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These are the post split Odd Ball results I get using a breadth filter. I'm
not using Tradestation for testing so cannot give a complete breakdown on
every test but the basic results agree with those recently published here by
David Folster so there is no reason to believe the testing platform will
affect the results.
The first two test are the basic oddball (7,3,1) system followed by the
modified system that only trades 12:00-16:00 EST and uses '0' for both long
and short thresholds - I call this OBBase and use it as the basis of all
further tests.
The next set of tests add the breadth filter. Since oddball is a reversal
system the breadth filter is used on both entry and exit signals.
The last set of tests applies the breath filter only to the entry signals,
the exit signals are taken from just ROC($ADV)<0 (or >0). This means there
will be times when oddball is not in the market so the percentage number of
bars (hours) in the market is also shown. This assumes an overnight hold is
just one bar. The actual percentage of overnight holds is fractional higher
(about 2-3%) for all cases.
The results are for 3 Nov 1997 to 27 December 2001. The data give in order
is:
Total Profit - Number Trades - Average Profit per Trade - Drawdown -
Profit factor - Percentage time in market
Conclusions:
Using breadth as an entry and exit filter can be used to restrict the number
of trades and boost the profit/trade at the expense of some profit.
Using breadth as an entry filter only can be used to restrict the time in
market without damaging profits proportionately, e.g. 50% time in market
with only 20% reduction in profits.
Warnings:
David Folster has reported that using breadth=0 filter on pre split data
does not hold up and it would be expected that all these filters would
suffer as well.
Basic OddBall (7,3,1) 10:00-16:00
$454k 1122 $405 $72k 1.35 100%
OddBall (7,0,0) 12:00-16:00 = OBBase
$651k 899 $725 $51k 1.60 100%
OBBase Breadth = 400 Entry/Exit Filter
$427k 304 $1406 $66k 1.79 100%
OBBase Breadth = 200 Entry/Exit Filter
$447k 422 $1061 $61k 1.65 100%
OBBase Breadth = 0 Entry/Exit Filter
$585k 556 $1054 $62k 1.78 100%
OBBase Breadth = -200 Entry/Exit Filter
$599k 692 $867 $58k 1.68 100%
OBBase Breadth = -400 Entry/Exit Filter
$614k 776 $792 $65k 1.63 100%
OBBase Breadth = 400 Entry Filter
$516k 522 $989 $41k 1.96 52.6%
OBBase Breadth = 200 Entry Filter
$551k 645 $855 $48k 1.81 67.0%
OBBase Breadth = 0 Entry Filter
$620k 728 $852 $47k 1.77 78.7%
OBBase Breadth = -200 Entry Filter
$627k 796 $788 $51k 1.69 87.8%
OBBase Breath = -400 Entry Filter
$634k 838 $757 $52k 1.63 93.9%
OBBase Breadth = 600 Entry Filter
$407k 406 $1004 $35k 2.05 39.7%
OBBase Breadth = -600 Entry Filter
$656k 863 $761 $47k 1.64 96.7%
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