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At 12:40 PM -0800 3/22/02, Jack Zaner wrote:
>Bob: Suppose you didn't exit at close of day, what would be the result.
>Thanks for the tests - - you're the best.
>Regards, Jack.
I assume you meant with the same costs, etc. I get the following:
Inputs: BZ(3),SZ(1), Len(1), Offset(4);
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 250 shares
$ADV NYSE advancing issues as data2
60 minute natural hour bars
$20 commission + $125 slippage
Do not close trades at end of day
Inputs
3,1,1,4
Net profit $667,000
Trades 536
% Prof 53%
Ave Trade $1,245
PF 1.91
DD $40,000
ROA 1670%
Sharpe 2.80
Remember that you cannot trade the $SPX and the results will be
poorer on futures or SPY.
I take this to show that waiting until the price is moving in
the right direction before entry works better (not surprising).
Bob Fulks
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