Re: Oddball modification

["BobR" <bobrabcd@xxxxxxxxxxxxx>]

Thanks, Bob for the backtest.  Would you mind running the series of tests
again using an exitonclose?  The system will re-enter the following morning
if conditions are still conducive to the signal.  Back when Mark's artical
first appeared I discussed this with him and his view at that time was that
holding overnight worked in OddBall's favor in the long run.  Yet,
realistically some of us can't or don't want to be subject to that risk.

thanks,
bobr

----- Original Message -----
From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
To: "BobR" <bobrabcd@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Friday, March 22, 2002 6:41 AM
Subject: Re: Oddball modification


> 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
>
>