|
PureBytes Links
Trading Reference Links
|
At 11:33 AM 9/17/97 EDT, Ronald McEwan wrote:
>
>The HTLT indicator is constructed by plotting the Extreme high and low
>for
>the last ten periods and connecting the midpoints of these daily (period)
>ranges each day(period)
>
>The ten day period includes today.
>
>It also will work on day trading
>
>If the closes stay above these midpoints the trend is up and if they stay
>below
>the trend is down
>
>THERE ARE NO MOVING AVERAGES
>
Here's a Super Chart test report of the HTLT indicator buying at the next
day's close when the close crosses over the 10 day midrange, and selling
short when it reverses (BTW buying at the open isn't much different):
Midrange Indicator Test S&P7297.TXT-Daily 01/03/72 - 09/12/97
Performance Summary: All Trades
Total net profit $ 39.42 Open position P/L $ -11.32
Gross profit $ 1733.50 Gross loss $ -1694.08
Total # of trades 916 Percent profitable 31%
Number winning trades 286 Number losing trades 630
Largest winning trade $ 85.39 Largest losing trade $ -26.33
Average winning trade $ 6.06 Average losing trade $ -2.69
Ratio avg win/avg loss 2.25 Avg trade(win & loss) $ 0.04
Max consec. winners 6 Max consec. losers 18
Avg # bars in winners 14 Avg # bars in losers 4
Max intraday drawdown $ -317.90
Profit factor 1.02 Max # contracts held 1
Account size required $ 317.90 Return on account 12%
Performance Summary: Long Trades
Total net profit $ 422.20 Open position P/L $ 0.00
Gross profit $ 1203.16 Gross loss $ -780.96
Total # of trades 458 Percent profitable 36%
Number winning trades 166 Number losing trades 292
Largest winning trade $ 85.39 Largest losing trade $ -26.33
Average winning trade $ 7.25 Average losing trade $ -2.67
Ratio avg win/avg loss 2.71 Avg trade(win & loss) $ 0.92
Max consec. winners 4 Max consec. losers 10
Avg # bars in winners 16 Avg # bars in losers 4
Max intraday drawdown $ -64.48
Profit factor 1.54 Max # contracts held 1
Account size required $ 64.48 Return on account 655%
Performance Summary: Short Trades
Total net profit $ -382.78 Open position P/L $ -11.32
Gross profit $ 530.34 Gross loss $ -913.12
Total # of trades 458 Percent profitable 26%
Number winning trades 120 Number losing trades 338
Largest winning trade $ 63.99 Largest losing trade $ -19.03
Average winning trade $ 4.42 Average losing trade $ -2.70
Ratio avg win/avg loss 1.64 Avg trade(win & loss) $ -0.84
Max consec. winners 6 Max consec. losers 23
Avg # bars in winners 12 Avg # bars in losers 3
Max intraday drawdown $ -453.76
Profit factor 0.58 Max # contracts held 1
Account size required $ 453.76 Return on account -84%
Am I missing something?
Jerry Wagner
Flexible Plan Investments, Ltd.
and the Annuity Price Center (www.annuityprices.com)
Check out WWW.SAAFTI.COM for info on the Society of Asset Allocators and
Fund Timers November conference in San Francisco
|