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<FONT face=Arial color=#0000ff
size=2>JO,
Thanks
for posting your work. I have a few questions for you:
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- How
many times did this system trade in the 10 year period?
- Did
you optimize any variables? If so, how did the results hold
up in the out of sample data?
-
Since the gains are concentrated in the last three years of trading, are
you concerned that the system might be "fitted" to the current market
conditions and that the system might not adapt well to changes which do
occur?
As
a side note, does anyone have data that is older than 10 years to test
this on (you could substitute the S&P Cash index for the SPY since that has
a limited history)? I'd be curious to see how this system
performed.
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I am
writing this email not to appear critical of your post but rather to try to
constructively analyze your system. I look forward to your
comments.
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Good
Trading,
<FONT face=Arial color=#0000ff
size=2>
Joe
J.
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<FONT face=Tahoma
size=2>-----Original Message-----From: manohohman
[mailto:kelols@xxxxxxxxxxx]Sent: Thursday, November 13, 2003 10:48
PMTo: Metastockusers@xxxxxxxxxxxxxxxSubject:
[Metastockusers] Here's an SPY trading SystemRoy
(code refinement) and I (theory and application) took Zweig's old 4%
indicator based on the Valueline Geometric Index, updated it, added a
twist to it and refined it for trading the SPY Daily.Here's how it
works. 1. Instead of the Valueline Geometric Index, this system uses
the Valueline Arithmetic Index. (This is an important difference!) This
index is $VLE on Esignal. (I don't know what it is on whatever free
service you've found so don't ask me.) 2. Once you've opened that
Index on a daily chart, color the price line (not bars) red, create the
following expert, and apply it.Highlight Code
GreenX:=If(Cum(Ref(C>Lowest(C)*1.04 OR
C<Highest(C)*.96,-1))=0,If(C>Lowest(C)*1.04,1,
If(C<Highest(C)*.96,-1,0)),If(PREV=1,If(C<HighestSince(1,PREV<1,C)*.96,-1,PREV),
If(C>LowestSince(1,PREV>-1,C)*1.04,1,PREV)));I:=Cum(1)<=2;State:=BarsSince(X=1
OR I)<BarsSince(X=-1 OR I)+(Cum(X=1)=1);State;3. Since March
your price line should be green, except for two red down turns. 4.
To this chart apply a simple 20 ma. 5. Open another chart of the SPY
daily. Create a new window on the Valueline chart, copy the SPY daily and
paste it into the new window on the Valueline Chart. Close the SPY
chart.6. Here are the trading rules. You must follow them exactly. A
buy signal is created when either the price line turns green or crosses
the 20 dma. You take which ever signal comes first. It doesn't
matter.A sell signal comes when the price line turns red or crosses
below the 20 dma. It doesn't matter which comes first. You take the first
signal from either indicator. You sell the long and take the short. If
you're trading in a retirement account, you can't short but you can buy
Rydex, Profunds or Potomac on the short side. 7. To avoid whipsaws,
you can use a pyramiding technique of buying one third of your buyin at a
time. It will limit losses on the whipsaws but reduces your overall return
somewhat. It's all in your risk profile. You decide.7. Since you
can't buy the Valueline Arithmetic Index you buy the SPY on the Valueline
entry and exit signals. 8. Don't apply this to any other security
except the SPY.9. How good does it work? Over the last 10
years, it's averaged 22% a year, with one small losing year and 40% plus
gains the last 3 years. Just take whichever signal occurs first, either
the green indicator signal or the 20 dma crossover. This is as
simple as TA gets. Use it to your advantage. I got this by paying
attention to some of my systems development books. It's about twice as
profitable as Zweig's original method, and is about 3 times more
profitable than buy and hold.Now isn't this why you bought MS in the
first place. I know, don't tell me, all of you arrogant wizard traders
won't waste your time on a measely 22% a year unless I can hang a 1 in
front of the 22. No, you killer TA masters are going to make buckets of
money! Really, well here's an article to put that theory to
rest.www.investorhome.com/psych.htmRead this article on
behavioral finance and see what arrogance gets you......This
system is free, my momma could make money with it, and now you don't have
any excuses for losing dough. JOTo
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