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Bob,
Those results are very compelling. I wish I had kept all the details on the
system that you tested and the filters (particularly Z) but I haven't. Any
chance of a re-post? Hope someone can supply you with the data you need to
continue your testing. It's a service to us all.
thanks,
r.wanderer
<<<
In a message dated 97-08-23 17:06:37 EDT, RHunt.066@xxxxxxxxxxxxxxxx (Bob
Hunt) writes:
<< 've tested this system with the data going back to 1/2/97. The results
are as follows (best viewed in Courier font):
OEX Points #Trds/#Wins Wins LngWins ShrtWins
Straight P/C Ratio 122.65 43/30 70% 83% 65%
OSS Filter 155.51 22/20 91% 100% 88%
Z Score Filter 171.59 25/20 80% 100% 72%
Both Filters 110.52 17/13 76% 100% 67%
OSS and Z Score filters are derived from OEX/VIX computations as
discussed on RealTraders many moons ago (and are an intricate part of
BobR's excellent work). The P/C Ratio system with the Z Score filter
produced the best results, significantly increasing OEX points while
reducing the number of trades (and commissions).
A careful look at the above table will show you why I'm anxious to get
my hands on this OEX Put and Call Volume Data. Does this year just
happen to be a fluke, or will these results hold up over time?
BTW, Friday's P/C signal triggered a buy and it also passed the Z Score
filter. According to the rules of the system as originally proposed by
Kurt Kallaus, one would look to buy Monday's open with the intent of
liquidating the position two days later, on Wednesday's open.
Again, if anyone can help me get my hands on OEX Put and Call volume
data, it would be very much appreciated (and I'd be happy to share my
findings).
Bob Hunt
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