375
Total Gross: $1,232,125
# Trades: 707
Wins: 333
Losses: 374
% right: 47.1%
MAX Intraday DD: $61,325 (ouch)
Maximum EOD DD: $64,667 (48%) (ouch)
Maxiumum time betwen new equity highs: 10 months (279 trades)
RESULTS -- ODDBALL DIRECTIONAL BIAS
Total Net: $282,075
Total Gross: $831,000
# Trades: 486
Wins: 254
Losses: 232
% right: 52.26%
MAX Intraday DD: $$32,475
Maximum EOD DD: $34,775 (25.24%)
Maxiumum time betwen new equity highs: 5 months (68 trades) -- (However
immediately preceding this there was another flat period of 4 months/74
trades)
Good things: 221 fewer trades, HALF the EOD DD and Intraday DD, slightly
smoother equity curve.
Bad things: 60K less in profits, Anything else???
Also note, tested over the last 2 months, Original Oddball had WAY better
bottom line by comparison to mine (58K as opposed to 38K).
ODDBALL DIRECTIONAL BIAS
{ Data1 = S&P 500 futures contract.
Data2 = NYSE Advancing Issues.}
Inputs: RL(7), BZ(3), SZ(1), MALength(25);
if time > 930 and time <= 1600 then begin
If c data1 > average(c data1, MALength) and RateOfChange(C Data2, RL)>BZ
Then Buy;
If c data1 > average(c data1, MALength) and RateOfChange(C Data2, RL)<SZ
Then ExitLong;
If c data1 < average(c data1, MALength) and RateOfChange(C Data2, RL)<SZ
Then Sell;
If c data1 < average(c data1, MALength) and RateOfChange(C Data2, RL)>BZ
Then ExitShort;
End;
DAvid Folster
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