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I just went over the last couple of weeks of messages, and saw the
ones about the Spl-Trend indicator. As the one who made the indicator
I can tell you categorically: Spl-Trend and parabolic have
absuolutely NOTHING to do with each other. The same claim as to their
similarity was made on the Omega-List by the same gentleman who made
them here, and the following post by an aquaintance put the matter to
rest over there...
"
To: omega-list@xxxxxxxxxx
Subject: Re: Spl-Trend indicator
...However, I still maintain that not only are they not "practically
identical", they are not even comparable. I've seen the Spl-Trend
code, and there is absolutely no connection to Parabolic. The
Parabolic is really a simple concept, which takes the value of the
last swing-high/low and then moves the stop a certain percentage each
bar. After the first stop value, parabolic doesn't care about trends,
about whether the market is going up or down, etc., not to speak
about the VERY large initial stops you have to have with parabolic
most of the time.
I hope to put the matter to rest with the following:
I reversed the stops on both indicators to turn them into signals.
Meaning, sell when the buystop is hit and buy when the sellstop is
hit, thus alternating positions. I applied both signals to a 5-min SP
chart with an exit-on-close-of-day signal (+$25 commission). The
chart goes from 1/1/2001 to 9/30/2002.
Running the parabolic system with twenty optimizations of
the "Parabolic(AccelFactor)" input
I got the following results: only ONE out of 20 optimizations was
profitable (0.01) with the following numbers:
Net profit: $28900
Max ID: $60750
In order to be fair, I only optimized ONE of the inputs in Spl-Trend,
StopS, which is the main stop variable. I left the others on default.
I got the following (please remember this is NOT the Spl-Trend Signal
indicator Phil is working on, this is just something I drummed up in
about one minute...) :
13 out of 20 optimizations were profitable with the best having the
following numbers:
Net Profit: $79500
Max ID: $31550
Hardly "practically identical". Remember, I'm not saying this is a
viable system, I just did this to make a point: the two have nothing
to do with each other.
"
That was the Omega-list post. Now, Jan claims that the input in
parabolic which was so similar to my indicator was an accelfactor of
0.35. So, just to make sure, I tested the parabolic signal with that
value (BTW, I'm not sure what he meant. Applying them both to a chart
show TOTALLY different values), and here are the results:
Net Profit: -$446950 (Yes, that is a minus)
Max ID: -488225 (Yes, that is a minus)
All the best,
Phil
--- In realtraders@xxxx, "JHP" <jan4123@xxxx> wrote:
> I was able to match the turns - from Long to Short and vice versa -
> on the same bar almost every time.
>
> Jan Philipp
>
> ----- Original Message -----
> From: "M. Simms" <prosys@xxxx>
> To: <realtraders@xxxx>
> Sent: Friday, November 22, 2002 11:16 AM
> Subject: RE: [RT] Spl-Trend indicator
>
>
> > You mean to say the SP1 matches the basic Parabolic EXACTLY ?
> >
> > Hard to believe he would clone it without even a slight
modification.....
> > if so, that's really bad.
> >
> >
> > > -----Original Message-----
> > > From: JHP [mailto:jan4123@x...]
> > > Sent: Friday, November 22, 2002 1:21 PM
> > > To: realtraders@xxxx
> > > Subject: Re: [RT] Spl-Trend indicator
> > >
> > >
> > > John,
> > >
> > > I just imposed the Parabolic on his Sp1 with default inputs
> > > in several ES & NQ intraday time frames and kept adjusting the
> > > Parabolic until thay matched. That is all I've done.
> > >
> > > My point is that, as I showed in my postings in the past, many
> > > new studies don't differ from what's been in public domain
> > > for a long time.
> > >
> > > Regards,
> > > Jan Philipp
> > >
> > > ----- Original Message -----
> > > From: "John Cappello" <jvc689@xxxx>
> > > To: <realtraders@xxxx>
> > > Sent: Friday, November 22, 2002 8:56 AM
> > > Subject: [RT] Spl-Trend indicator
> > >
> > >
> > > > Dear Jan,
> > > >
> > > > Interesting point. I have e-mailed Spl-Trend guy regarding
Drawdown
> > > > and back testing with no response to date.
> > > >
> > > > What kind of Drawdowns did you see with the Parabolic you
posted?
> > > >
> > > > Sincerely,
> > > >
> > > > John
> > > >
> > > >
> > > >
> > > > ------------------ Reply Separator --------------------
> > > > Originally From: "JHP" <jan4123@xxxx>
> > > > Subject: Re: [RT] Spl-Trend indicator
> > > > Date: 11/21/2002 05:03pm
> > > >
> > > >
> > > > You get almost identical results if you set Omega's Parabolic
at .35
> > > > and it is free even after 1/1/03.
> > > >
> > > > Jan Philipp
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: "feivi18" <shraga@xxxx>
> > > > To: <realtraders@xxxx>
> > > > Sent: Thursday, November 21, 2002 2:44 PM
> > > > Subject: [RT] Spl-Trend indicator
> > > >
> > > >
> > > > > I've just seen this at www.sp-levels.com
> > > > > It looks very similar to Asctrend, and it's available for
free. Any
> > > > > comments?
> > > > >
> > > > > Philip
> > > > >
> > > > >
> > > > > To unsubscribe from this group, send an email to:
> > > > > realtraders-unsubscribe@xxxx
> > > > >
> > > > >
> > > > >
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> > > > >
> > > > >
> > > >
> > > >
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> > > >
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> > > >
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> >
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