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On the subject of OddBall, which was brought up again, I digged a post
Bob Fulks made a few months ago, quoted below. Maybe Bob will be kind
enough to share with us how this particular version performed
out-of-sample during the last 5 months. Has the historical MaxDD
remained at $22k ?
Thanks, Michael
Bob Fulks wrote:
>
> 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. :)
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