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At 7:36 AM -0800 3/22/02, BobR wrote:
>Thanks, Bob for the backtest. Would you mind running the series of tests
>again using an exitonclose? The system will re-enter the following morning
>if conditions are still conducive to the signal. Back when Mark's artical
>first appeared I discussed this with him and his view at that time was that
>holding overnight worked in OddBall's favor in the long run. Yet,
>realistically some of us can't or don't want to be subject to that risk.
Inputs: BZ(3),SZ(1), Len(1), Offset(0);
If RateOfChange(close of data2,7)>BZ then buy at H[Len] + Offset stop;
If RateOfChange(close of data2,7)<SZ then sell at L[Len] - Offset stop;
4 years ending 12/31/01
$SPX cash index as data1 (BigPointValue = 1) trading 1 share
$ADV NYSE advancing issues as data2
60 minute natural hour bars
Zero costs
Close trades at end of day
MB Inputs Inputs
Original 3,1,1,0 3,1,0,0
Net profit 1841 2360 2966 Points
Trades 1080 1401 1340
% Prof 48% 50% 53%
Ave Trade 1.74 1.68 2.21 Points
PF 1.38 1.49 1.73
DD 260 197 140 Points
ROA 706% 1206% 2103%
Sharpe 1.58 2.54 3.30
A lot more smaller trades, obviously, and the Offset
optimized at near zero points.
The equity curve is pretty decent, too. (Attached)
Bob Fulks
Attachment:
Description: "OddBall.BobR.gif"
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