[RT] Re: [MedianLine] BobR's 1% Moves

["Clyde Lee\(SBCY\)" <clydelee@xxxxxxxxxx>]

For those of you who might have played around with 
the 1% system
that I posted, get ready to be amazed.
 
I did an optimization on the DAILY S&P 
futures.
 
Leaving the parameters the same I loaded 30 minute 
bars ES data
into the same workspace to replace the S&P and 
the attached is
what I got.
 
Using the system on daily was just so-so.  
Using the system on 30
minute bars seems exceptionally good.
 
Bob, you are awake! ! ! !
 
Clyde
- - - - - - - - - - - - - - - - - - - - -  - - - - - - -Clyde 
Lee   
Chairman/CEO          (Home of 
SwingMachine)SYTECH 
Corporation          email: <A 
href="mailto:clydelee@xxxxxxxxxxxx";>clydelee@xxxxxxxxxxxx  7910 
Westglen, Suite 105       
Office:    (713) 783-9540Houston,  TX  
77063               
Fax:    (713) 783-1092Details 
at:                      
www.theswingmachine.com- - - - 
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<BLOCKQUOTE 
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
  ----- Original Message ----- 
  <DIV 
  style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
  BobR 
  
  To: <A title=MedianLine@xxxxxxxxxxxxxxx 
  href="mailto:MedianLine@xxxxxxxxxxxxxxx";>MedianLine@xxxxxxxxxxxxxxx ; <A 
  title=swingmachine@xxxxxxxxxxxxxxx 
  href="mailto:swingmachine@xxxxxxxxxxxxxxx";>swingmachine-list ; <A 
  title=realtraders@xxxxxxxxxxxxxxx 
  href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx 
  
  Sent: Tuesday, January 07, 2003 12:53 
  PM
  Subject: Re: [MedianLine] BobR's 1% 
  Moves
  
  Looking at the %adv decl and %VIX suggests a 
  rally this afternoon.
   
  bobr
  <BLOCKQUOTE 
  style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
    ----- Original Message ----- 
    <DIV 
    style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
    Clyde Lee 
    
    To: <A 
    title=swingmachine@xxxxxxxxxxxxxxx 
    href="mailto:swingmachine@xxxxxxxxxxxxxxx";>swingmachine-list 
    Sent: Tuesday, January 07, 2003 9:45 
    AM
    Subject: [MedianLine] BobR's 1% 
    Moves
    
    I got interested in what Bob was showing and 
    wrote the little system
    which is included below ( .ela file 
    attached).
     
    Basically you can specify a percent change over 
    n bars as a trigger to
    trade in the direction of the change.  
    Because of the high risk I have
    included a stoploss facility and a take profit 
    ability.
     
    The attached picture clearly shows that  
    1%  is the magic figure.
     
    Have fun and let us know the results from 
    something other than SP.
     
    I did test the idea in the inverse direction 
    and that was horrible.
     
    Clyde
     
     { System:  Percent_Change   Author:  Clyde Lee, Copyright 2003, SYTECH Corporation           Permission to distribute is granted so long as           entire code and comments are distributed.  Purpose:  Test concept that an entry after an N% move           (close to close) over M bars will yield a profit.} Input: NBars(1),     {Number of bars over which to measure % change}       PercChng(1),  {Percent change minimum for entry             }       LossMult(0),  {MM stop loss from entry price -- multiplier  }                     {of ATR if length for ATR is specified.       }                     {Percent of price if ATR length is zero.      }       TakPMult(0),  {Take profit multiplier -- see above          }       LengATR(21);  {Length for ATR computation -- see above      } Vars:   ATRValu(0); {ATR value or close/100 for computation of stop/take profit}If LengATR>0   then ATRValu=AvgTrueRange(LengATR)  else ATRValu=C*.01; {Calculate % change over NBars bars}Value1=(c-C[NBars])/C*100;Value2=(c-C[NBars])/C*100;{Long trade maybe???}If Value1>=PercChng and Value1[1]<PercChng then begin !
; If MarketPosition<=0 then Buy  Next Bar at Open;End;{Short trade maybe???}If Value2<-PercChng and Value2[1]>-PercChng then begin  If MarketPosition>=0 then Sell Next Bar at Open;End;{Only worry about stop loss and take profit if in trade}If MarketPosition>0 then begin {Do stoploss if requested} If LossMult>0 then begin  Value5=ATRValu*LossMult;  If MarketPosition>0 then ExitLong  Next Bar at EntryPrice-Value5 Stop;  If MarketPosition<0 then ExitShort Next Bar at EntryPrice+Value5 Stop;  End; {Do takeprofit if requested} If TakPMult>0 then begin  Value5=ATRValu*TakPMult;  If MarketPosition>0 then ExitLong  Next Bar at EntryPrice+Value5 Limit;  If MarketPosition<0 then ExitShort Next Bar at EntryPrice-Value5 Limit;  End;End; 
     
    - - - - - - - - - - - - - - - - - - - - -  
    - - - - - - -Clyde Lee   
    Chairman/CEO          (Home of 
    SwingMachine)SYTECH 
    Corporation          email: 
    <FONT face=Arial 
    size=2>clydelee@xxxxxxxxxxxx  
    7910 Westglen, Suite 105       
    Office:    (713) 783-9540Houston,  TX  
    77063               
    Fax:    (713) 783-1092Details 
    at:                      
    <FONT face=Arial 
    size=2>www.theswingmachine.com- - - - 
    - - - - - - - - - - - - - - - -  - - - - - - - 
  -






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