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Hello Robert,
I put the system on some bond data and changed it to trade only one
contract, the results look too glossy on futures with 1000 contracts.
On the 30min chart the results look good, on smaller time frames the
results deteriorate, after including "Close all trades at end of day
session" and a tighter stop the results were poor.
Because of the nature of MA systems, sometimes getting into trades
just as the price whips back the other way, I suggest this makes a
good 30min trend indicator and a smaller time frame trigger, possibly
an oscillator could be used for entries.
regards
foolsgold
RL> Hi Guys (Girls?),
RL> Just as an effort to get some exchange of ideas/strategies going on, I am
RL> making a start by contributing this trading system to the omega list.
RL> I hope others can improve upon this system (always possible) or maybe send
RL> me some of their ideas in return.
RL> What is unique about this system is that it is one of the first systems I
RL> found that actually do a decent job on stock symbols (although I especially
RL> tested it on QQQ and SPY).
RL> What is the theory behind this system?
RL> 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)?
RL> My idea was that these are basically "random" numbers (3 and 15) why not use
RL> all numbers from 1 to X!
RL> This system calculates the maximum and minimum and average value of avg 1
RL> bar + avg 2 bars + avg 3 bars + avg 4 bars etc. Be aware that is not (at
RL> all) the same as Highest(Value,#bars) or Average(Value,#bars) !
RL> Let's call this the cumulative average.
RL> On a cumulative average you can calculates a maximum value, minimum value ad
RL> average value.
RL> In Mode 0 we trade on the close as compared to highest/lowest "cumulative
RL> average close" (close above=buy, close below=sell).
RL> In Mode 1 we trade on the close as compared to average "cumulative average
RL> close".
RL> In Mode 2 we trade on a stop order as compared to highest "cumulative
RL> average high" and lowest "cumulative average low".
RL> This system works best in the afternoon (system disabled before a certain
RL> time).
RL> A simple percentage stop is added to the system.
RL> Just on a sample trading QQQ 30 minutes, from 2/1/2001 through 10/23/2002:
RL> mode 1
RL> bars 14 (notice that we have 13, 30 minute bars in a day!)
RL> time 1400
RL> stop 1.9%
RL> shares 4000
RL> Data (tested on Quote.com data in TS2000):
RL> P&L (4000 shares which compares to one big ND contract) $318560
RL> Average profit (all this is with 0 commissions and 0 slippage so we need a
RL> nice number): $1042
RL> Drawdown $21640 (less than 7%).
RL> Profit factor 2.03
RL> Sharpe 4.32
RL> When backtested, it holds up very nicely on previous years.
RL> As you see it is a "real" system (or at least a good start)!
RL> Thanks
RL> Robert
RL> ps. As you see agian today, the afternoon is often a good trading "place".
RL> =================================
RL> Robert Linders
RL> Orlando
RL> Robert@xxxxxxxxxxxxxx
RL> =================================
Best regards
foolsgold
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