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First I modified the code to calculate a realistic position size for each
trade (see the part about "value99"), and then ran it on a daily SP chart
back to 1982. Following is the code and the system report. Don't think I'll
be trading this one.
Inputs: Length(35), StdDevUp(2.0), StdDevDn(-2.0);
Vars: UpBand(0), DnBand(0), Ave(0);
value99=2000/(xaverage(truerange,50)*bigpointvalue);
UpBand = BollingerBand(Close,Length,StdDevUp);
DnBand = BollingerBand(Close,Length,StdDevDn);
Ave = Average(Close,Length);
if ( MarketPosition = 0 ) and ( Close > UpBand )
then Buy("BE") value99 contracts tomorrow at market; {Enter Long}
if ( MarketPosition = 0 ) and ( Close < DnBand ) then Sell("SE") value99
contracts tomorrow at market; {Enter Short}
if ( MarketPosition = 1 ) and ( Close < Ave )
then ExitLong("LX") today at close; {Exit Short}
if ( MarketPosition = -1 ) and ( Close > Ave )
then ExitShort("SX") today at close; {Exit Long}
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Aberration SP_0AV0B.TX-Daily 08/02/1982 - 09/21/1999
Performance Summary: All Trades
Total net profit $-114940.00 Open position P/L $ 0.00
Gross profit $ 216297.50 Gross loss $-331237.50
Total # of trades 112 Percent profitable 27%
Number winning trades 30 Number losing trades 82
Largest winning trade $ 38850.00 Largest losing trade $ -17022.50
Average winning trade $ 7209.92 Average losing trade $ -4039.48
Ratio avg win/avg loss 1.78 Avg trade(win & loss) $ -1026.25
Max consec. winners 3 Max consec. losers 15
Avg # bars in winners 43 Avg # bars in losers 13
Max intraday drawdown $-135550.00
Profit factor 0.65 Max # contracts held 24
Account size required $ 135550.00 Return on account -85%
Performance Summary: Long Trades
Total net profit $ 9917.50 Open position P/L $ 0.00
Gross profit $ 168407.50 Gross loss $-158490.00
Total # of trades 63 Percent profitable 35%
Number winning trades 22 Number losing trades 41
Largest winning trade $ 38850.00 Largest losing trade $ -17022.50
Average winning trade $ 7654.89 Average losing trade $ -3865.61
Ratio avg win/avg loss 1.98 Avg trade(win & loss) $ 157.42
Max consec. winners 3 Max consec. losers 11
Avg # bars in winners 45 Avg # bars in losers 14
Max intraday drawdown $ -80880.00
Profit factor 1.06 Max # contracts held 23
Account size required $ 80880.00 Return on account 12%
Performance Summary: Short Trades
Total net profit $-124857.50 Open position P/L $ 0.00
Gross profit $ 47890.00 Gross loss $-172747.50
Total # of trades 49 Percent profitable 16%
Number winning trades 8 Number losing trades 41
Largest winning trade $ 20667.50 Largest losing trade $ -9090.00
Average winning trade $ 5986.25 Average losing trade $ -4213.35
Ratio avg win/avg loss 1.42 Avg trade(win & loss) $ -2548.11
Max consec. winners 1 Max consec. losers 13
Avg # bars in winners 38 Avg # bars in losers 11
Max intraday drawdown $-125767.50
Profit factor 0.28 Max # contracts held 24
Account size required $ 125767.50 Return on account -99%
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