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</HTML></x-html>From ???@??? Fri Aug 07 07:34:00 1998
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Date: Fri, 07 Aug 1998 09:18:47 -0400
Reply-To: netvest@xxxxxxxxx
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From: "S. McGuire" <netvest@xxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Subject: Re: 4% System Update - A BETTER Filter
References: <3ecdd29.35ca30bc@xxxxxxx>
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I found that most losses have happened when there are more than 1 signal within 15 days. If you add a filter that pervents new signals within 15 days of a prior signal, you will see the
loses drop dramatically.
GREHERT@xxxxxxx wrote:
> 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.
> __________________________________________________________________________
> 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
> __________________________________________________________________________
> 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/
> </PRE></HTML>
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