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At 9:06 PM -0400 7/13/02, Bilo Selhi wrote:
>well, that one of the best equity curves i have ever seen,
>but not the ideal, since it is near linear and not exponential,
>although the latter might be due to no pyramiding in which case
>it is near ideal. congrats.
My test was for trading the equivalent of a single SP contract so did
not include scaling the trade size with profits. As you said, trading
a fixed size tends to produce a linear, not exponential, equity curve.
>was wondering if you could post the stats for the system?
People posting results without telling how they got them always bugs
me so I will give some of the numbers and then tell you a little about
the system:
Net Profit: $643,000 over 51 months = $12,600 per month
Trades: 376 over 51 months
% Profitable: 52%
Win/Loss: 2.0
Bar compression: 60 minute natural hour bars (sound familiar?)
Always in the market long or short (including overnight)
Profit Factor: 2.2
Max Drawdown: $22,000 = 2 month's profit
Average Drawdown: $2,600
Drawdowns over $10,000: 3 over 51 months
Average Trade: $1,700
Average bars in winners: 28
Return on account: 2900%
Sharpe Ratio: 3.0
No commissions - but their effect would be small with the
large average trade size.
No slippage - actual slippage would depend upon the exact
order entry method
(With $150 slippage/commission, profit would drop to
$643,000 - $150 * 376 = $587,000)
What is it? It is one of many variations of Mark Brown's OddBall idea
I have tested (with some proprietary "tweaks"). The code contains
only 13 EasyLanguage statements and no non-standard functions. So I
will leave it as an "exercise for the reader" to duplicate that
equity curve with 13 EasyLanguage statements based upon the original
OddBall idea. :)
The code does not include any money-management stops, bad-tick
filters, or position sizing, etc., so is not a "finished" trading
system. I do not trade it but am pretty sure it would make a tradable
system.
>and is this really an adaptive system?
The term "adaptive" means different things to different people. I use
it to mean adapting the parameters dynamically over time. This is one
of the reasons this system is a bit more robust than the original
simple OddBall system.
Several people have asked privately if the system is for sale but
sorry, I do not sell trading systems... I posted the equity curve
because the original question was about the consistency of trading
systems over time. This linear equity curve indicates that an
enhanced version of Mark Brown's original idea behind the system can
be pretty robust over a period of several years.
As we have discussed several times, the key to a good trading system
is finding some phenomenon that has a consistent "edge" over time
(like the original OddBall idea). Once you have that, it is pretty
easy to improve on the basic idea to make it more robust, as many
people have done with OddBall.
And since I often help others turn their "tradable phenomenon"
discoveries into workable trading systems, I am not free to disclose
much about how the systems work, but, as with OddBall, you would be
surprised at how simple the ideas often are:
> Something happens in the morning that indicates what is likely
to happen in the afternoon
> When you look at the price data a certain way, a tradable cycle
becomes apparent
People who can spot these are pretty rare, but often need help
converting their "discoveries" into tradable systems. A
"diamond-in-the-rough" has a lot more value after it is cut
and polished.
Some people may be able to build systems by optimizing parameters on
common functions such as RSI MACD, Stochastics, etc., but these
always seem to me to be "curve fitting" that may or may not hold up
over time - most do not in my experience. (If it were that easy, why
would anyone work for a living?)
A good "tradable phenomenon" tends to hold up well over time (or
until too many others start trading it and neutralize it's "edge").
Bob Fulks
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