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Very nice Alex, but regarding "... on which I plan to write a TASC article".
May I recommend that you write instead for Active Trader Mag or Futures
Mag.....
TASC is just getting SOOOOO BAAAADDDD lately.
Took me all of 5 minutes to read the July issue.
I am NOT renewing my subscription.
> -----Original Message-----
> From: Alex Matulich [mailto:alex@xxxxxxxxxxxxxx]
> Sent: Monday, June 17, 2002 12:44 AM
> To: omega-list@xxxxxxxxxx
> Subject: Lessons learned: EOD Oddball
>
>
> I've been developing an End-Of-Day version of Oddball (because EOD
> is all I am able to trade). I can test it only up to October 2001
> because that's my most recent data.
>
> Does anyone have EOD data for Advancing, Declining, and Unchanged
> issues on the NYSE and NASDAQ exchanges, from October 1999 to
> the present? And rollover-adjusted mini S&P and NASDAQ futures
> contracts?
>
> It took a while to figure out what to do with the basic Oddball
> concept. Mark didn't design it for EOD data. I found I could
> get better performance by dumping the RateOfChange function from
> Oddball and instead use two Momentum measurements, the first being
> the Momentum of (adv-decl)/(adv+decl+unch) and the second being the
> Momentum of the first Momentum. Momentum approximates slope, which
> is change per unit TIME, rather than change compared to the previous
> bar (what you get with the RateOfChange function). By using two
> momentums, I get a rough measure of velocity and acceleration of my
> adv-decl oscillator.
>
> It worked noticeably better with two momentums than with just one.
> I could also get better performance using (adv-decl)/(adv+decl+unch)
> rather than just Advancing Issues, even if I optimized either one.
>
> I also improved performance somewhat by using an adaptive money
> management stop as well as an adaptive trailing stop, plus the
> strategy exits any position if it is ever unprofitable after 1 day.
>
> I'm particularly proud of my adaptive trailing stop. It's my own
> invention, on which I plan to write a TASC article.
>
> The strategy works quite well and smoothly over October 1999 to
> October 2001 (2 years). Prior to that the performance is sloppy
> and choppy. I don't know why this would be. Using Advance-Decline
> issues for signals implies that one expects a correlation, or
> cause+effect relationship between the data that generates the
> signals and the subsequent price data. It just doesn't exist prior
> to mid-1999.
>
> The system has an expectation of $0.99 profit per $1 risked. By
> comparison, Vladimir's Swinger2-EOD system has an expectation of
> about $0.40/$1. In the book "Trade your way to financial freedom"
> Van K Tharp advises that anything with an expectation of $0.50/$1 or
> so (depending on the number of opportunities to trade) is a decent
> system. The "worth" of a system is then determined by a score,
> calculated as expectation*opportunities, where opportunities is
> number of trades per year.
>
> In my opinion, this is the only way to compare system performance.
> Comparing net profit and other results just don't do the job,
> because you don't get a result that accounts for risk.
>
> Optimizing for this score is a pain. Tradestation can optimize
> only for canned results, not arbitrary user-generated results like
> expectation score. To do it, you have to set View->ChartOptions
> Strategy tab to save 20,000 or so optimization results, then
> optimize so that the total results doesn't exceed 20,000, import
> everything into Excel, calculate the scores, sort the list, and find
> the parameters that give you the highest score.
>
> I'd like to see how it performs for 10/2001 to the present. Anybody
> have the data for E-Mini S&P and E-Mini NASDAQ rollover futures,
> advancing, declining, and unchanging issues?
>
> Performance Summary: All Trades
> (commission = $20/RT, slippage = $75)
> October 1999 to October 2001
>
> Total Net Profit $65,587.50 Open position P/L $512.50
> Gross Profit $99,532.50 Gross Loss ($33,945.00)
>
> Total # of trades 115 Percent profitable 48.70%
> Number winning trades 56 Number losing trades 59
>
> Largest winning trade $9,375.00 Largest losing trade ($1,615.00)
> Average winning trade $1,777.37 Average losing trade ($575.34)
> Ratio avg win/avg loss 3.09 Avg trade (win &
> loss) $570.33
>
> Max consec. Winners 7 Max consec. losers 8
> Avg # bars in winners 6 Avg # bars in losers 1
>
> Max intraday drawdown ($4,177.50) Profit Factor 2.93
> Max # contracts held 1
> Account size required $8,177.50 Return on account 802.05%
>
>
> --
> ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> // +__> Director of Research and Development
> // \
> // __) Unicorn Research Corporation -- http://unicorn.us.com
>
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