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Bob: Suppose you didn't exit at close of day, what would be the result.
Thanks for the tests- - you're the best.
Regards, Jack.
----- Original Message -----
From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Friday, March 22, 2002 10:36 AM
Subject: Re: Oddball modification
> At 1:02 PM -0500 3/22/02, [private message] wrote:
>
> >Adding reasonable margins for commish and slippage would really hurt.
> >
> >BTW the ledgend on the accompanying chart has a pricing error possibly,
or did
> >the result really yield a 3% return on opening equity?
>
> The equity curve in TradeStation assumes a starting account size of
> $100,000 so trading one share of $SPX showed little absolute dollar
> profit. The shape of the curve was the important matter. Trading 250
> "shares" which would be about the size of the big SP futures
> contract, would generate 250 times the profit (sill assuming no
> costs). (I like to use one share since it tells me the number of
> points of profit and trade size in points.)
>
> Adding costs does not make it all that bad. With $20 commission and
> 0.5 big points slippage trading 250 "shares" of $SPX the results are
> still decent (still forgetting that you cannot actually trade the
> $SPX):
>
> 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 250 shares
> $ADV NYSE advancing issues as data2
> 60 minute natural hour bars
> $20 commission + $125 slippage
> Close trades at end of day
>
> Inputs
> 3,1,0,0
>
> Net profit $547,000
> Trades 1340
> % Prof 50%
> Ave Trade $408
> PF 1.49
> DD $39,000
> ROA 1402%
> Sharpe 2.33
>
> Bob Fulks
>
>
>
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