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Hello all,
Couldn't resist. <g> Here's a system utilizing W.Dates and Swing
highs and lows. Protective stops set at high or low of swing.
trades exited on a trailing profit stop after 300.00 in profit, and
risking 38% of profit. "Bouncing Ticks" set to 50% of bar.
The system didn't do as well if you tried for more, but after looking
at some of the trades on a chart, within a trend filter, I swear I think
you could just about trade this if you filtered to trade only with the
trend.
Walt
W.Dates T. BONDS 67/99-Daily 08/22/77 - 07/31/96
Performance Summary: All Trades
Total net profit $ 46375.00 Open position P/L $ 0.00
Gross profit $ 119031.25 Gross loss $ -72656.25
Total # of trades 315 Percent profitable 66%
Number winning trades 209 Number losing trades 106
Largest winning trade $ 2500.00 Largest losing trade $ -3687.50
Average winning trade $ 569.53 Average losing trade $ -685.44
Ratio avg win/avg loss 0.83 Avg trade(win & loss) $ 147.22
Max consec. winners 18 Max consec. losers 4
Avg # bars in winners 1 Avg # bars in losers 1
Max intraday drawdown $ -7062.50
Profit factor 1.64 Max # contracts held 1
Account size required $ 7062.50 Return on account 657%
Performance Summary: Long Trades
Total net profit $ 19562.50 Open position P/L $ 0.00
Gross profit $ 46437.50 Gross loss $ -26875.00
Total # of trades 128 Percent profitable 65%
Number winning trades 83 Number losing trades 45
Largest winning trade $ 2031.25 Largest losing trade $ -1625.00
Average winning trade $ 559.49 Average losing trade $ -597.22
Ratio avg win/avg loss 0.94 Avg trade(win & loss) $ 152.83
Max consec. winners 11 Max consec. losers 5
Avg # bars in winners 1 Avg # bars in losers 1
Max intraday drawdown $ -4562.50
Profit factor 1.73 Max # contracts held 1
Account size required $ 4562.50 Return on account 429%
Performance Summary: Short Trades
Total net profit $ 26812.50 Open position P/L $ 0.00
Gross profit $ 72593.75 Gross loss $ -45781.25
Total # of trades 187 Percent profitable 67%
Number winning trades 126 Number losing trades 61
Largest winning trade $ 2500.00 Largest losing trade $ -3687.50
Average winning trade $ 576.14 Average losing trade $ -750.51
Ratio avg win/avg loss 0.77 Avg trade(win & loss) $ 143.38
Max consec. winners 14 Max consec. losers 3
Avg # bars in winners 1 Avg # bars in losers 1
Max intraday drawdown $ -7250.00
Profit factor 1.59 Max # contracts held 1
Account size required $ 7250.00 Return on account 370%
-----Original Message-----
From: Alan Sears <asears@xxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Wednesday, July 15, 1998 2:46 PM
Subject: RE:fdates
>I am re-sending this as I never saw it posted and a lot of people
>are asking the same question
>
>>
>>What in the heck are WDates???
>>
>
>
>Wow, I have opened a can of worms here !
>
>My post was simply meant as a lighthearted parody of fdates :)
>
>My "extremely accurate" W-dates are simply Wednesday-dates
>as noted in my initial message, the blue bars on the chart are
>simply Wednsdays ! No secret, no membership required to get
>these highly accurate turning points. Although for those interested
>I could setup a subscription based service where I would email
>everyone Tuesday to advise them in advance that the following
>day was a W-Date <G> ie: Wednesday :)
>
>Using the exact rules of +/- 1 bar and the high / low not being violated
>for 3 days following (Same as Fdate rules). Wednesday has a hit
>rate of 80% or better !
>Did I pick Wednesday at random ? NO
>I ran tests on 20 years of historical data for many markets to arrive
>at this conclusion. Monday & Friday had a hit rate of 50-60%
>and Wednesday was consistently above 80% for all markets
>tested.
>Why did I do this ? To prove to myself and others that methods
>such as fdates are no better than random.
>Did I prove this ? I think so, who would have guessed that
>using Wednesday as a pivot date using fdate rules would
>give equal or better results ? :-)
>
>What I did was setup a spreadsheet to identify ALL pivots
>that met fdates rules. Example: there may have been 3000
>pivots in a data file which met this criteria, 80% of these occured
>on Wednesday +/- 1 bar. I found the results to be statistically
>significant.
>Previous examples of Bean Oil & Sp500 proved my findings
>Attached is a chart of cocoa showing the same amazing
>accuracy !
>
>
>
>
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