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Great system what was your max percentage drawdown in 2008-2009 ?.

80% double leverage


See, you don't know the future, you could of bought the DOW in Jan 2000 and only be up 8%. Or I could could be up 80% and bought March of 2009.

My results are based on real research. Also remember I am giving away the systems here ,since I have many better systems.

 

BUY DJ_IND 4/11/2011 1 12380.0500 5/10/2011 1 12684.6800 $304.63 2.46% 262.15% $20,280.10
SELL DJ_IND 5/10/2011 1 12684.6800 6/2/2011 1 12290.1400 $394.54 3.11% 265.26% $20,674.64
BUY DJ_IND 6/2/2011 1 12290.1400 6/8/2011 Still Open 12048.9404 ($241.20) -1.96% 263.29% $20,433.44


Here are the trades since I posted the rules on 4/15/2011.

I included a trade which started on 4/11 and lasted a month in our out of sample results.

 

Let's continue our keltner channel system. We will start our testing with a medium size portfolio of 14 markets as follows:


CT_REV.CSV
TY_REV.CSV
JN_REV.CSV
ZU_REV.CSV
ZN_REV.CSV
EN_REV.CSV
CN_REV.CSV
AN_REV.CSV
FN_REV.CSV
ZC_REV.CSV
LB_REV.CSV
ZA_REV.CSV
ZK_REV.CSV
US_REV.CSV

These are the pinnacle symbols. Next I will be posting the results using a single set of parameters , follow by discussing the optimization of the parameters. We will be discussing these over the next few days.

 

While rushing to slap something together, you modified the Bollinger Band Breakout Classic system, but forgot to modify the variable name. So you're calculating AverageRange but incorrectly calling it StandardDeviation. Sloppy work, unworthy of "The Einstein of Wall Street" http://bit.ly/lEOhL1

 

Are you the same Gyles that used Fiamass brokers' Hamid in London's Finsbury Circle circa 1986-1988 ?. That'd be some coincidence...

 

Your correct , I started with a Bollinger Band Breakout Classic systemand modified it. I just copied it from my working directory and did not modify it. But just to clarify the logic is correct just the name is misleading.

If you were careful you would of noticed the EQLB parameter and virprofit variables. I removed that logic because I am going to cover equity curve feedback in a few posts with this system after I discuss the optimization. Leaving that was sloppy, but I wanted to start this thread moving toward some useful stuff for members and started with the completed system and edited out stuff so I can build it in layers and give the effect of the steps I went though building it.

Corrected Code

Sub KeltnerBBreakOutClassic(SLen,BandMult)
Dim MAAve As BarArray
Dim RangeAve As BarArray
MAAve=Average(Close,SLen,0)
RangeAve=Average(Range,SLen,0)
If Close>MAAve+BandMult*RangeAve Then Buy("LE",1,0,Market,Day)
If Close<MAAve-BandMult*RangeAve Then Sell("SE",1,0,Market,Day)
If MarketPosition=1 And Close<MAAve Then ExitLong("LX","LE",1,0,Market,Day)
If MarketPosition=-1 And Close>MAAve Then ExitShort("SX","SE",1,0,Market,Day)
'***********************************************************************
marketbreakdown2()
'**********************************************************************
End Sub

 

Here are a set of results to use as a starting point for our Keltner system on a basket of markets. We will next discuss optimization of this system and how to select a robust set of parameters. We can use these results as a baseline.

 

Here is the optimization grid, we will analyze it next

 

I think the most profitable optimizations win percentages were mostly very low.

 

Correct, it's a trend following systems winning percentages are 35% to 50% with win loss ratio of 2-1 to 3.5-1. This is the standard footprint of a trend following system