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I agree completely, I'm having a hard time finding usefull stuff in that
mag. Active Trader is much better. I'm not renewing either.
/Stefan Johansson
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Stefan Johansson
President, CTA
Bors Analys AB
BA International Futures Fund, L.L.C.
http://www.baiff.com
stefan.johansson@xxxxxxxxx
----- Original Message -----
From: "M. Simms" <prosys@xxxxxxxxxxxxxxxx>
To: "Alex Matulich" <alex@xxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Monday, June 17, 2002 12:38 PM
Subject: RE: Lessons learned: EOD Oddball-DON'T WRITE FOR TASC
> Very nice Alex, but regarding "... on which I plan to write a TASC
article".
> May I recommend that you write instead for Active Trader Mag or Futures
> Mag.....
> TASC is just getting SOOOOO BAAAADDDD lately.
> Took me all of 5 minutes to read the July issue.
> I am NOT renewing my subscription.
>
>
> > -----Original Message-----
> > From: Alex Matulich [mailto:alex@xxxxxxxxxxxxxx]
> > Sent: Monday, June 17, 2002 12:44 AM
> > To: omega-list@xxxxxxxxxx
> > Subject: Lessons learned: EOD Oddball
> >
> >
> > I've been developing an End-Of-Day version of Oddball (because EOD
> > is all I am able to trade). I can test it only up to October 2001
> > because that's my most recent data.
> >
> > Does anyone have EOD data for Advancing, Declining, and Unchanged
> > issues on the NYSE and NASDAQ exchanges, from October 1999 to
> > the present? And rollover-adjusted mini S&P and NASDAQ futures
> > contracts?
> >
> > It took a while to figure out what to do with the basic Oddball
> > concept. Mark didn't design it for EOD data. I found I could
> > get better performance by dumping the RateOfChange function from
> > Oddball and instead use two Momentum measurements, the first being
> > the Momentum of (adv-decl)/(adv+decl+unch) and the second being the
> > Momentum of the first Momentum. Momentum approximates slope, which
> > is change per unit TIME, rather than change compared to the previous
> > bar (what you get with the RateOfChange function). By using two
> > momentums, I get a rough measure of velocity and acceleration of my
> > adv-decl oscillator.
> >
> > It worked noticeably better with two momentums than with just one.
> > I could also get better performance using (adv-decl)/(adv+decl+unch)
> > rather than just Advancing Issues, even if I optimized either one.
> >
> > I also improved performance somewhat by using an adaptive money
> > management stop as well as an adaptive trailing stop, plus the
> > strategy exits any position if it is ever unprofitable after 1 day.
> >
> > I'm particularly proud of my adaptive trailing stop. It's my own
> > invention, on which I plan to write a TASC article.
> >
> > The strategy works quite well and smoothly over October 1999 to
> > October 2001 (2 years). Prior to that the performance is sloppy
> > and choppy. I don't know why this would be. Using Advance-Decline
> > issues for signals implies that one expects a correlation, or
> > cause+effect relationship between the data that generates the
> > signals and the subsequent price data. It just doesn't exist prior
> > to mid-1999.
> >
> > The system has an expectation of $0.99 profit per $1 risked. By
> > comparison, Vladimir's Swinger2-EOD system has an expectation of
> > about $0.40/$1. In the book "Trade your way to financial freedom"
> > Van K Tharp advises that anything with an expectation of $0.50/$1 or
> > so (depending on the number of opportunities to trade) is a decent
> > system. The "worth" of a system is then determined by a score,
> > calculated as expectation*opportunities, where opportunities is
> > number of trades per year.
> >
> > In my opinion, this is the only way to compare system performance.
> > Comparing net profit and other results just don't do the job,
> > because you don't get a result that accounts for risk.
> >
> > Optimizing for this score is a pain. Tradestation can optimize
> > only for canned results, not arbitrary user-generated results like
> > expectation score. To do it, you have to set View->ChartOptions
> > Strategy tab to save 20,000 or so optimization results, then
> > optimize so that the total results doesn't exceed 20,000, import
> > everything into Excel, calculate the scores, sort the list, and find
> > the parameters that give you the highest score.
> >
> > I'd like to see how it performs for 10/2001 to the present. Anybody
> > have the data for E-Mini S&P and E-Mini NASDAQ rollover futures,
> > advancing, declining, and unchanging issues?
> >
> > Performance Summary: All Trades
> > (commission = $20/RT, slippage = $75)
> > October 1999 to October 2001
> >
> > Total Net Profit $65,587.50 Open position P/L $512.50
> > Gross Profit $99,532.50 Gross Loss ($33,945.00)
> >
> > Total # of trades 115 Percent profitable 48.70%
> > Number winning trades 56 Number losing trades 59
> >
> > Largest winning trade $9,375.00 Largest losing trade ($1,615.00)
> > Average winning trade $1,777.37 Average losing trade ($575.34)
> > Ratio avg win/avg loss 3.09 Avg trade (win &
> > loss) $570.33
> >
> > Max consec. Winners 7 Max consec. losers 8
> > Avg # bars in winners 6 Avg # bars in losers 1
> >
> > Max intraday drawdown ($4,177.50) Profit Factor 2.93
> > Max # contracts held 1
> > Account size required $8,177.50 Return on account 802.05%
> >
> >
> > --
> > ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> > // +__> Director of Research and Development
> > // \
> > // __) Unicorn Research Corporation -- http://unicorn.us.com
> >
>
>
>
>
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