|
PureBytes Links
Trading Reference Links
|
Oddball Followers,
I said that if someone sent me more data that I would post more results.
Here they are. These reulsts compare Mark's unedited code to Oddball
Directional Bias1 (the one using moving averages for direction). I did not
have the Advance/Decline data for this time period, so I can't post the
results for Oddball Dierectional Bias2. If anyone wants to send me the data
for this time period (either advancing/declining issues or just declining
issues) then I'd be happy to post the results for those as well.
David
PS By the way I thought some might be interested in results for trading
Oddball original but just changing the time of trading form 0930 to 1100.
See bottom of post.
PPS Results are inconclusive for this time change with Oddball DIrectional
Bias, but profits were slightly increased here.
Time period is 9/2/97-11/30/98
[1] ODDBALL ORIGINAL - (TRADES AFTER 0930)
TradeStation Strategy Performance Report - Oddball - Original SPC5.CSV-60
min. (9/2/97-11/30/98)
Performance Summary: All Trades
Total Net Profit$105,075.00Open position P/L$7,800.00
Gross Profit$399,550.00Gross Loss($294,475.00)
Total # of trades324 Percent profitable43.83%
Number winning trades142 Number losing trades182
Largest winning trade$15,625.00Largest losing trade($8,375.00)
Average winning trade$2,813.73Average losing trade($1,617.99)
Ratio avg win/avg loss1.74Avg trade (win & loss)$324.31
Max consec. Winners8 Max consec. losers11
Avg # bars in winners11 Avg # bars in losers5
Max intraday drawdown($55,750.00)
Profit Factor1.36Max # contracts held1
Account size required$55,750.00Return on account188.48%
Max time to New Equity High: 8 Months
[2] ODDBALL DIRECTIONAL BIAS 1 (TRADES AFTER 1100 EST)
TradeStation Strategy Performance Report - Oddball - Dir. Bias SPC5.CSV-60
min. (9/2/97-11/30/98)
Performance Summary: All Trades
Total Net Profit $92,550.00 Open position P/L $3,575.00
Gross Profit $233,150.00 Gross Loss ($140,600.00)
Total # of trades 153 Percent profitable 54.25%
Number winning trades 83 Number losing trades 70
Largest winning trade $14,125.00 Largest losing trade ($8,250.00)
Average winning trade $2,809.04 Average losing trade ($2,008.57)
Ratio avg win/avg loss 1.40 Avg trade (win & loss) $604.90
Max consec. Winners 7 Max consec. losers 5
Avg # bars in winners 11 Avg # bars in losers 7
Max intraday drawdown ($17,375.00)
Profit Factor 1.66 Max # contracts held 1
Account size required $17,375.00 Return on account 532.66%
Max time to New Equity High: 2.5 months
[3] ODDBALL ORIGINAL (TRADES AFTER 1100 EST)
TradeStation Strategy Performance Report - Oddball - Original SPC5.CSV-60
min. (9/2/97-11/30/98)
Performance Summary: All Trades
Total Net Profit $158,825.00 Open position P/L $7,800.00
Gross Profit $390,450.00 Gross Loss ($231,625.00)
Total # of trades 240 Percent profitable 49.17%
Number winning trades 118 Number losing trades 122
Largest winning trade $15,550.00 Largest losing trade ($6,750.00)
Average winning trade $3,308.90 Average losing trade ($1,898.57)
Ratio avg win/avg loss 1.74 Avg trade (win & loss) $661.77
Max consec. Winners 6 Max consec. losers 7
Avg # bars in winners 13 Avg # bars in losers 7
Max intraday drawdown ($29,425.00)
Profit Factor 1.69 Max # contracts held 1
Account size required $29,425.00 Return on account 539.76%
|