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Hi Guys (Girls?),
Just as an effort to get some exchange of ideas/strategies going on, I am
making a start by contributing this trading system to the omega list.
I hope others can improve upon this system (always possible) or maybe send
me some of their ideas in return.
What is unique about this system is that it is one of the first systems I
found that actually do a decent job on stock symbols (although I especially
tested it on QQQ and SPY).
What is the theory behind this system?
Well, we all agree that a close >close[1] is a sign for higher prices.
How about close>average(close,15) ?
How about close>average(close,3) and close>average(close,15)?
My idea was that these are basically "random" numbers (3 and 15) why not use
all numbers from 1 to X!
This system calculates the maximum and minimum and average value of avg 1
bar + avg 2 bars + avg 3 bars + avg 4 bars etc. Be aware that is not (at
all) the same as Highest(Value,#bars) or Average(Value,#bars) !
Let's call this the cumulative average.
On a cumulative average you can calculates a maximum value, minimum value ad
average value.
In Mode 0 we trade on the close as compared to highest/lowest "cumulative
average close" (close above=buy, close below=sell).
In Mode 1 we trade on the close as compared to average "cumulative average
close".
In Mode 2 we trade on a stop order as compared to highest "cumulative
average high" and lowest "cumulative average low".
This system works best in the afternoon (system disabled before a certain
time).
A simple percentage stop is added to the system.
Just on a sample trading QQQ 30 minutes, from 2/1/2001 through 10/23/2002:
mode 1
bars 14 (notice that we have 13, 30 minute bars in a day!)
time 1400
stop 1.9%
shares 4000
Data (tested on Quote.com data in TS2000):
P&L (4000 shares which compares to one big ND contract) $318560
Average profit (all this is with 0 commissions and 0 slippage so we need a
nice number): $1042
Drawdown $21640 (less than 7%).
Profit factor 2.03
Sharpe 4.32
When backtested, it holds up very nicely on previous years.
As you see it is a "real" system (or at least a good start)!
Thanks
Robert
ps. As you see agian today, the afternoon is often a good trading "place".
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Robert Linders
Orlando
Robert@xxxxxxxxxxxxxx
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