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For those Oddball followers interested in my previous post, I have improved
those results. (See previous results at bottom of post). Building on my
previous theme, I now required the high or low of data1 (rather than the
close) to be above it's intermediate term MA (25 period). I also required
that data2 (advancing issues) be above it's own 10 period MA for longs
(reverse for shorts).
Here are the results:
ODDBALL DIRECTIONAL BIAS II (results for mark's unedited code follow in
brackets) NOV 30th 1998 - JULY 26th 2001
Net Profit - $270,675 [$339,375]
Total # of trades - 380 [707 ]
% profitable: 55.53% [47.1%]
Ratio avg win/loss - 1.32 [1.55]
Max Intraday DD - $22,475 [$61,325 ]
Max Peak to Valley DD: $26,350 (10.39%) [$64,667 (48%)]
Max time between new equity highs: 2.5 months [10 months]
Avg. profit /trade: $712.30 [$480.02]
Max Cons. losers 6 [10]
This variation is for people who can't stand the large drawdowns/flat
periods of the original system. It is less risky but the profits are also
less spectacular. (Tested on the last 2 months of data, it makes about HALF
of the original oddball (32K as opposed to 58K), but has a 70% win rate. It
may not hold up in real time but there are no optimized parameters. Trade
at your own risk -- I make no claims as to the real time profitability of
this variation.
This is all the data I have, so I would appreciate it if someone would run
this on a different set of data and post the results. Alternately, you can
send me the data and I'll post the results.
Here's the code:
{Data1 = S&P 500 futures contract.
Data2 = NYSE Advancing Issues.}
INPUTS: RL(7), BZ(3), SZ(1), AIMALen(10), SPMALen(25);
IF TIME > 930 AND TIME <= 1600 THEN BEGIN
IF
L data1 > Average(C data1, SPMALen) AND
C data2 > Average(C data2, AIMALen) AND
RateOfChange(C Data2, RL) > BZ
THEN BUY;
IF
C data1 > Average(C data1, SPMALen) AND
RateOfChange(C Data2, RL) < SZ
THEN EXITLONG;
IF
H data1 < Average(C data1, SPMALen) AND
C data2 < Average(C data2, AIMALen) AND
RateOfChange(C Data2, RL) < SZ
THEN SELL;
IF
C data1 < Average(C data1, SPMALen) AND
RateOfChange(C Data2, RL) > BZ
THEN EXITSHORT;
END;
*****************************************************************
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 I
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).
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