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I typed the oddball strategy as it was in the Dec. 2000 issue of Active
Trader, into TS6 and used the following data:
For data1 I used ESM02 (S&P EMini contract) 60 Minute Bars for 30 days
For data2 I used $ADV (Advancing Issues NYSE) 60 Minute Bars for 30 days
For Inputs I use 7,3,1 (the defaults)
The problem is that the RAI value tends to make hugh swings averaging
from -60 to 60. I was expecting more reasonable swings around -4 to 4. The
Performance report gave me $2950 gross profit, $9787 winnings to $6387
losses. Seeing that the RAI goes higher and lower, I changed the BuyZone to
10 and the SellZone to -10 and this gave me much better results as follows:
$3912 gross profit, $8737 winnings and only $4825 in losses. I am using $12
commission and .5 slippage. The question is, are these results what I should
expect or do I have a mistake in the code, as most are saying that they get
best results using the default inputs, also the large swings don't seem
right in view of the small buy and sell zone expectations.
Here is what I typed in:
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Inputs: ROCLen(7), BuyZone(3), SellZone(1);
Vars: RAI(0);
{Calculate the ROC (Rate of Change) for Advancing Issues (AI)}
RAI = (((C Data2)/(C[ROCLen] Data2))-1)*100;
If RAI > BuyZone then Buy this bar;
If RAI < BuyZone then Sell Short this bar;
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Thanks,
Mike.
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