Test results are below. I'm not trying to sell this system, but read the disclaimer anyway PLEASE READ THE FOLLOWING RISK STATEMENT COMPLETELY AND THOROUGHLY HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO PRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. Backtest.gif - 12/15/2000-12/15/2001 Backtest2.gif - same as above except $125 comm/slippage per transaction Backtest3.gif - 1/21/2002 to 2/4/2002 (trades since creation of system) Backtest4.gif - same as above, except $125/comm/slippage per transaction
The logic should be as follows (ela is correct): If: the close and high of the second bar of the day is greater than the close and high of the first bar of the day and the Rate of change(close, length 6) > rate of change (close,6)[1] then buy If: the close and low of the second bar of the day is less than the close and low of the first bar of the day and the Rate of change(close, length 6) < rate of change (close,6)[1] then sell It was late when I "translated" the logic. :eek:
good stuff rcreal, thanks... it's also my experience that the longer time frames produce better results with ES and NQ, and your 135min bar is a nice set up. It can be described within 60 seconds, so looks like you got some robust stuff. Looks like you are closing positions at 4:15...... have you tried if it improves if you close at 4:00? The reason is lots of sharp reversals after between 4:00 - 4:15 due to earnings release etc. So I think if you test closing at 4:00 will better reflect the merit of the system.
rcreal, Nice work. I am surprised the results are so good with only a 2 point stop, particularly using such long bars. What happens if you remove the stop or use a wider one, say 3 or 4 points on the big contract?
TS users may have already heard of this, but oddball is a system designed and disclosed by Mark Brown. Rules and results are documented here: http://www.oddballsystems.com/ It is very similar to what rcreal has posted. 60m bars, ROC of ADVN as the primary signal. Brown's system is always in, however. This leads to capturing some big points during trends, and giving up alot during chop. The overall resutls are very good, but you have to sit through some ugly drawdowns as well. There are, of course, a number of tweaks you can make to move the results around (profit, drawdown, etc). Some of these are discussed on the omega list. You can search for oddball if you're interested: http://www.purebytes.com/archives/
The idea of dividing the day into three 135-min bars was actually the result of speaking with Mark Brown. I've used the ROC and well as DMI of advancing issues, trin, and other breadth measurements for a long time as a filter. If anyone has any improvements to the code I've posted, please share. Any long term test results would be interesting, too.