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Omega-List,
Oddball is wonderfully simple yet remarkable system - thank you Mark for
your insight. I have tried to improve it's % profitable while not changing
it priciples and have found the following to be helpful.
Below is an addition I made to the code. All it does is:
1) Look at the Average ROC of the RL[1] and make sure it is under a certain
level for longs and over a certain level for shorts otherwise stay with the
original position.
2) Check the bar just prior to taking the trade to see if it held above a
certain level for longs and below a certain level for shorts otherwise stay
with the original position.
3) I don't have a latest time restriction set - this was an error, on my
part, but I have found better results this way. FWIW
** I realize it introduces additional variables, and this is a drawback, but
it only evaluates what is already being measured.
here is the code:
{========================================================}
{ Data1 = S&P 500.
Data2 = NYSE Advancing Issues}
If time > 0930 and time <= 1600 then begin
Inputs: RL(7), BZ(3), SZ(1), PBZ(35), PSZ(-13), PSRL(12), PBRL(-8);
if RateOfChange(Close Data2, RL) > BZ
and Average(RateOfChange(Close Data2, RL)[1],RL) < PBZ
and RateOfChange(Close Data2, RL)[1] > PBRL
then buy this bar;
if RateOfChange(Close Data2, RL) < SZ
and Average(RateOfChange(Close Data2, RL)[1],RL) > PSZ
and RateOfChange(Close Data2, RL)[1] < PSRL
then sell short this bar;
end;
{==========================================================}
I ran it on SPY and it usually increased the % accuracy by 1-4% and profit
factor by .05-.30, reduced the # of trades, reduced avg loss. I only
backtested it to 12/6/2000. These results are a couple of weeks old.
======================================================
Original: (500 shares, comm .01249 slippage .0001)
Total Net: $33619.15
Total Gross: $76057.78
Trades W/L: 203/107
Pct Profit: 52.71%
Profit Factor: 1.79
Modified Version: (500 shares, comm .01249 slippage .0001)
Total Net: $38515.23
Total Gross: $76550.73
Trades W/L: 191/102
Pct Profit: 53.40%
Profit Factor: 2.01
=========================================
Try it if you like, I of course guarantee nothing. I would love to see
results backtested much further if someone is so inclined.
Finally, if you think this change is useful I have another addition which
improves it futher (about the same magnitude of this change), which I could
post (it also uses ROC only).
Good Luck,
Doug
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