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Thanks for your work Jim. One of the difficulties in comparing system is
that there is no standard for what data to test with, when to test, and how
to report the results.
In an attempt to eliminate 2 of these problems, perhaps you can export your
SP and ADV data and post them on traders2traders.com. This would give any
oddball tweakers the chance to test their mojo on a known set of data.
-Jeff
----- Original Message -----
From: "Jim Johnson" <jejohn@xxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, May 21, 2002 7:20 AM
Subject: OddBall variation comparisons
> 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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