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Interesting comments David. How long do you think it will take now to
destroy it?
Regards,
Monte
David Folster wrote:
>
> 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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