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The 4% System that I've talked about before has suffered a 1% and a 7% loss in
this current correction.
This can be compared to the bear market of 1990 when the system had losses of
7%, 6%, 6% and 4%. For the entire year 1990 the system had a slight profit.
Including the recent losses, the system has 75% profitable trades, with an
average
profit of 8.00 S&P points per trade, and a Profit factor of 3.05.
The 4% system is a terrific example of how a very simple set of rules with
minimal parameters can be profitable trading the S&P. I'll keep you posted.
For further analysis of the system including the SuperCharts code, download
the attached file.
Best regards,
Jerry Rehert (grehert@xxxxxxx)
Check out my WebPage (UPDATED 8/2/98): http://members.aol.com/grehert/
August 6th, 1998 @ 06:29 pm
Atlanta,GA
<HTML><PRE>The 4% system BUYS the Close when the S&P first corrects 4% and then closes up one day; it sells if (a) it rises 4%, or (b) it drops 4%, or (c) it crosses below a parabolic.
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The SuperCharts code for the 4 % system is the following:
IF: C[1] < .96* HIGHEST(H,15)[1]
and c > c[1]
then: BUY this bar on the Close
IF: C < .96*(EntryPrice)
or C CROSSES BELOW PARABOLIC(.00175)
or maxPositionProfit > .04* EntryPrice
then: EXITLONG next bar at the market
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Here is the SuperCharts analysis of the system.
S&P INDEX -Daily 02/27/84 - 07/15/98
Performance Summary: All Trades
Total net profit $ 617.18 Open position P/L $ 0.00
Gross profit $ 796.95 Gross loss $ -179.77
Total # of trades 65 Percent profitable 77%
Number winning trades 50 Number losing trades 15
Largest winning trade $ 45.29 Largest losing trade $ -26.01
Average winning trade $ 15.94 Average losing trade $ -11.98
Ratio avg win/avg loss 1.33 Avg trade(win & loss) $ 9.50
Max consec. winners 11 Max consec. losers 2
Avg # bars in winners 20 Avg # bars in losers 16
Max intraday drawdown $ -61.11
Profit factor 4.43 Max # contracts held 1
Account size required $ 61.11 Return on account 1010%
Best Regards,
Jerry Rehert (grehert@xxxxxxx)
Atlanta, GA
Check out my WebPage (UPDATED: 8-2-98)
http://members.aol.com/grehert/
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