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RT,
I have the original 4% system applied to the NYFE and have added a $ 1500
money management stop. It has lost $1500 twice during this correction, but
is up over $22,000 since 12/26/97. Check it out.
Steve
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> From: S McGuire <netvest@xxxxxxxxx>
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Subject: Re: 4% System Update - A BETTER Filter
> Date: Friday, August 07, 1998 8:18 AM
>
> 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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