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Due to several requests from an earlier post about information on the Elder
Triple-Screen System research, I am posting further data here for general
consumption.
I have been testing my version of Elder on a database of 900+ Stocks and a
few major Indices. In my opinion, his Entry Criteria is excellent, but his
Exit strategies leave a bit to be desired. Both of the criteria he suggests
leaves a lot on the table.
For those who asked, I don't have Bond or S&P Futures data, so I haven't
tested it on those. For those who asked about EL code, this "system"
currently only exists in a crudely written TS Indicator format, not a formal
System that could be run in TS or SC.
I couldn't get TS to test Elder or Cooper the way I wanted it to, so I wrote
my own test code. The results on the Dow Industrials for 1997 are below.
In addition to the traditional Yield and Balance for each trade, I also
calculate the Maximum Yield that would have been possible if the best
possible price had been achieved when closing the trade. Not realistic in
the real world, but it gives me a comparison as to how much of the potential
profit he is capturing and how much he is missing. In the INDU below, he
captured 626 Points in 20 trades in 1997-- out of a possible 2285 points.
This is why I'm researching a better Exit Strategy.
Another problem that I found with testing a System with TS when using Daily
Bars is that TS uses the next day's Opening Quote as an Entry Price, where
the actual trade would have used a Price that had been determined two days
earlier and entered the day before. This TS "Bug" also diminished the
profits considerably and is another reason why I wrote my own System code.
--------------------------------------------------------------------------
INDU -- Elder Triple-Screen System -- RunDate 980106 RunTime 1448
Date Activity Yield Balance Days MaxYield MaxBalance
970103 Long = 6468.34
970106 Exit = 6567.18 98.84 98.84 1 150.79 150.79
970106 ---------------
970128 Long = 6708.47
970131 Exit = 6813.09 104.62 203.46 3 165.42 316.21
970131 ---------------
970207 Long = 6773.12
970210 Exit = 6806.54 33.42 236.87 1 103.46 419.66
970210 ---------------
970224 Long = 6950.53
970226 Exit = 6983.18 32.65 269.52 2 95.77 515.43
970226 ---------------
970304 Long = 6918.98
970306 Exit = 6944.70 25.72 295.24 2 68.82 584.25
970306 ---------------
970317 Long = 6956.30
970319 Stop = 6854.58 -101.73 193.51 2 13.91 598.15
970319 ---------------
970324 Long = 6851.68
970325 Exit = 6876.17 24.49 218.00 1 100.78 698.93
970325 ---------------
970408 Short= 6526.01
970409 Stop = 6609.60 -83.60 134.40 1 5.98 704.91
970409 ---------------
970421 Short= 6657.34
970422 Stop = 6721.27 -63.94 70.47 1 40.08 744.99
970422 ---------------
970520 Long = 7242.53
970521 Exit = 7290.69 48.16 118.63 1 110.38 855.36
970521 ---------------
970605 Long = 7312.21
970613 Exit = 7782.04 469.83 588.45 5 487.47 1342.83
970613 ---------------
970625 Long = 7765.59
970626 Stop = 7604.20 -161.40 427.06 1 66.89 1409.72
970626 ---------------
970701 Long = 7729.85
970703 Exit = 7895.81 165.96 593.02 2 166.86 1576.58
970703 ---------------
970722 Long = 7920.95
970723 Exit = 8088.36 167.41 760.42 1 226.40 1802.97
970723 ---------------
970812 Long = 8078.66
970813 Stop = 7948.01 -130.66 629.77 1 17.83 1820.80
970813 ---------------
970929 Long = 7928.87
970930 Exit = 7945.26 16.39 646.16 1 73.36 1894.16
970930 ---------------
971013 Long = 8059.51
971016 Stop = 7994.32 -65.20 580.96 3 55.20 1949.36
971016 ---------------
971106 Short= 7664.27
971111 Exit = 7558.73 105.54 686.50 3 177.00 2126.35
971111 ---------------
971119 Short= 7643.15
971120 Stop = 7755.25 -112.10 574.39 1 18.61 2144.96
971120 ---------------
971215 Long = 7905.00
971217 Exit = 7957.41 52.41 626.80 2 140.69 2285.65
971217 ---------------
==============================================================
At 07:47 am 1/12/98 -1000, you wrote:
>I have also worked extensively with the Elder Triple Screen system -- please
>contact me if you would like to compare notes.
>
>-------------------------------------
>At 09:41 am 1/12/98 -0500, you wrote:
>>
>>I think if you specify Data1 and Data2 for your weekly and daily indicators
>>within your code, respectively, this should work. The only problem I found
>>was when the weekly bar hadn't finished forming, I got a false signal from
>>the weekly (which changed subsequently when the bar finishes on Friday)
>>indicator. Meaning the indicator met my criteria sometime during the week,
>>but then didn't meet it on when the bar finished on Friday's close.
>>
>>This is what I ran into when I tried to code the Elder Triple Screen system
>>and I dropped trading it because I receieve to many false trading signals.
>>
>>Regards,
>>Craig
>
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