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Some people wrote me that they haven't been able to duplicate my results since the "Signal" (and the smoothed one) never cross the "Zero Line", resulting in a system that buys once and than hold.
Repeat with me:
"Data2 is the Net Advancing Issues (QC:ADVDEC.NY), not the Advancing Issues (QC:ADV.NY)"
"Data2 is the Net Advancing Issues (QC:ADVDEC.NY), not the Advancing Issues (QC:ADV.NY)"
"Data2 is the Net Advancing Issues (QC:ADVDEC.NY), not the Advancing Issues (QC:ADV.NY)"
;-)
If you a need some data for backtesting purposes, the good Dave Nadeau have posted some times ago the ADVDEC.NY and ADVDEC.NQ in the traders2traders.com website:
http://www.traders2traders.com/linkindex/Goto.asp?ResourceID=136
http://www.traders2traders.com/linkindex/Goto.asp?ResourceID=136
Having resolved these tricky questions :-), I have tryed to backtest ENIGMA in the same period used by Mark to obtain the System Report that appear in the oddball website. Below is my System Report:
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ENIGMA 60 min. (12/04/2000-12/14/2001)
Total Net Profit $236.535,00 Open position P/L $1.660,00
Gross Profit $400.617,50 Gross Loss ($164.082,50)
Total # of trades 157 Percent profitable 54,14%
Number winning trades 85 Number losing trades 72
Largest winning trade $21.485,00 Largest losing trade ($12.360,00)
Average winning trade $4.713,15 Average losing trade ($2.278,92)
Ratio avg win/avg loss 2,07 Avg trade (win & loss) $1.506,59
Max consec. Winners 8 Max consec. losers 5
Avg # bars in winners 15 Avg # bars in losers 7
Max intraday drawdown ($24.450,00)
Profit Factor 2,44 Max # contracts held 1
Account size required $24.450,00 Return on account 967,42%
Trading period
Years 1,03
Months 12,33
Weeks 53,44
Days 375,12
Time in the market 375
Percent in the market 99,97%
Longest flat period 0,00
Avg. time in trades 2,39
Avg. time between trades 0,00
Avg. time in winning trades 3,22
Avg. time between winning trades 1,20
Avg. time in losing trades 1,40
Avg. time between losing trades 3,83
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The Total Net Profit are slightly less, but the Max Drawdown is better (and so the ROA), the %Winners and the Profit Factor are better,
but what I like the most is the Total # of Trades: 157 instead of 257 ... a bad news for your broker :-)
Best regards,
Cristian Stremiz
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