Utterly simple CHANDEL system code

[Mark Johnson <janitor@xxxxxxxxxxxx>]

Over on another list I posted the EasyLanguage code
for an extremely simplistic mechanical system that trades
commodity futures; perhaps O-L readers may be interested
too.  The system's characteristics are:

   1. Small and simple: eleven EL statements
   2. Attempts to follow major trends
   3. Trades using market orders only
   4. Has two unoptimized parameters
   5. Same parameter values (8 & 50) used to
      trade all markets in portfolio

Highlights of onelot testing
   * Test from 1/1/1980 to 2/15/2002  (22 yrs)
   * Tested on 22 futures markets
   * Winning percentage: 44.6%
   * Ratio of avg win to avg loss: 2.40
   * Profit Factor: 1.93
   * Average trade: $1644.50
   * Number of trades: 766

Highlights of non-onelot testing (fixed fractional
betsizing using "Trading Recipes" software)
   * Compound Annual Growth Rate: 35.2%
   * Annual standard deviation: 26.6%
   * Average max annual drawdown: 18.5%

I also posted the entire equity curve as a spreadsheet
so that others may download and crunch the numbers
however they wish.  A link to the system is:

http://traderclub.com/discus/messages/18/1669.html?TuesdayFebruary1920020842pm#POST6848

It may be useful to you as a springboard for ideas or
just as another tool in your technical analysis
toolkit.  Enjoy,
-Mark Johnson