|
PureBytes Links
Trading Reference Links
|
Hi,
I just have found 15-20 minutes to run a GA software on a SP500 10 ticks bars
one month bar chart.
The results are below (point set to $500 instead of 250, no transaction
costs).
More, I give you the EL code for free.
Do not attempt to test this on an other period, chances are that it will fail.
However I'm able to do better (x2 or x3), on a longer period, more trades, but
I'm not interseted to waste my time.
Means that with some extra work, it is not impossible to have theroretical
good results, even wit longer periods (therdore my estimate of more than
20,000 bars to have some valid stats. Here, we have less than 10,000).
Sincerely,
-Pierre Orphelin
www.sirtrade.com
Trader SPU8-10 Tick Bars 07/22/98 - 08/28/98
Performance Summary: All Trades
Total net profit $ 360350.00 Open position P/L $ 750.00
Gross profit $ 786950.00 Gross loss $-426600.00
Total # of trades 1885 Percent profitable 56%
Number winning trades 1053 Number losing trades 832
Largest winning trade $ 19850.00 Largest losing trade $ -5600.00
Average winning trade $ 747.34 Average losing trade $ -512.74
Ratio avg win/avg loss 1.46 Avg trade(win & loss) $ 191.17
Max consec. winners 12 Max consec. losers 8
Avg # bars in winners 6 Avg # bars in losers 4
Max intraday drawdown $ -14300.00
Profit factor 1.84 Max # contracts held 1
Account size required $ 14300.00 Return on account 2520%
vars:per_R(0),slow_K(0),slow_D(0),dm_plus(0),dm_min(0),buy_sell(0),nextpos(0);
per_R=percentr(4);
slow_K=slowk(10);
slow_D=slowd(10);
dm_plus=dmiplus(4);
dm_min=dmiminus(4);
slow_K = (slow_K - 0.29950) / 99.43320 ;
slow_D = (slow_D - 3.57350) / 94.78250 ;
dm_plus = (dm_plus - 0.13060) / 89.69760 ;
IF (0.97 * 0.48) > (slow_K - 1.00) AND
(slow_D * 0.23) < (dm_plus * 0.45) OR
( (0.42 * slow_K) > (0.23 + 0.55) OR
( (0.10 - 0.48) > (0.00 * dm_plus) OR
(slow_K - dm_plus) > (0.87 * slow_D))) then buy else sell ;
Do not pay attention to arithmetics.
I have not polished the GA EL code results above, and I know how to do an
addition.
|