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I tested the following system, posted by The Code, on bonds from '88
to '97. Original name was xe3 bonds. It did quite well on the Long
side, not so well on the short side. This is pretty typical of
everything I have tested on bonds - works ok long, barely profitable
or lose money on the short side.
Below is the system again, and the results from tradestation. I used
default inputs, no stops. I cleaned up the code a bit -
Input: FastMA(22);
Input: SlowMA(6);
Input: MacdMA(13);
Input: LENGTH4 (23);
Input: Input2 (46);
IF ( CurrentBar > 1 and
MACD (Close,FastMA,SlowMA) [1] >
XAverage (MACD(Close,Fastma, SlowMA), MacdMA) [1] and
MACD (Close,FastMA,SlowMA) >
XAverage (MACD (Close,FastMA,SlowMA), MacdMA) and
RateOfChange (Close,Length4) > 0 ) Then
BUY NEXT BAR AT THE MARKET;
IF ( CurrentBar > 1 and
MACD(Close,FastMA,SlowMA) [1] <
XAverage (MACD (Close,FastMA, SlowMA),
MacdMA) [1] and MACD (Close,FastMA,SlowMA)
< XAverage (MACD (Close,FastMA,SlowMA),
MacdMA) and
RateOfChange (Close, Length4) < 0 ) Then
SELL NEXT BAR AT THE MARKET;
----------------------------------------------------------------
a Temps Treasury Bonds 30 Yr - CBOT-Daily 09/26/88 - 02/07/97
Performance Summary: All Trades
Total net profit $ 37494.00 Open position P/L $ 1375.00
Gross profit $ 81995.00 Gross loss $ -44501.00
Total # of trades 49 Percent profitable 51%
Number winning trades 25 Number losing trades 24
Largest winning trade $ 11718.00 Largest losing trade $ -5937.00
Average winning trade $ 3279.80 Average losing trade $ -1854.21
Ratio avg win/avg loss 1.77 Avg trade(win & loss) $ 765.18
Max consec. winners 5 Max consec. losers 5
Avg # bars in winners 55 Avg # bars in losers 27
Max intraday drawdown $ -14564.00
Profit factor 1.84 Max # contracts held 1
Account size required $ 14564.00 Return on account 257%
Performance Summary: Long Trades
Total net profit $ 41372.00 Open position P/L $ 0.00
Gross profit $ 62685.00 Gross loss $ -21313.00
Total # of trades 25 Percent profitable 60%
Number winning trades 15 Number losing trades 10
Largest winning trade $ 11718.00 Largest losing trade $ -5937.00
Average winning trade $ 4179.00 Average losing trade $ -2131.30
Ratio avg win/avg loss 1.96 Avg trade(win & loss) $ 1654.88
Max consec. winners 5 Max consec. losers 3
Avg # bars in winners 65 Avg # bars in losers 28
Max intraday drawdown $ -10406.00
Profit factor 2.94 Max # contracts held 1
Account size required $ 10406.00 Return on account 398%
Performance Summary: Short Trades
Total net profit $ -3878.00 Open position P/L $ 1375.00
Gross profit $ 19310.00 Gross loss $ -23188.00
Total # of trades 24 Percent profitable 42%
Number winning trades 10 Number losing trades 14
Largest winning trade $ 5719.00 Largest losing trade $ -4875.00
Average winning trade $ 1931.00 Average losing trade $ -1656.29
Ratio avg win/avg loss 1.17 Avg trade(win & loss) $ -161.58
Max consec. winners 2 Max consec. losers 3
Avg # bars in winners 41 Avg # bars in losers 26
Max intraday drawdown $ -13596.00
Profit factor 0.83 Max # contracts held 1
Account size required $ 13596.00 Return on account -29%
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