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Hello List,
Heres a simple system - that is 'long term.' It uses COT (Commitment
of Traders) numbers, notably commercial longs and commercial shorts
(published by your very own CFTC). The system has been short since May
2000 - yup thats a full 29 months short - hence the open position
working off daily spx is + $160,000 (yikes). I'm forwarding it because
not for the first time there appears to be some divergence and if the
trend continues it(looks)like the oscillator may move into positive
territory soon - (maybe when a ground attack starts - er hurry?)
http://www.cftc.gov/dea/futures/deacmesf.htm
{Using commercials long as data2 and commercials short as data3 } -
inputs: len(close of data2), len1(close of data3);
value1 = Len;
value2 = Len1;
value3 = ((value1 - value2) -1) * 100;
value4 = (C / C[1] -1) *100;
if value4> 0 and value3>0 then buy at market;
if value4 <0 and value3<0 then sell at market;
--
Best regards,
Michael mailto:michaelstewart@xxxxxxxxxxxxx
$SPX-Daily 01/04/1994 - 10/09/2002
Performance Summary: All Trades
Total net profit $ 237310.00 Open position P/L $ 162312.50
Gross profit $ 333307.50 Gross loss $ -95997.50
Total # of trades 49 Percent profitable 59%
Number winning trades 29 Number losing trades 20
Largest winning trade $ 40550.00 Largest losing trade $ -13112.50
Average winning trade $ 11493.36 Average losing trade $ -4799.88
Ratio avg win/avg loss 2.39 Avg trade(win & loss) $ 4843.06
Max consec. winners 5 Max consec. losers 5
Avg # bars in winners 34 Avg # bars in losers 16
Max intraday drawdown $ -39527.50
Profit factor 3.47 Max # contracts held 1
Account size required $ 59527.50 Return on account 399%
Performance Summary: Long Trades
Total net profit $ 238715.00 Open position P/L $ 0.00
Gross profit $ 269177.50 Gross loss $ -30462.50
Total # of trades 25 Percent profitable 68%
Number winning trades 17 Number losing trades 8
Largest winning trade $ 40550.00 Largest losing trade $ -7535.00
Average winning trade $ 15833.97 Average losing trade $ -3807.81
Ratio avg win/avg loss 4.16 Avg trade(win & loss) $ 9548.60
Max consec. winners 6 Max consec. losers 3
Avg # bars in winners 50 Avg # bars in losers 19
Max intraday drawdown $ -39527.50
Profit factor 8.84 Max # contracts held 1
Account size required $ 59527.50 Return on account 401%
Performance Summary: Short Trades
Total net profit $ -1405.00 Open position P/L $ 162312.50
Gross profit $ 64130.00 Gross loss $ -65535.00
Total # of trades 24 Percent profitable 50%
Number winning trades 12 Number losing trades 12
Largest winning trade $ 11837.50 Largest losing trade $ -13112.50
Average winning trade $ 5344.17 Average losing trade $ -5461.25
Ratio avg win/avg loss 0.98 Avg trade(win & loss) $ -58.54
Max consec. winners 3 Max consec. losers 4
Avg # bars in winners 12 Avg # bars in losers 14
Max intraday drawdown $ -36715.00
Profit factor 0.98 Max # contracts held 1
Account size required $ 56715.00 Return on account -2%
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