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DISCLAIMER: THIS IS NOT TRADING ADVICE. TRADING INVOLVES RISK, AND LOTS OF
IT! FOR EDUCATIONAL PURPOSES ONLY.
Here is the (most of) 2002 results for Mark's "Original OB" and the "OB Time
Change" variation I posted last year. It is an extremely small change (just
changing the time you start taking trades from 0930 to 1100 EST) but usually
improves the results quite a bit, both increasing net profit while reducing
trade frequency. Actually this is the only variation I have tested that
improved results in every time period I looked at, sometimes quite
dramatically.
Let me also say that none of those "trend filter" type variations that I
posted held up last year (NYSE tick, Adv/ Decl line >< 0 etc). I am
somewhat mystified by this since their results were quite good in
backtesting and it's not like they are curve fit or anything. But they
earned about 25% of what OB original did with a bigger DD. So whatever.
Thanks for listening.
OB Original Results Jan. 1 2002 - Dec. 19 2002
Net: 108 K
# trades: 282
MIDD: 27,675
PF: 1.36
% winners: 46.1
Avg. Trade: 383.07
OB Time Change Jan. 1 2002 - Dec. 19 2002
Net: 134 K
# trades: 216
MIDD: 22,150
PF: 1.55
% winners: 50
Avg. Trade: 620.37
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