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Does anyone else have test results for S&P breakouts?
Here's one that tests well. My intent here is not to defend this system ad
infinitum,or argue it's merits - I'm just interested in finding out if others
have similar results.
S&P Long Breakout test 1801077:
Entry rule: Go long when price moves upward through 17 day high.
Stop loss: Exit with a loss when price moves down through 3 times the 5 day
average true range,
(cluculated on entry day) or exit after 15 trading days if
profit stop not hit.
Profit stop: exit after 5 up closes (compared with preceding days close)
My test methodology is to optimize over a third of the data, take the best
results, and forward test over
2/3 of the data.
My forward test for this system gained $950 per trade, $86447 total, over 91
trades, 60 winners, 31 losers.
No commissions or slippage in this figure. Both backtest and out of sample
testing and about 2/3 winning trades.
And yes, that stop may be too wide for some trading styles.
Any comments?
..Mark
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