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Hi TC,
I am in the process of reconstructing VIX data for the last 10 to 15 years
so we also can do more detailed backtesting of ideas. When we have
completed that project I would be more then happy to e-mail you the data to
help further you research. Your Profit Factor is very inpressive. We have
been working on a system that utilized Dynamic Zones with a modified RSI
that looks promising and a VIX Range contraction system. After further
testing I will e-mail you are results and entry/exit rules.
Thanks:)
At 10:27 AM 5/20/98 -0500, ResearchDepartment@xxxxxxxxxxxxxx wrote:
>While this is not meant as a tease or a solicitation by any means. I wish
to let you have a glimpse
>of a proprietary trading system that we tested for a client who wishes to
remain anonymous. The
>point of the post is to assure you there is something to the VIX and don't
give up. We just wish we
>had more data on the VIX to test it back further than 94.
>
>
> NDR_SP500$VIX SPPERP.CSV-60 min 04/11/94 - 05/12/98
>
> Performance Summary: All Trades
>
>Total net profit $ 178205.00 Open position P/L $ 1920.00
>Gross profit $ 222062.50 Gross loss $ -43857.50
>
>Total # of trades 38 Percent profitable 61%
>Number winning trades 23 Number losing trades 15
>
>Largest winning trade $ 38872.50 Largest losing trade $ -9025.00
>Average winning trade $ 9654.89 Average losing trade $ -2923.83
>Ratio avg win/avg loss 3.30 Avg trade(win & loss) $ 4689.61
>
>Max consec. winners 4 Max consec. losers 2
>Avg # bars in winners 194 Avg # bars in losers 106
>
>Max intraday drawdown $ -12875.00
>Profit factor 5.06 Max # contracts held
1
>Account size required $ 12875.00 Return on account 1384%
>
>
>--
> TC
>
>
Bruce Harrison
<mailto://trader@xxxxxxxxxx>
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