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This variation incorporates both the time change and using the NYSE TICK as
a filter, only looking to go long when hourly close > 0 and vice versa for
shorts. The directional bias idea is the same concept I previously posted
using moving averages or an advance-decline line (which versions did not
hold up pre-split), but the idea for using the NYSE TICK as the filter comes
from Gene Pope. I had actually told him that it wouldn't work because the
data was too noisy, but as it turns out it is the best of all the
directional filters I have tested. It turned 1999 into a pretty good year.
Pre split it beats original oddball in net profits and DD, but I think the
results are still mediocre in terms of consistency and distribution of
profits. I do not know the reason for this (anyone?) but since 1996 it has
performed very well save one very large DD. I also changed the BZ and SZ to
0 because I don't like 3 and 1; they sound like optimized parameters and I
don't really see the logic behind them (I'm not saying there isn't logic,
just that I don't see it). This change gave better results in the post
split market, but worse results in the pre-split market. If anyone has
ideas on how to improve these, I'd love to hear them.
ODDBALL DIRECTIONAL BIAS - TICK - PRE-SPLIT
TradeStation Strategy Performance Report - Oddball DB SP500P~2.TXT-60 min.
(11/2/87-10/31/97)
Performance Summary: All Trades
Total Net Profit $462,275.00 Open position P/L $3,875.00
Gross Profit $1,640,050.00 Gross Loss ($1,177,775.00)
Total # of trades 1,765 Percent profitable 44.65%
Number winning trades 788 Number losing trades 977
Largest winning trade $41,900.00 Largest losing trade ($7,700.00)
Average winning trade $2,081.28 Average losing trade ($1,205.50)
Ratio avg win/avg loss 1.73 Avg trade (win & loss) $261.91
Max consec. Winners 9 Max consec. losers 10
Avg # bars in winners 15 Avg # bars in losers 8
Max intraday drawdown ($37,200.00)
Profit Factor 1.39 Max # contracts held 1
Account size required $37,200.00 Return on account 1242.67%
ODDBALL DIRECTIONAL BIAS - TICK - POST-SPLIT
TradeStation Strategy Performance Report - Oddball DB SP500P~1.TXT-60 min.
(11/3/97-12/27/01)
Performance Summary: All Trades
Total Net Profit $638,275.00 Open position P/L $4,250.00
Gross Profit $1,491,125.00 Gross Loss ($852,850.00)
Total # of trades 645 Percent profitable 51.16%
Number winning trades 330 Number losing trades 315
Largest winning trade $29,675.00 Largest losing trade ($10,875.00)
Average winning trade $4,518.56 Average losing trade ($2,707.46)
Ratio avg win/avg loss 1.67 Avg trade (win & loss) $989.57
Max consec. Winners 10 Max consec. losers 9
Avg # bars in winners 16 Avg # bars in losers 9
Max intraday drawdown ($57,875.00)
Profit Factor 1.75 Max # contracts held 1
Account size required $57,875.00 Return on account 1102.85%
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