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My memory says that Connors used the following for testing purposes:
Entry at close of signal day, or open of following day,
Exit on close of third day following entry, and
No stops.
Please note that the "no stops" was only for demonstration purposes. He
recommends a stop on every trade. His are typically 10-15 points from
entry.
-TJV
----- Original Message -----
From: "Jim Johnson" <jejohn@xxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>; "Ian Waugh" <ianwaugh@xxxxxxxxx>
Cc: <davis98@xxxxxxxxxxxxxxxx>; <sunfiles@xxxxxxx>;
<ianwaugh@xxxxxxxxxxxxxxxxxxx>
Sent: Thursday, September 19, 2002 11:00 PM
Subject: Re[2]: Vix Findings
> Hello Ian,
>
> its been a few years since I worked with Connors systems; I did
> purchase them in addition to the StreetSmarts book. Dave Landry of
> tradingmarkets.com did most of the coding. I recall most/all of the
> VIX reversal systems used a 7 day stop, some yielding a very high win
> % and all having some whopper drawdowns. I have a suspicion he trades
> mainly options with them and touches on this in the book.
>
>
> Best regards,
> Jim Johnson mailto:jejohn@xxxxxxxxxxx
>
> --
> Thursday, September 19, 2002, 6:15:00 PM, you wrote:
>
> IW> His book gives you specific entry points (although they may or may not
> IW> be bettered if you allow a 2-day window) but not specific exits. The
> IW> exits and stops are either non-existent or extremely vague (exit
within
> IW> 2-4 days).
>
> IW> Oddly, he shows TS Reports to support their accuracy so he must have
> IW> used specific entries, exits and stops. Anyone offer any clues
here...?
>
> IW> Cheers,
> IW> Ian
>
> >> O-list:
> >>
> >> Thanks to all who kindly offered VIX data.
> >>
> >> I have been working on confirming the claims of Larry Connors on his
> >> CVR indicators. (www.tradingmarkets.com)
> >>
> >> My findings ?
> >>
> >> Although I'm not quite finished, so far I find that his CVR 's
> >> performed well during some periods in the past, but most are
> >> unreliable now when standing alone -- especially in 2002 (the equity
> >> curves are a joke). The only one CVR that looks workable is CVR III,
> >> which has like a 70% accuracy rate. The problem with CVR's is they
> >> are not precise in identifying when the reversal will occur -- you
> >> have a window of like 2 days.
> >>
> >> I'm still needing to confirm what rates of accuracy occur when
> >> multiple CVR signals issue for a particular daily close.
> >>
> >>
> >>
> >>
> >> Davis
> >>
> >>
> >> On Wed, 18 Sep 2002 11:32:09 -0700
> >> "sunfiles" <sunfiles@xxxxxxx> wrote:
> >> > Have you got enought VIX data to confirm your "positive findings"?
> >> > What
> >> > did you find? Would be interested.
> >> >
> >> > Brian
> >> > sunfiles@xxxxxxx
> >> >
> >> >
>
>
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