|
PureBytes Links
Trading Reference Links
|
In a message dated 98-08-10 18:05:53 EDT, GREHERT writes:
<<
In a message dated 98-08-10 08:28:39 EDT, you write:
<< I don't want to be too much of a smartass, and there is nothing personal
behind this but: "I don't have time to read sytems' backtesting results
unless the rules are clearly posted." >>
Well I guess you are right and a smart ass so here's the system. Let's call
it:
"The Simple S&P Key Reversal System". (I tell everyone these systems because
they are so basic that revealing them shouldn't effect their profitability.
If anyone has any thoughts on that point I'd be interested in hearing it.)
=========================================================
"The Simple S&P Key Reversal System"
A.) Buy on the Close If: C[1] < .96* HIGHEST(H,22)[1] and L <
LOWEST(L,2)[1]
and c > c[1]
B.) Sell on the Close If: BarsSinceEntry = 4 or C < .97*ENTRYPRICE or you
get a signal to go short
C.) SellShort on the Close If: H>HIGHEST(H,3)[1] and C < C[1]
and DECLINES/ADVANCES > 1.22
D.) CoverShort on the Close If: BarsSinceEntry = 3 or you get a signal to
go long
It's been optimized for the best parameters but it works well with different
parameters.
So what does it mean? One line at a time:
A.) Buy the Close when the market is off 4% and you have a bullish key
reversal (with the low less than the low of the previous *2* days)
B.) Sell on th Close on day 4 or if it closes with > 3% loss
C.) SellShort the Close any bearish key reversal (with the hi greater than
the hi of the previous *3* days) if also Declines/Advances > 1.22 (which means
Declines to Advances is around 5 to 4 or 6 to 5 - at least a slightly negative
day)
=========================================================
This optimized system has the following (abreviated) statistics:
S&P INDEX 01/05/91 - 08/07/98
Performance Summary: All Trades
Total net profit $ 479.14 Open position P/L $ 8.02
Gross profit $ 521.86 Gross loss $ -42.72
Total # of trades 54 Percent profitable 70%
Number winning trades 38 Number losing trades 16
Avg trade(win & loss) $ 8.87 Max intraday drawdown $ -23.00
Profit factor 12.22 Return on account 2083%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Performance Summary: Long Trades
Total net profit $ 234.12 Open position P/L $ 8.02
Gross profit $ 235.73 Gross loss $ -1.61
Total # of trades 21 Percent profitable 90%
Number winning trades 19 Number losing trades 2
Avg trade(win & loss) $ 11.15 Max intraday drawdown $ -21.36
Profit factor 146.42 Return on account 1096%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Performance Summary: Short Trades
Total net profit $ 245.02 Open position P/L $ 0.00
Gross profit $ 286.13 Gross loss $ -41.11
Total # of trades 33 Percent profitable 58%
Number winning trades 19 Number losing trades 14
Avg trade(win & loss) $ 7.42 Max intraday drawdown $ -20.04
Profit factor 6.96 Return on account 1223%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Now I'm not recommending that anyone go out and trade this system. It's just
food for thought, a starting point, an educational exercise for those
interested in system development
Good trading
Jerry Rehert (grehert@xxxxxxx)
Check out my WebPage (UPDATED 8/2/98): http://members.aol.com/grehert/
August 10th, 1998 @ 05:33 pm
Atlanta,GA >>
From: GREHERT@xxxxxxx
Return-path: <GREHERT@xxxxxxx>
To: atorchio@xxxxxxxxx
Subject: Re: Introducing "The Simple S&P Key Reversal System"
Date: Mon, 10 Aug 1998 18:05:53 EDT
Mime-Version: 1.0
Content-type: text/plain; charset=US-ASCII
Content-transfer-encoding: 7bit
In a message dated 98-08-10 08:28:39 EDT, you write:
<< I don't want to be too much of a smartass, and there is nothing personal
behind this but: "I don't have time to read sytems' backtesting results
unless the rules are clearly posted." >>
Well I guess you are right and a smart ass so here's the system. Let's call
it:
"The Simple S&P Key Reversal System". (I tell everyone these systems because
they are so basic that revealing them shouldn't effect their profitability.
If anyone has any thoughts on that point I'd be interested in hearing it.)
=========================================================
"The Simple S&P Key Reversal System"
A.) Buy on the Close If: C[1] < .96* HIGHEST(H,22)[1] and L <
LOWEST(L,2)[1]
and c > c[1]
B.) Sell on the Close If: BarsSinceEntry = 4 or C < .97*ENTRYPRICE or you
get a signal to go short
C.) SellShort on the Close If: H>HIGHEST(H,3)[1] and C < C[1]
and DECLINES/ADVANCES > 1.22
D.) CoverShort on the Close If: BarsSinceEntry = 3 or you get a signal to go
long
It's been optimized for the best parameters but it works well with different
parameters.
So what does it mean? One line at a time:
A.) Buy the Close when the market is off 4% and you have a bullish key
reversal (with the low less than the low of the previous *2* days)
B.) Sell on th Close on day 4 or if it closes with > 3% loss
C.) SellShort the Close any bearish key reversal (with the hi greater than
the hi of the previous *3* days) if also Declines/Advances > 1.22 (which means
Declines to Advances is around 5 to 4 or 6 to 5 - at least a slightly negative
day)
=========================================================
This optimized system has the following (abreviated) statistics:
S&P INDEX 01/05/91 - 08/07/98
Performance Summary: All Trades
Total net profit $ 479.14 Open position P/L $ 8.02
Gross profit $ 521.86 Gross loss $ -42.72
Total # of trades 54 Percent profitable 70%
Number winning trades 38 Number losing trades 16
Avg trade(win & loss) $ 8.87 Max intraday drawdown $ -23.00
Profit factor 12.22 Return on account 2083%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Performance Summary: Long Trades
Total net profit $ 234.12 Open position P/L $ 8.02
Gross profit $ 235.73 Gross loss $ -1.61
Total # of trades 21 Percent profitable 90%
Number winning trades 19 Number losing trades 2
Avg trade(win & loss) $ 11.15 Max intraday drawdown $ -21.36
Profit factor 146.42 Return on account 1096%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Performance Summary: Short Trades
Total net profit $ 245.02 Open position P/L $ 0.00
Gross profit $ 286.13 Gross loss $ -41.11
Total # of trades 33 Percent profitable 58%
Number winning trades 19 Number losing trades 14
Avg trade(win & loss) $ 7.42 Max intraday drawdown $ -20.04
Profit factor 6.96 Return on account 1223%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Now I'm not recommending that anyone go out and trade this system. It's just
food for thought, a starting point, an educational exercise for those
interested in system development
Good trading
Jerry Rehert (grehert@xxxxxxx)
Check out my WebPage (UPDATED 8/2/98): http://members.aol.com/grehert/
August 10th, 1998 @ 05:33 pm
Atlanta,GA
|