|
PureBytes Links
Trading Reference Links
|
Let me begin by thanking you for opening up an interesting avenue of
discussion and backing it up with software to demonstrate the effects! I
loaded the ELA and took a look as soon as I read it. My only problem is that
I am unable to even approximate your results. I loaded the ELA with defaults
as provided:
BuyOnNu = 1
YearStrt = 0
LengHHLL = 0
BegYear = 0
EndYear = 99
BegMon = 1
EndMon = 12
Direct = 0
I'm running against cash S&P 83-current while toggling BuyOnNu only +1/-1
and seeing:
+1: 383 trades, 52% profitable, $1722 gprofit, -$1400 gloss, $322 nprofit
-1: 383 trades, 48% profitable, $1400 gprofit, $1722 gloss, -$322 nloss
I'm finding it noteworthy that my toggled results for BuyOnNu only are
mirror image while yours are not. A 4% swing in profitability does not seem
to be statistically significant. It seems logical that a trades of a fixed
time span occurring on the same dates would mirror image the results when
reversed in direction. Shouldn't be a significant difference between the
cash and futures except for the 250 multiplier which would indicate
profit/loss of $80250/$80250, however I do have back adjusted continuous
contracts. I'm using no commission or slippage. I'd like to make sure I am
setup properly to replicate your testing - am I missing something important?
Earl
-----Original Message-----
From: Clyde Lee
To: RealTraders Discussion Group
Date: Saturday, October 03, 1998 9:21 PM
Subject: MKT - The MOON (and SUN) influence on market behavior.
>I have written a system which I call MOONTEST. In its simplest
>form this system buys on the new moon and sells on the full moon.
>Or, by setting the BUYONNU parameter to a negative on we can
>have the system sell on the new moon and buy on the full moon.
>
>The following results cover the SP for the period 1983 to 1998.
>
>When we try to sell on the new moon and buy on the full we end
>up with a whopping LOSS of $176,580.00. But, when we buy on the
>new moon and sell on the full we have a PROFIT of $122,960.00 .
>Don't give me any bull about a long bull market -- either way
>would have taken care of that. How can you explain a swing
>of $299,540 between taking one side versus the other ? ? ? ?
>
>BUYONNU YRSTART NetPrft L:NetPrft S:NetPrft ROA MaxDD
> -1.00 0.00 -176580.00 67190.00 -243770.00 -74.48 -237090.00
> +1.00 0.00 122960.00 217030.00 -94070.00 117.17 -104940.00
>
>BUYONNU MaxL %Prf AvgWTrd AvgTrd AvgLTrd #WTr AvWB #LTr
>AvLB
> -1.00 7 49 3749.97 -461.04 -4520.90 188 9 195 9
> +1.00 8 50 4498.55 321.04 -3791.53 190 9 193 9
|