|
PureBytes Links
Trading Reference Links
|
Phil,
Looks to me like we have the beginnings of a viable system.
When equity indexes (and individual issues) reach 2 standard deviations (2
SD) there is a 90-95% probability they will revert back toward the mean.
Confirm the turn; initiate a position; then use closely trailing stops.
"Aberrations" occur only during powerful advances, usually following
substantial basing periods. At these times prices may continue to advance
for some time. (Reverse for powerful declines.)
In strong advances, prices may retreat only to 1.5 SD or so. In sustained up
trends, prices usually retreat to the mean.
In neutral (basing, consolidating, rounded topping) markets, prices tend to
oscillate more of less equally above and below the mean, often staying
within 1.5 SD.
In quiet basing periods, prices may stay within 1 SD - now much good for
trading, but a potential set up for "aberration." However, why wait for
prices to exceed 2 SD when we can profit from the breakout to the high risk
2 SD level?
Stan
> -----Original Message-----
> From: listmanager@xxxxxxxxxxxxxxx [mailto:listmanager@xxxxxxxxxxxxxxx]On
> Behalf Of Phil Lane
> Sent: Saturday, March 04, 2000 8:00 AM
> To: <realtraders@xxxxxxxxxxxxxxx>
> Subject: [RT] Re: Simple Trading System [also sold commercially]
>
>
> 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%
>
>
|