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When I first joined this list there was an interest in Mechanical
Trading Syatems and I would post the results of the Commercial ones I
was using. I had always thought of Realtraders as being a place where
such things could be shared.
Likewise I thought that on occasion people would perhaps post sytems
that looked decent in backtesting. While I know many
have "proprietary" systems which they choose not to share , they may
have others which showed promise and could use the help of others
more knowledgeable...and if posted all would benefit.Other than
various indicaters and other tools there has been a lack of system
posting...regardless of their merit.
In the interests of perhaps starting a trend of posting such systems
that look decent but may not be any trader's stock and trade [bread
and butter], I am going to post in its full context an S&P Day system
polished up by Gene Pope and with his permission which was based
initially upon the Support/Resistance formulas I had posted some time
ago. Since this was an intra Realtrader development, I thought it an
ideal one to share.
1. It looks decent in backtesting and DD is low.
2. While it may not be 100% useful as a stand alone system it may
have merit as an addition to a portfolio with excess margin...which
is my area of use for it.
3. It still needs to walk forward in 2002 testing.
My hope is that it may stimulate interest in systems sharing without
prying too deeply into the depths of another's pockets. Although I am
sure that even if someone posted their best that it is likely to be
altered somehow by people and the fear of too many people on this
list using a system to its detriment may be an overstated one.
For myself, I have a couple of proprietaries and many that show
promise and need help. Depending upon how this goes, we may all be
able to share at a higher level
Likewise if anyone can make what is posted better it would be a
welcome addition to all of our libraries.
The info should be in the Forward and I trust the system and zipped
file will follow. If it does not , then I will post it separately.
Sincerely,
John
------------------ Forward Header --------------------
Originally From: "Gene Pope" <gene@xxxxxxxxxxxxx>
Subject: Re: Cappello numbers
Date: 08/27/2002 09:13pm
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To: "John Cappello" <jvc689@xxxxxxx>
Subject: Re: Cappello numbers
From: "Gene Pope" <gene@xxxxxxxxxxxxx>
Date: 08/27/2002 09:13pm
Hello John,
Well, here you go, all wrapped up in a nice ribbon!
I had some decent results while polishing up the code.
I've included a bunch of files to show you what we have so far.
The files are as follows (inside one zip file attached):
1) cappello_rs_03.els: This is the ELS file for your system. All the best
inputs have been defaulted. If you only use TS4.0 let me know and I'll
resend it as a text file that you can clip and paste.
2) Cappello_RS_03.xls: This is the Performance Report trading SP, in excel
format.
3) Cappello_RS_03_EQ.gif: This is a snapshot of the Equity Curve.
4) Cappello_RS_03_UW.gif: This is a snapshot of the Underwater Curve.
5) Cappello_TSX.gif: A snapshot of a typical full range entry and exit, also
showing the blue trailing stop in action.
6) Cappello_ATRx.gif: Snapshot of two protective stop exits to show how nice
and tight they act if the entry is wrong.
7) Cappello_Early_X.gif: Final snapshot showing how the trailing stop kicks
in early to protect profit.
My Analysis:
This is a pretty decent SP system, considering that it only is in the market
1.6% of the time (!!)
I basically took your concept and added every trick I know to manage the bad
entries, with the result that the equity curve basically stays nice and
tight. Drawdowns are very controlled, as you can see by the Underwater
Equity curve, any monthly drawdown is rarely more than 2%, which is very
nice.
I also found an optimum way to determine whether the first "bar" of the day
should be counted as within the bands, which works better than a simple test
of the open or close of the first bar.
The sharpe ratio, using Bob Fulks' version, which is more accurate than the
TS version, gradually climbed up to 1.87 which, considering how much time is
spent out of the market, is a very good number.
The max. drawdown is only $8k, again, also very good.
I'm going to do a Monte Carlo simulation on this system tomorrow, to
determine statistically just how likely any level of drawdown truly is, but
I predict a decent result.
I basically tried every type of protective stop. But the best was a
chandelier ATR system, which you are probably familiar with. If you look at
the code, you'll see that we still keep your 4R/4S stops as well, which do
kick in once and a while.
Finally, I encourage you to try changing the MaxTradeCount input to see the
effect. The very smoothest Equity curve and highest risk/reward ratio came
from only trading once per day. Interestingly, adding one more trade per day
did not add that much to the Net Profit, while drawdown etc. increased.
As you can see, I found that this backtested the best on SP (which is not
easy, so that's another plus). On the ND, the results were choppier, and I
do not have 4 years of data on the Treasuries, so by all means, please let
me know your test results as well, or any changes/improvements you wish to
make.
Feel free to share this code, as long as credit if given for writing it.
Thanks for sharing your ideas John, and I look forward to continued work
with you.
Best regards,
Gene Pope
CAPPELLO_RS_03.zip
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