|
PureBytes Links
Trading Reference Links
|
Dear RealTraders:
As an incurable equity trading systems designer, I often find myself
sitting in front of my computer, mulling over an idea, plugging in some
code, and surmising the results. Doing this over and over, however,
gets a bit boring, so it's fun to read other people's ideas, test them,
modify them, in the hopes of stumbling onto something useful.
Recently, in an interview in TAS&C magazine (Jan '98, page 75), Tom
Bierovic, a noted commodities trader and educator, discussed his early
forays into mechanically trading futures markets. One of the systems he
describes is a simple moving average system for entering trades which
goes something like this:
* Buy when the four day exponential moving average is above the 9 day
exponential MA and the 9 day exponential MA is above the 18 day
exponential MA.
* Sell when the four day exponential MA crosses below the 9 day
exponential MA
Now, this entry method is designed for futures, to be sure, but when I
applied it to certain select equities, it did worse than bad. I don't
know why -- I've been to one of Bierovic's classes at the CBOT and I
know he's a great trader. Anyway, this system was so bad it was good.
So, it struck me to switch it around a bit, and see what happens; and
here is the system I came up with:
* Buy tomorrow's opening when the 4 day exponential moving average of
HIGHS is less than the 9 day exponential moving average of CLOSES and
the 9 day exponential moving average of CLOSES is less than the 18 day
exponential moving average of CLOSES AND the 5 day Williams Percent R%
is 70% oversold
The EasyLanguage code for the setup is:
XAverage(H,4) < XAverage(Close,9) AND XAverage(Close,9) <
XAverage(Close,18) AND PercentR(5) < 30
* Sell the tomorrow's opening when the four day exponential moving
average of LOWS is less than the 18 day exponential moving average of
CLOSES
The EasyLanguage code for the sale is:
XAverage(L,4) > XAverage(Close,18)
I've attached an .ela file for those who wish to pull it up in
SuperCharts or TradeStation ... the results are pretty sweet ...
%profitable of 60%-100% is not unheard of and is usually the case ... a
few instances of nasty drawdowns but not all that often ... I need to
work on money management a bit, but check it out, let me know what you
think!
Michael Strupp
Chicago, IL
Attachment Converted: "c:\eudora\attach\Masys.ela"
|