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Hello Douglas,
I'll test it over the weekend bakc thru 94. and please post any other
variations you have.
I hope you have one than avoided the five signals it gave today :)
the mother of all whipsaws.
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxx
--
Friday, May 17, 2002, 3:40:55 PM, you wrote:
DD> Omega-List,
DD> Oddball is wonderfully simple yet remarkable system - thank you Mark for
DD> your insight. I have tried to improve it's % profitable while not changing
DD> it priciples and have found the following to be helpful.
DD> Below is an addition I made to the code. All it does is:
DD> 1) Look at the Average ROC of the RL[1] and make sure it is under a certain
DD> level for longs and over a certain level for shorts otherwise stay with the
DD> original position.
DD> 2) Check the bar just prior to taking the trade to see if it held above a
DD> certain level for longs and below a certain level for shorts otherwise stay
DD> with the original position.
DD> 3) I don't have a latest time restriction set - this was an error, on my
DD> part, but I have found better results this way. FWIW
DD> ** I realize it introduces additional variables, and this is a drawback, but
DD> it only evaluates what is already being measured.
DD> here is the code:
DD> {========================================================}
DD> { Data1 = S&P 500.
DD> Data2 = NYSE Advancing Issues}
If time >> 0930 and time <= 1600 then begin
DD> Inputs: RL(7), BZ(3), SZ(1), PBZ(35), PSZ(-13), PSRL(12), PBRL(-8);
DD> if RateOfChange(Close Data2, RL) > BZ
DD> and Average(RateOfChange(Close Data2, RL)[1],RL) < PBZ
DD> and RateOfChange(Close Data2, RL)[1] > PBRL
DD> then buy this bar;
DD> if RateOfChange(Close Data2, RL) < SZ
DD> and Average(RateOfChange(Close Data2, RL)[1],RL) > PSZ
DD> and RateOfChange(Close Data2, RL)[1] < PSRL
DD> then sell short this bar;
DD> end;
DD> {==========================================================}
DD> I ran it on SPY and it usually increased the % accuracy by 1-4% and profit
DD> factor by .05-.30, reduced the # of trades, reduced avg loss. I only
DD> backtested it to 12/6/2000. These results are a couple of weeks old.
DD> ======================================================
DD> Original: (500 shares, comm .01249 slippage .0001)
DD> Total Net: $33619.15
DD> Total Gross: $76057.78
DD> Trades W/L: 203/107
DD> Pct Profit: 52.71%
DD> Profit Factor: 1.79
DD> Modified Version: (500 shares, comm .01249 slippage .0001)
DD> Total Net: $38515.23
DD> Total Gross: $76550.73
DD> Trades W/L: 191/102
DD> Pct Profit: 53.40%
DD> Profit Factor: 2.01
DD> =========================================
DD> Try it if you like, I of course guarantee nothing. I would love to see
DD> results backtested much further if someone is so inclined.
DD> Finally, if you think this change is useful I have another addition which
DD> improves it futher (about the same magnitude of this change), which I could
DD> post (it also uses ROC only).
DD> Good Luck,
DD> Doug
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