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JO - isn't it an EOD system?
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Joe J.
To: <A
title=equismetastock@xxxxxxxxxxxxxxx
href="">equismetastock@xxxxxxxxxxxxxxx
Sent: Tuesday, November 18, 2003 9:30
PM
Subject: RE: [EquisMetaStock Group] Re:
simple SPY trading system using Bolinger Bands
<FONT face=Arial color=#0000ff
size=2>JO,
Not
to defend the poster of the BB system but as I see it, he has some
variables in his system and you have some in yours (in fact all systems have
rules - i.e., variables). Just because you decided not to
change the 4% (why not 2% or 5%? - remember too that Ziewg probably
optimized the 4% number to begin with) or the 20dma, doesn't mean that
your system is better/worse on its face than the BB
system.
<FONT face=Arial color=#0000ff
size=2>
That
being said, you make some good points about testing the robustness
of the system. I ran this on the five minute SPY bars from 11-3 to
11-17 (857 bars) in a points only test and it made
a woeful .38 points on 69 trades. The win percentage was
almost 61%.
<FONT face=Arial color=#0000ff
size=2>
In
looking at it, one would have a hard time trading this system because you
are shorting while the market can be screaming up (and vice-versa) and you
have no means of a stop to get you out - you have to wait for a
reversal. Thus, I don't disagree with your conclusion with regard to
this system.
<FONT face=Arial color=#0000ff
size=2>
Good
Trading,
<FONT face=Arial color=#0000ff
size=2>
Joe
J.
<SPAN
id=hbblock>
<FONT face=Tahoma
size=2>-----Original Message-----From: manohohman
[mailto:no_reply@xxxxxxxxxxxxxxx]Sent: Tuesday, November 18, 2003
1:48 PMTo: equismetastock@xxxxxxxxxxxxxxxSubject:
[EquisMetaStock Group] Re: simple SPY trading system using Bolinger
BandsThis is an interesting systems as opposed to
the 4% VLE system that I posted. This system has the potential
to be curve fitted. Curve fitting is simply changing variables in the
expert equations, or adding trading rules to a trading system to the
point where the system is tuned only for the historical data it is being
tested on. In this system you have two variables which impact the
outcome. You have the BB periods and BB std devs. Both of which can be
tweaked for one security over a specified range of historical data. BB
systems are easily over optimized. In the 4% VlE system you have
the VLE which can't be manipulated. You have the 4% rule which can't be
changed and you have a 20 dma which is very common. The trading rules
are take whichever signal comes first. So there's only one trading rule.
Once moving average, which was not optimized (ie 20 not 22 or 36 or
whatever) and you have the 4% price differential which is fixed. That
makes it really hard to curve fit it. However, it is not robust in that
it only trades the price movement of the SPY, or the market as a whole,
as it was intended. The BB system is not robust either in that
it is only applied to the SPY. If it were applied to other markets, it
would likely produce much lower results. (Actually I did test it and it
does produce lower results as expected. Since it wasn't presented as a
robust trading system, I didn't bother sharing those results.)
To test the degree of curve fit in the BB, I did a walk-forward
out-of-sample data test and in sample test. Walk-forward tests are
difficult to do with MS because it does not have that as an optional
choice. Here are the results.
Annual B&H Trades
DrwDwn Ten Years 18.24% 5.84%
138/206 >0.003Seven Years 18.67% 10.42%
81/120 0.015OutSamTwo
Years 16.94% -3.62% 25/38
0.041One Year 31.20% -27.4%
14/18 0One Year
18.97% 27.98% 7/12
0.038Six Months 6.65% -6.68%
5/9 0.045Six Months
25.30% 23.00% 10/15 0.016You
have to be careful how short your walk forward periods are because if
they are too short, you'll chop off parts of the drawdowns
periods.In addition, in almost every year tested the lossing
trades, both average and highest, were worse than the winning trades.
However because winning trades out number losing trades the system is
profitable.The TradeStation report on the 4% VLE system is
different from MS reports. It ended its tests in 2002. As I said I
didn't run it, but I have the results. The annual rate of return was
21.7% vs about 6% for the market. Tradestation doesn't give me the exact
raito between winners and losers but it looks like 140 or so out 207
were good trades. In addition, the winning trades returned a much higher
percentage of profit than losses. The 4% VLE system can't be
curve fitted--at least by any conventional means that I am aware of. I
programmed it uniquely using a highlight code which can't be used
direclty in the systems tester. I am thinking about writing an expert
for it and if I do, I will try to put it in a form that can be tested in
MS. The way I want to do it is a little tricky because I am not coding
for the SPY, I will be coding for the VLE and then transfering the entry
and exit points to the SPY. How much fun can one guy
have!Anyway, you can read the data and draw your own conclusions. If
you think that you need to do your own systems tests because you feel
more comfortable with whatever you think you're doing that other
people aren't, please do so, and then share the results. Recognize
that there probably won't be a way to reconcile the differences,and I
just can't help you with figuring out how to do your own tests. If
you don't know how to do these tests, the results probably aren't
going to be reliable anyway. I think the BB system paired with
some other non-curve fit non-colliner indicators might work well for the
SPY. That's my opinion.JO--- In
equismetastock@xxxxxxxxxxxxxxx, "personal592002"
<personal592002@xxxx> wrote:> For your system backtesting
enjoyment:> > Use 6 day Bollinger Bands +/-1.6 stadard
deviations on end of day > data on SPY. Buy at open when the
closing price crosses above the > lower Bolinger Band, sell when the
closing price crosses below the > upper Bollinger Band. Trade both
long and short. Very simple & back > tests great on the
SPY. Ten year performance over 2X that of buy and > hold, 207
trades in ten years 140 of which were profitable....> > Code -
> > Buy & Buy to cover:> >
Cross(CLOSE, BBandBot(CLOSE, 6, SIMPLE, 1.6))> > Sell
& Sell Short:> > Cross(CLOSE, BBandTop(CLOSE, 6,
SIMPLE, 1.6))To unsubscribe from this group, send
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