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Hello omega-list,
I've been applying a number of OB variations posted
to the list over the last year or so. I don't think I can attach my
spreadsheet to I'll paste it in below. If you want a clean one
email me. Or if my system names don't ring a bell I have
the ela I can send as well.
Disclaimer: I did this for my own purposes and in no way is this
intended to the the ultimate system test. I had the data and the
systems so I ran 'em and here are the unaudited results.
I applied each to Tick Data back adjusted 30 min futures contracts in four
2-year windows (94-95, 96-97, 98-99, 00-01). I inserted code that
required entries to be on the hour, simulating natural hour bars per
Jeff Meek's suggestion (e.g. If condition... AND MOD(TIME, 100) = 0
Then Sell;)
(BTW--For kicks I ran the systems on 30 min bars without the "on the hour"
requirement and didn't see much systematic difference.)
Original 94-95 96-97 98-99 00-01 "Total"
#Trades 599 398 570 547 2111
Net Profit 7762 66925 37075 371000 482712
% Profitable 47 48 45 49
Avg Trade 13 169 65 678
Max IdDD -13675 -22600 -67075 -30425
BobR-T3 94-95 96-97 98-99 00-01 "Total"
#Trades 451 325 446 433 1655
Net Profit 11075 42425 79875 408400 541775
% Profitable 41 44 45 48
Avg Trade 25 130 179 943
Max IdDD -14462 -23650 -42225 -27250
C Johnson 94-95 96-97 98-99 00-01 "Total"
#Trades 486 458 545 519 2008
Net Profit 3975 71900 18650 387475 482000
% Profitable 43 46 43 51
Avg Trade 8 157 34 746
Max IdDD -18000 -38675 -72325 -41875
Folster 94-95 96-97 98-99 00-01 "Total"
#Trades 486 273 347 334 1320
Net Profit 3975 45625 91500 276825 421900
% Profitable 43 47 52 56
Avg Trade 8 167 264 828
Max IdDD -18000 -19800 -28350 -25350
Fulks-simple 94-95 96-97 98-99 00-01 "Total"
#Trades 395 289 405 387 1486
Net Profit 14150 34662 118000 408125 574937
% Profitable 43 42 47 51
Avg Trade 36 100 284 1054
Max IdDD -15062 -34025 -35450 -26775
Dubell 94-95 96-97 98-99 00-01 "Total"
#Trades 473 331 498 457 1759
Net Profit 8862 60050 7575 372025 448512
% Profitable 44 49 45 49
Avg Trade 19 181 15 814
Max IdDD -17275 -32000 -71700 -36550
--
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxx
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