[RT] Simple Trading System [also sold commercially]

["Dr. John Cappello" <jvc689@xxxxxxxxxxx>]

Dear Phil,

I have all the data on this system on many markets and the S&P is among the 
worst performers for it as you have seen.

Sincerely,

John


>From: "Phil Lane" <patterntrader@xxxxxxxxxx>
>To: <jvc689@xxxxxxxxxxx>, <realtraders@xxxxxxxxxxxxxxx>
>Subject: Re: [RT] Simple Trading System [also sold commercially]
>Date: Sat, 4 Mar 2000 06:59:34 -0800
>
>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}
>
>--------------------------------------------------------------------------
>
>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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