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OK, now then one more test if you don't mind. There are times when it is
advantageous to enter on the close of the bar such as when the price trend
is in synchronism with the roc adv signal. Other times as was proved by
your earlier tests its best to wait until price trend agrees with the
signal. So what we need is a creative trend check to determine if we should
take the trade on the bar's close or use the H[Len]+Offset and
L[Len]-Offset. I don't have the syntax worked out yet, but it would be
something that makes a bar to bar comparison of some type.
bobr
----- Original Message -----
From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
To: "BobR" <bobrabcd@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Friday, March 22, 2002 9:11 AM
Subject: Re: Oddball modification
> At 7:36 AM -0800 3/22/02, BobR wrote:
>
> >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.
>
> 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
> 60 minute natural hour bars
> Zero costs
> Close trades at end of day
>
> MB Inputs Inputs
> Original 3,1,1,0 3,1,0,0
>
> Net profit 1841 2360 2966 Points
> Trades 1080 1401 1340
> % Prof 48% 50% 53%
> Ave Trade 1.74 1.68 2.21 Points
> PF 1.38 1.49 1.73
> DD 260 197 140 Points
> ROA 706% 1206% 2103%
> Sharpe 1.58 2.54 3.30
>
>
> A lot more smaller trades, obviously, and the Offset
> optimized at near zero points.
>
> The equity curve is pretty decent, too. (Attached)
>
> Bob Fulks
>
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