BondBall beats OddBall in year 2002

[Beyond OddBall <beyond_oddball@xxxxxxxxx>]

I'm getting ~$60,000 TNP, with a profit factor of 3.55
and ~$8,000 MIDD.

Constructing OddBall systems with data offsets running
ADV issues earlier than S&P is cheating yourself. But
US Bond futures DO open over an hour earlier, so why
not explore any possible advantage. Even besides
8:30am news events, Bond traders are known to be some
of the first to react.

Too bad it does not perform as well under long term
historical testing (needs tweaking ?). But maybe there
is some use for the concept - as a filter - or as an
addition to . . .


This code is roughly opposite of OddBall, but with
lookback of only 2 bars. This strategy failed during
most all of 1999 (when running a normal oddball code
on bonds made money), I would still hope a strategy
could be devised to characterize the changing cycles
of the bond futures so when the bonds started moving
in synch with the S&P's you could stop trading this
code and monitor it until it returns decent
profitability.

{Data1 = S&P 500 futures.
  Data2 = CBOT 30 yr. Bond Futures
Always natural hour bars}

If time > 1100 and time <= 1600 then begin

Inputs: RL(2), BZ(0), SZ(0);

If RateOfChange(Close Data2, RL) < BZ Then Buy;
If RateOfChange(Close Data2, RL) > SZ Then Sell;

End;