Example that works

Discussion in 'Strategy Development' started by asenft, Dec 31, 2003.

  1. asenft


    Are there easylanguage examples out there that work (give back decent returns consistently)? I'm willing to pay for them (if from a commercial web site) if they are kick ass....

  2. Not an EL example but this company sells the "Helix" trading system http://www.foundertrading.com/Helix.html >
    ES Hypothetical Results Inception through 11/30/2003
    Longest flat period: 6 days, 17 hours, 50 mins :) Look at the Equity Curve...

    However I don't understand one thing here. They describe the strategy:

    "Helix is a combination of both trend-following and counter-trend systems. The twelve different subsystems that comprise Helix include strategies revolving around breakouts, reversals, pivot points, and the previous day's price action."

    In the performance report 'Max Contracts Held' = 1. As far as I know TS7 is still not able to backtest 12 subsystems simultaneously, only 1 at a time. Also Total Net Profit is suspiciously big for a system that trades only 1 contract at a time... $233k = 4660 points.
  3. abogdan


    Hi Andy:

    Here is the code you can try:

    inputs: Length( 3), Multiplier(0.5);

    Vars: Offset(0);

    OFFSET = XAverage((H-L), Length);

    Buy next bar at (((C+L+H)/3) - Multiplier*Offset) Limit;
    SellShort next bar at (((C+L+H)/3) + Multiplier*Offset) Limit;

    If MarketPosition = 1 Then Begin

    Sell This Bar On Close;


    If MarketPosition = -1 Then Begin

    BuyToCover This Bar On Close;

    Choose MSFT as your stock, set it to 15 min bars, 100 days (or more) back. Set your commissions to $0.005 per share, do not allow multiple entries and look at the performance!
  4. samaras


    Could you please tell me in simple english what that code does? What is Xaverage?
  5. mmillar


  6. Samaras,

    XAverage is the exponential moving average.

    The Offset = the exponential moving average of the High minus the Low of the last 3 bars of any time frame.

    I think he's taking the pivot point((close + low + high)/3) of each previous bar and adding or subtracting that value with 1/2 of the Offset value.

    I wish I'm right.....

    Good Luck!

  7. samaras


    Thanks for explaining. I knew that the logic looked familiar. There is a whole group of systems on my WLD3 called "Simplicity ... Take xxx" and they are all based on this logic. I wonder if abogdan got the idea from there? 'The systems where published by Vince Castelli who should receive credit for that. Anyone interested in Carovas work can take a look at his profil http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/profile?user=Carova. The systems have little exposure, but impressive results. Currently I am researching this kind of systems, very interesting!