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hi,
anybody still keep the zip file by chance? or the original system
code. can you share it with me? thanks for help. Jason
--- In realtraders@xxxxxxxxxxxxxxx, John Cappello <jvc689@xxx> wrote:
>
>
> When I first joined this list there was an interest in Mechanical
> Trading Syatems and I would post the results of the Commercial
ones I
> was using. I had always thought of Realtraders as being a place
where
> such things could be shared.
>
> Likewise I thought that on occasion people would perhaps post
sytems
> that looked decent in backtesting. While I know many
> have "proprietary" systems which they choose not to share , they
may
> have others which showed promise and could use the help of others
> more knowledgeable...and if posted all would benefit.Other than
> various indicaters and other tools there has been a lack of system
> posting...regardless of their merit.
>
> In the interests of perhaps starting a trend of posting such
systems
> that look decent but may not be any trader's stock and trade
[bread
> and butter], I am going to post in its full context an S&P Day
system
> polished up by Gene Pope and with his permission which was based
> initially upon the Support/Resistance formulas I had posted some
time
> ago. Since this was an intra Realtrader development, I thought it
an
> ideal one to share.
>
> 1. It looks decent in backtesting and DD is low.
>
> 2. While it may not be 100% useful as a stand alone system it may
> have merit as an addition to a portfolio with excess
margin...which
> is my area of use for it.
>
> 3. It still needs to walk forward in 2002 testing.
>
> My hope is that it may stimulate interest in systems sharing
without
> prying too deeply into the depths of another's pockets. Although I
am
> sure that even if someone posted their best that it is likely to
be
> altered somehow by people and the fear of too many people on this
> list using a system to its detriment may be an overstated one.
>
> For myself, I have a couple of proprietaries and many that show
> promise and need help. Depending upon how this goes, we may all be
> able to share at a higher level
>
> Likewise if anyone can make what is posted better it would be a
> welcome addition to all of our libraries.
>
> The info should be in the Forward and I trust the system and
zipped
> file will follow. If it does not , then I will post it separately.
>
> Sincerely,
>
> John
>
>
> ------------------ Forward Header --------------------
> Originally From: "Gene Pope" <gene@xxx>
> Subject: Re: Cappello numbers
> Date: 08/27/2002 09:13pm
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> g7S1DKYL025216 for <jvc689@xxx>; Tue, 27 Aug 2002 21:13:20 -0400
> (EDT)
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> (8.12.5/8.12.0.Beta10) with SMTP id g7S1DCc1097918 for
> <jvc689@xxx>; Tue, 27 Aug 2002 21:13:18 -0400 (EDT)
>
>
>
> Hello John,
>
> Well, here you go, all wrapped up in a nice ribbon!
>
> I had some decent results while polishing up the code.
>
> I've included a bunch of files to show you what we have so far.
>
> The files are as follows (inside one zip file attached):
>
> 1) cappello_rs_03.els: This is the ELS file for your system. All
the best
> inputs have been defaulted. If you only use TS4.0 let me know and
I'll
> resend it as a text file that you can clip and paste.
>
> 2) Cappello_RS_03.xls: This is the Performance Report trading SP,
in excel
> format.
>
> 3) Cappello_RS_03_EQ.gif: This is a snapshot of the Equity Curve.
>
> 4) Cappello_RS_03_UW.gif: This is a snapshot of the Underwater
Curve.
>
> 5) Cappello_TSX.gif: A snapshot of a typical full range entry and
exit, also
> showing the blue trailing stop in action.
>
> 6) Cappello_ATRx.gif: Snapshot of two protective stop exits to
show how nice
> and tight they act if the entry is wrong.
>
> 7) Cappello_Early_X.gif: Final snapshot showing how the trailing
stop kicks
> in early to protect profit.
>
> My Analysis:
>
> This is a pretty decent SP system, considering that it only is in
the market
> 1.6% of the time (!!)
>
> I basically took your concept and added every trick I know to
manage the bad
> entries, with the result that the equity curve basically stays
nice and
> tight. Drawdowns are very controlled, as you can see by the
Underwater
> Equity curve, any monthly drawdown is rarely more than 2%, which
is very
> nice.
>
> I also found an optimum way to determine whether the first "bar"
of the day
> should be counted as within the bands, which works better than a
simple test
> of the open or close of the first bar.
>
> The sharpe ratio, using Bob Fulks' version, which is more accurate
than the
> TS version, gradually climbed up to 1.87 which, considering how
much time is
> spent out of the market, is a very good number.
>
> The max. drawdown is only $8k, again, also very good.
>
> I'm going to do a Monte Carlo simulation on this system tomorrow,
to
> determine statistically just how likely any level of drawdown
truly is, but
> I predict a decent result.
>
> I basically tried every type of protective stop. But the best was a
> chandelier ATR system, which you are probably familiar with. If
you look at
> the code, you'll see that we still keep your 4R/4S stops as well,
which do
> kick in once and a while.
>
> Finally, I encourage you to try changing the MaxTradeCount input
to see the
> effect. The very smoothest Equity curve and highest risk/reward
ratio came
> from only trading once per day. Interestingly, adding one more
trade per day
> did not add that much to the Net Profit, while drawdown etc.
increased.
>
> As you can see, I found that this backtested the best on SP (which
is not
> easy, so that's another plus). On the ND, the results were
choppier, and I
> do not have 4 years of data on the Treasuries, so by all means,
please let
> me know your test results as well, or any changes/improvements you
wish to
> make.
>
> Feel free to share this code, as long as credit if given for
writing it.
>
> Thanks for sharing your ideas John, and I look forward to
continued work
> with you.
>
> Best regards,
>
> Gene Pope
>
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