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Recently someone asked if anyone had tried uing OB as a filter for a shorter
term/time frame system. *For illustration purposes only*, what follows is
the stats for a daytrading system, first without OB as a filter and second
with OB as a filter. Pay special attention to the number of trades/average
profit per trade.
- The OB permission is Mark's original code but with 0 as the BZ/SZ
- I am not saying this will or will not work for your system;
- Please do not e-mail me asking for the system.
- This is for illustration purposes only and I make no claims about the
validity of this method.
NO OB FILTER
TradeStation Strategy Performance Report - ? SP500P~1.TXT-20 min.
Performance Summary: All Trades
Total Net Profit $612,700.00 Open position P/L $875.00
Gross Profit $3,100,325.00 Gross Loss ($2,487,625.00)
Total # of trades 1,590 Percent profitable 43.84%
Number winning trades 697 Number losing trades 893
Largest winning trade $30,325.00 Largest losing trade ($14,700.00)
Average winning trade $4,448.10 Average losing trade ($2,785.69)
Ratio avg win/avg loss 1.60 Avg trade (win & loss) $385.35
Max consec. Winners 8 Max consec. losers 12
Avg # bars in winners 21 Avg # bars in losers 8
Max intraday drawdown ($60,425.00)
Profit Factor 1.25 Max # contracts held 2
Account size required $60,425.00 Return on account 1013.98%
WITH OB FILTER
TradeStation Strategy Performance Report - ? SP500P~1.TXT-20 min.
Performance Summary: All Trades
Total Net Profit $659,475.00 Open position P/L ($1,825.00)
Gross Profit $2,044,950.00 Gross Loss ($1,385,475.00)
Total # of trades 687 Percent profitable 54.00%
Number winning trades 371 Number losing trades 316
Largest winning trade $30,325.00 Largest losing trade ($18,200.00)
Average winning trade $5,511.99 Average losing trade ($4,384.41)
Ratio avg win/avg loss 1.26 Avg trade (win & loss) $959.93
Max consec. Winners 7 Max consec. losers 7
Avg # bars in winners 39 Avg # bars in losers 23
Max intraday drawdown ($50,000.00)
Profit Factor 1.48 Max # contracts held 2
Account size required $50,000.00 Return on account 1318.95%
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