I guess not, but I think I remember something later in the thread where they changed it to that. Let me check.
This is their current version in EasyLanguage { CashCow automated trading system Architect: Jack Hershey Version 0.3 12 Dec 2008 New functionality: Context Supression Logic. Diagnostic Module. New enhancements: Better organized code structure for natural reading. Bug fixes: none } //Data Module variables: Stoch5FastK( 0 ), Stoch5FastD( 0 ), Stoch5SlowK( 0 ), Stoch5SlowD( 0 ), Stoch14FastK( 0 ), Stoch14FastD( 0 ), Stoch14SlowK( 0 ), Stoch14SlowD( 0 ), MACDVal( 0 ), MACDMA( 0 ), MACDDiff( 0 ), TimeOK(False), VolumeOK(False), CurrentbarOK(False), LongOK(False), ShortOK(False), DateOK(False); //Formula Module Value1 = Stochastic( H, L, C, 5, 2, 3, 1, Stoch5FastK, Stoch5FastD, Stoch5SlowK, Stoch5SlowD ) ; Value2 = Stochastic( H, L, C, 14, 1, 3, 1, Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD ) ; MACDVal = MACD( Close, 5, 13 ) ; MACDMA = XAverage( MACDVal, 6 ) ; MACDDiff = MACDVal - MACDMA ; //Context Supression Logic if Time > 945 and Time < 1600 then TimeOK = True else TimeOK = False; if Volume of 1 bar ago > 20000 then VolumeOK = True else VolumeOK = False; if currentbar > 2 then CurrentbarOK = True else CurrentbarOK = False; if MACDDiff > 0 then LongOK = true else LongOK = false; //Needs to be validated and then tuned. This is another condition that needs to be added. The MACD>than it's signal line if MACDDiff < 0 then ShortOK = true else ShortOK = false; //Needs to be validated and then tuned. Another, MACD<smamacd Julian dates, not sure what the conversion is, apparently only for testing if date = 1081210 then DateOK = true else DateOK = false; //Only used during testing phase. if CurrentBarOK and TimeOK and DateOK then begin If all those //Entry Logic if VolumeOK then //enter only when volume greater than 'Medium' begin if LongOK and Stoch5FastK crosses above 50 and Stoch5FastK > Stoch5FastD and marketposition = 0 then Buy ( "S5FKLE" ) 1 contract this bar at close ; if ShortOK and Stoch5FastK crosses below 50 and Stoch5FastK < Stoch5FastD and marketposition = 0 then Sellshort ( "S5FKSE" ) 1 contract this bar at close ; end; //Reverse logic If VolumeOK then begin if ShortOK and marketposition > 0 and Stoch5FastK crosses below 50 then sellshort ( "S5FKRS" ) 1 contracts this bar at close ; if LongOK and marketposition < 0 and Stoch5FastK crosses above 50 then buy ( "S5FKRL" ) 1 contracts this bar at close ; end; //Exit Logic { Hold Logic. Tee up stub for later. if absvalue( MACDVal ) < 1.4 then } if {(Stoch14SlowK < Stoch14SlowD) and} (Stoch14SlowK crosses below 80) and marketposition > 0 then Sell ( "S14SKLX" ) 1 contract this bar at close ; if {(Stoch14SlowK > Stoch14SlowD) and} (Stoch14SlowK crosses above 20) and marketposition < 0 then buytocover ( "S14SKSX" ) 1 contract this bar at close ; if marketposition > 0 and Stoch14SlowK crosses below Stoch14SlowD then sell ( "S14KDLX" ) 1 contract this bar at close ; if marketposition < 0 and Stoch14SlowK crosses above Stoch14SlowD then buytocover ( "S14KDSX" ) 1 contract this bar at close ; if marketposition > 0 and Stoch5FastK crosses below 50 then sell ( "S5FKSX" ) 1 contracts this bar at close ; if marketposition < 0 and Stoch5FastK crosses above 50 then buytocover ( "S5FKLX" ) 1 contracts this bar at close ; //Diagnostic Module {Remove brackets and define date to enable. if date = 1081210 then Print(File("c:\log.txt"), time, Stoch5FastK, Stoch5FastD, Stoch5SlowK, Stoch5SlowD, Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD, MACDVal, MACDMA, MACDDiff, " ",Volume[0]); if date = 1081210 then Print(Stoch5FastK, Stoch5FastD, Stoch5SlowK, Stoch5SlowD, Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD, MACDVal, MACDMA, MACDDiff, " ",Volume[0]); } end; //End of Day Module if Time > 1600 and marketposition > 0 then sell ( "EODLX" ) next bar at market; if Time > 1600 and marketposition < 0 then buytocover ( "EODSX" ) next bar at market; Changing the MACDVAl turned mine into a jackpot with 1 loser out of 20
You missed the point entirely. The spx is not a good substitute for the ES in backtesting intraday systems for a variety of reasons, one of which is that the ES has an artificial .25 increment which the spx does not.
Long + Short Starting Capital $147,000.00 Ending Capital $370,019.03 Net Profit $223,019.03 Net Profit % 151.71% Annualized Gain % 2306.60% Exposure 1.29% Cash Interest $0.00 Margin Loan Interest $0.00 Total Commission ($4.36) DividendsPaid $0.00 Number of Trades 21 Avg Profit/Loss $10,619.95 Avg Profit/Loss % 2.11% Avg Bars Held 16 Winning Trades 20 Winning % 95.24% Gross Profit $235,951.82 Avg Profit $11,797.59 Avg Profit % 2.36% Avg Bars Held 14.85 Max Consecutive 18 Losing Trades 1 Losing % 4.76% Gross Loss ($12,932.79) Avg Loss ($12,932.79) Avg Loss % -3.00% Avg Bars Held 39 Max Consecutive 1 Max Drawdown ($40,495.00) Max Drawdown Date 11/13/2008 Max Drawdown % -14.42% Max Drawdown % Date 9/16/2008 Wealth-Lab Score 152,716.00 RAR 178,454.69 Profit Factor 18.2445 Recovery Factor 5.5073 Payoff Ratio 0.7886 Sharpe Ratio 9.0281 Ulcer Index 3.2393 WL Error Term 4.578 WL Reward Ratio 503.8454 Luck Coefficient 3.7049 Pessimistic Rate of Return 6.1224 Equity Drop Ratio 0.0012 Long Only Starting Capital $147,000.00 Ending Capital $281,186.61 Net Profit $134,186.61 Net Profit % 91.28% Annualized Gain % 834.47% Exposure 1.12% Cash Interest $0.00 Margin Loan Interest $0.00 Total Commission ($2.40) DividendsPaid $0.00 Number of Trades 11 Avg Profit/Loss $12,198.78 Avg Profit/Loss % 2.37% Avg Bars Held 20.36 Winning Trades 10 Winning % 90.91% Gross Profit $147,119.40 Avg Profit $14,711.94 Avg Profit % 2.90% Avg Bars Held 18.5 Max Consecutive 9 Losing Trades 1 Losing % 9.09% Gross Loss ($12,932.79) Avg Loss ($12,932.79) Avg Loss % -3.00% Avg Bars Held 39 Max Consecutive 1 Max Drawdown ($40,495.00) Max Drawdown Date 11/13/2008 Max Drawdown % -19.17% Max Drawdown % Date 10/10/2008 Wealth-Lab Score 60,397.82 RAR 74,722.10 Profit Factor 11.3757 Recovery Factor 3.3137 Payoff Ratio 0.9692 Sharpe Ratio 58.3063 Ulcer Index 3.9803 WL Error Term 3.761 WL Reward Ratio 221.8739 Luck Coefficient 3.0144 Pessimistic Rate of Return 3.3135 Equity Drop Ratio 0.0048 Long + Short Starting Capital $147,000.00 Ending Capital $370,019.03 Net Profit $223,019.03 Net Profit % 151.71% Annualized Gain % 2306.60% Exposure 1.29% Cash Interest $0.00 Margin Loan Interest $0.00 Total Commission ($4.36) DividendsPaid $0.00 Number of Trades 21 Avg Profit/Loss $10,619.95 Avg Profit/Loss % 2.11% Avg Bars Held 16 Winning Trades 20 Winning % 95.24% Gross Profit $235,951.82 Avg Profit $11,797.59 Avg Profit % 2.36% Avg Bars Held 14.85 Max Consecutive 18 Losing Trades 1 Losing % 4.76% Gross Loss ($12,932.79) Avg Loss ($12,932.79) Avg Loss % -3.00% Avg Bars Held 39 Max Consecutive 1 Max Drawdown ($40,495.00) Max Drawdown Date 11/13/2008 Max Drawdown % -14.42% Max Drawdown % Date 9/16/2008 Wealth-Lab Score 152,716.00 RAR 178,454.69 Profit Factor 18.2445 Recovery Factor 5.5073 Payoff Ratio 0.7886 Sharpe Ratio 9.0281 Ulcer Index 3.2393 WL Error Term 4.578 WL Reward Ratio 503.8454 Luck Coefficient 3.7049 Pessimistic Rate of Return 6.1224 Equity Drop Ratio 0.0012 The more mods I make to this, a little bit closer do I get to thinking it probably does work. Still not enough data, from 9/1/2008 for the current version see here. I don't actually recall seeing results like these for a 4 month period in all the years I've been backtesting. \/
Ok, we'll go with 2 points, yes, two whole points of slippage. That's $100 of slippage per contract per side. Agreed? Great, it still looks excellent to me: Long + Short Starting Capital $147,000.00 Ending Capital $302,255.30 Net Profit $155,255.30 Net Profit % 105.62% Annualized Gain % 1098.80% Exposure 1.37% Cash Interest $0.00 Margin Loan Interest $0.00 Total Commission ($38,600.00) DividendsPaid $0.00 Number of Trades 21 Avg Profit/Loss $7,393.11 Avg Profit/Loss % 1.70% Avg Bars Held 16 Winning Trades 19 Winning % 90.48% Gross Profit $169,804.03 Avg Profit $8,937.05 Avg Profit % 2.05% Avg Bars Held 14.84 Max Consecutive 10 Losing Trades 2 Losing % 9.52% Gross Loss ($14,548.73) Avg Loss ($7,274.36) Avg Loss % -1.68% Avg Bars Held 27 Max Consecutive 1 Max Drawdown ($36,897.70) Max Drawdown Date 11/13/2008 Max Drawdown % -15.54% Max Drawdown % Date 9/16/2008 Wealth-Lab Score 67,650.29 RAR 80,097.21 Profit Factor 11.6714 Recovery Factor 4.2077 Payoff Ratio 1.2202 Sharpe Ratio 10.6025 Ulcer Index 3.8255 WL Error Term 4.02 WL Reward Ratio 273.3331 Luck Coefficient 4.0031 Pessimistic Rate of Return 5.2324 Equity Drop Ratio 0.0028
You know what I'm thinking, though. I'll go gather some stock data, and see what happens. Well, then the volume won't be right.
So do you do now need to change the thread name to how bwolinsky designed a system based on Jack Hershey that may actually work instead of fraud?