E-Rock trading system

7 winning months in a row.. now that means it started making money.. in April. When did the bull market start?
April.

So it's a buy and hold system?


Note it therefor does not make money consistently in bear markets cos if it did they would no doubt tell us...


and the guy says "I'm expecting a drawdown in this system soon, as it's been up for 7 months in a row including this month. We'll see!"

Well yes : if its a bull market system it will not work in sideways /downwards markets..

Maybe I'm a sceptic

 

amazing...

Bsulli, #1 there is no reference to the website in this post. ET does not allow it, so unless you're so curious that you view the source of the graphs, nobody is going to see the website in the first place. #2 since you reference the disclaimer as somehow negative, you're not familiar with the CFTC which is the government agency that requires it by law. It's not a choice to add a disclaimer with performance results. It' s a law.

madf, if this was any way related to a buy and hold strategy, there would be serious drawdown 3/02 to 7/02, which is not the case.

Frankly, I don't care about selling systems. There is so much hostility in the retail trading arena that you can't market anything without being attacked. The reason is the vast majority of people are losing their money they attended college so long to make. Anyone trading from home is competing with Ivy League grads who fight among themselves for trading jobs in Chicago and NYC. The ones who get their foot in the door are unlikely to do it for long as a result of the extreme stress. There are only 8,500 forex traders in the United States. There are 164,000 dentists and 600,000 physicians. You do the math.

Here's the system... have a blast..

Code:

{
	Title:      E-Rock Targets
	Written by: Eric Winchell
	Date:       10/05/2003
	Revision:   1.00
	Status:     N/A
	Purpose:    Exploit $TICK directional indications in S&P 500
}

{
0.01 Failed miserably. Tried to test $TICK as overbought/oversold
     on the 1 minute bars. Seems to indicate continuation instead.

0.02 Now it is buying improbable high $TICK readings and selling
     improbable low readings. Exit strategy is still primitive,
     extended to 2 days instead of 2 hours as these situations seem
     to kick off intermediate trends. Time frame changed to
     15-minutes.

0.03 Now it is switching the position should a new signal occur in the
     opposite direction. Leaving time stop in of 2 days.

0.10 Testing no time stop strategy. Works better, catching bigger moves.

0.11 Adding price protection stop loss based on volatility.

0.12 Attempting to use MA(5) filter. Buy only if the current price is
     a 5-day high or shorts, and a 5-day low for longs. If a 5-day
     high/low are hit after the signal, get in the market. Turns out
     this is not a good filter and the probabilities of the trade
     being a winner do not go up.

0.13 Removed simple price breakout filter. Tested various price-based
     exit strategies. Instead, decided on using stop and reverse coupled
     with very basic price-based protection.

1.00 Filtered out trade entries before 1030. Far too many losers there.
     May be a good time period to study 1 to 5-minute $TICK strategies.
     The time filter made a huge difference, probably because it's now
     allowed to exit but not enter while the ranges are more likely to
     be out of whack.

1.02 Adding price targets. 
}

Inputs: zProbLength(52), trueRangeLength(52), ATRTargetExit(7);
Vars: zProbabilityHigh(0), zProbabilityLow(0), numContracts(1);

{---> Signals and indicators}
zProbabilityHigh = ZProb(High of Data2, zProbLength);
zProbabilityLow = ZProb(Low of Data2, zProbLength);



{---> Order entry algorithm }
{If probability of the high of this $TICK bar is unlikely, buy the next bar on close}
If zProbabilityHigh < 0.02 and Time > 1030 then
	Buy numContracts Contracts at next bar on open;

{If probability of the low of this $TICK bar is unlikely, sell the next bar on close}
If zProbabilityLow > 0.98 and Time > 1030 then
	Sell Short numContracts Contracts at next bar on open;


{LE1 - target}
If MarketPosition = 1 and 
	Highest(High, BarsSinceEntry) > EntryPrice + ATRTargetExit * AvgTrueRange(trueRangeLength) then
	Sell("LE1") CurrentShares Contracts on this bar close;

{SE1 - target}
If MarketPosition = -1 and 
	Lowest(Low, BarsSinceEntry) < EntryPrice - ATRTargetExit * AvgTrueRange(trueRangeLength) then
	BuyToCover("SE1") CurrentShares Contracts on this bar close;

 

Who cares about anything you're saying, man? Nobody seems to care but you. Think about it. This thread was started to track results, nothing more. Don't read into things too much... if you think a thread like this can generate sales after the worst bear market of all time, check your views on what it takes to sell trading systems.

Uhh, check the previous post

 

stop jumping on this guy. yes, he's selling (man almost sounds like drugs lol). but he's been a stand up guy so far and he's not actively soliciting here.

 

An update... system went

short 1032.50 10/22 for -14
long 1032.50 10/23 for -0
and currently -12 on the long position

So my imminent drawdown theory was correct.... currently $1887 drawdown. Max in the 2+ year backtest is $6412.

Current trade sequence is 5th losing trade in a row (and 6 if the current long position is a loser). Max consecutive losing trades in a row in backtest is 6, so I'd bet there's at least one winner around the corner.