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I found long time ago that S&P trading systems based *only* on Bollinger
Bands had not worked for me. A little better results can be obtained with
John Bollinger M/W pattern for countertrend entries. Still better, in my
experience,
is to use BB bands on an indicator rather than price (e.g. RSI).
Jan Philipp
----- Original Message -----
From: Phil Lane <patterntrader@xxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Saturday, March 04, 2000 6:59 AM
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%
>
>
>
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