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Ehler's provided some very limited stats in
the TASC article. He did some testing on equities and it made money, but
someone should code up a little system to test it on the ES and NQ, SP, ND and
compare because tests on the emini vs big daddy or big mama contracts can be
quite different. I nominate Clyde to do the testing and to put in a
whipsaw filter and some stops so we can all avoid those congestions.
Ehler's test was on 100 stocks from Jan 2, 1998 to Jan 2, 2001, taking long side
trades only, using end of day data, there were 1,317 trades of which 37.5% were
profitable with no curve fitting. He says the MAMAFAMA trades about 4.4
times a year on the long side. The article doesn't say what stocks or how
they were selected for the test or whether there were any stops used.
bobr
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Steve
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Monday, August 27, 2001 4:33
PM
Subject: Re: [RT] Gen - EWosc
suggestions
Bob, do you have any backtesting statistics for
the mamafama?
Thanks
Steve
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=bobrabcd@xxxxxxxxxxxxx
href="mailto:bobrabcd@xxxxxxxxxxxxx";>BobR
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Monday, August 27, 2001 6:30
PM
Subject: Re: [RT] Gen - EWosc
suggestions
Her's a shot with the EWosc on the 3 minute ESU1 from
midnight(pacifictime). The red and blue line on the ES is the
Ehler's MAMAFAMA. Eventhough there wasn't much range today a
couple of profitable trades couldhave been made. The resolution on
the .gifs might be screwed up. Thatcomes from having 4 computers
on a LAN with monitors of different sizes andsettings and I haven't
taken the time to figure out how to make the .gifssized
consistantly.bobr----- Original Message -----From: "John
Clemens" <jbclem@xxxxxxxxxxxxx>To:
<realtraders@xxxxxxxxxxxxxxx>;
<MedianLine@xxxxxxxxxxxxxxx>Sent: Monday, August 27, 2001 3:10
PMSubject: Re: [RT] Gen - EWosc suggestions>
Bob:>> I couldn't find the ELA for the EWOsc you mentioned
being posted. I have> the 5/35 osc programmed, but I'm not sure
what the 80% bands are that you> mention. Would you might
posting the ELA again, or sending it to me(I'm> assuming that you
were the one who posted it).>> Thanks,
John>>> ----- Original Message -----> From:
"BobR" <bobrabcd@xxxxxxxxxxxxx>> To:
<realtraders@xxxxxxxxxxxxxxx>;
<MedianLine@xxxxxxxxxxxxxxx>> Sent: Saturday, August 25, 2001
3:31 PM> Subject: [RT] Gen - EWosc
suggestions>>> > Here are some suggestions to
consider on use of the EWosc posted> yesterday.> > Other
input is welcome.> >> > 1.> > Use the (H+L)/2
input when price levels in the data set are in the same> >
ballpark as in intraday data, and use Log((H+L)/2) when they are in>
> different ballparks such as on daily or weekly or monthly charts
whenthe> > data set goes back years and decades.> >
2.> > Set the K input to 0.8 for "80%" bands. The default is
1.0 or "100%"and> > you may want to leave it there too for
different instruments. The bands> are> > considered
strength or breakout bands. Lower levels trigger earlier> >
breakouts.> > 3.> > Insert the EWosc 3 times and use 3
different length inputs. Theselengths> > were for 60
minute bars and day bars, but may also apply to shorter> >
intervals.> > 5/17 for scalpers and little guys with tight
stops> > 5/35 for position traders of 1 to 2 days> >
10/70 for commercials> > 4.> > Lay horizontal lines at
the -1.4 level when the trend is up. Place itat> > +1.4
when the trend is down. This line is the "shakeout" line for
the> > little guys when the commercials are jerking price around
forpositioning> > like occurred on Friday. When the
Little Guy is shaken out but the> > Commercial Osc is still above
the -1.4 and turns up and crosses zero and> > then crosses the
upper breakout band like on Friday, well, you get the> >
picture.> > 5.> > When the Commercial Osc is above the
upper band, price is in wave 3.You> > want to be long in wave
3 and ride with the commercials as they are in> > control.
Watch for divergences between price and the Oscillators>
indicating> > the end of wave 3.> >> >>
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