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At 3:12 AM -0800 3/22/02, BobR wrote:
>Try this backtestors. Oddball can be early with its signals so once the
>signal is true then buy on a stop to delay the signal until price is moving
>in the direction of the signal. Remember, natural hour bars, sp or spx in
>data1, advancing issues in data2. Perhaps someone with lots of good clean
>data will post a comparison using the trade on a stop versus just buying or
>selling when the ROC conditions are satisfied.
>
>Inputs: BZ(3),SZ(1);
>
>If RateOfChange(close of data2,7)>BZ then buy at H[1] stop;
>If RateOfChange(close of data2,7)<SZ then sell at L[1] stop;
>
>bobr
A quick test of:
Inputs: BZ(3),SZ(1), Len(1), Offset(0);
If RateOfChange(close of data2,7)>BZ then buy at H[Len] + Offset stop;
If RateOfChange(close of data2,7)<SZ then sell at L[Len] - Offset stop;
4 years ending 12/31/01
$SPX cash index as data1 (BigPointValue = 1) trading 1 share
$ADV NYSE advancing issues as data2
Zero costs
MB Inputs Inputs
Original 3,1,1,0 3,1,1,4
Net profit 1841 2470 2980 Points
Trades 1080 754 536
% Prof 48% 50% 54%
Ave Trade 1.74 3.28 5.65 Points
PF 1.38 1.66 2.06
DD 260 180 130 Points
ROA 706% 1370% 2280%
Sharpe 1.58 2.34 3.20
So your suggestions tests a lot better. Offsetting the stop 4 points
tests even better still.
Of course, trading the $SPX index on a stop is not really
representative of the real world.
A better test would require testing on the futures contracts or some
instrument such as SPY and results would be poorer because of the
increased noise. And entering on stops typically adds slippage.
But it does indicate that holding entries until the price is at least
heading in the right direction makes sense. (This should be pretty
obvious. It always seemed pretty dumb to enter a long position when
the price is clearly moving down...)
I have tried similar approaches using the slope of a moving average
with similar results.
Bob Fulks
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