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Initially posted by Gery Rehert:
See the Performance from '91 to '98. Walk it forward and see what you
think.
"The Simple S&P Key Reversal System"
A.) Buy on the Close If: C[1] < .96* HIGHEST(H,22)[1] and L <
LOWEST(L,2)[1]
and c > c[1]
B.) Sell on the Close If: BarsSinceEntry = 4 or C < .97*ENTRYPRICE
or you
get a signal to go short
C.) SellShort on the Close If: H>HIGHEST(H,3)[1] and C < C[1]
and DECLINES/ADVANCES > 1.22
D.) CoverShort on the Close If: BarsSinceEntry = 3 or you get a
signal to
go long
It's been optimized for the best parameters but it works well with
different
parameters.
So what does it mean? One line at a time:
A.) Buy the Close when the market is off 4% and you have a bullish
key
reversal (with the low less than the low of the previous *2* days)
B.) Sell on th Close on day 4 or if it closes with > 3% loss
C.) SellShort the Close any bearish key reversal (with the hi
greater than
the hi of the previous *3* days) if also Declines/Advances > 1.22
(which means
Declines to Advances is around 5 to 4 or 6 to 5 - at least a slightly
negative
day)
=========================================================
This optimized system has the following (abreviated) statistics:
S&P INDEX 01/05/91 - 08/07/98
Performance Summary: All Trades
Total net profit $ 479.14 Open position P/L
$ 8.02
Gross profit $ 521.86 Gross loss $ -
42.72
Total # of trades 54 Percent profitable
70%
Number winning trades 38 Number losing trades
16
Avg trade(win & loss) $ 8.87 Max intraday drawdown $ -
23.00
Profit factor 12.22 Return on account
2083%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Performance Summary: Long Trades
Total net profit $ 234.12 Open position P/L
$ 8.02
Gross profit $ 235.73 Gross loss
$ -1.61
Total # of trades 21 Percent profitable
90%
Number winning trades 19 Number losing trades
2
Avg trade(win & loss) $ 11.15 Max intraday drawdown $ -
21.36
Profit factor 146.42 Return on account
1096%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Performance Summary: Short Trades
Total net profit $ 245.02 Open position P/L
$ 0.00
Gross profit $ 286.13 Gross loss $ -
41.11
Total # of trades 33 Percent profitable
58%
Number winning trades 19 Number losing trades
14
Avg trade(win & loss) $ 7.42 Max intraday drawdown $ -
20.04
Profit factor 6.96 Return on account
1223%
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Now I'm not recommending that anyone go out and trade this system.
It's just food for thought, a starting point, an educational exercise
for those interested in system development
Good trading,
John
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