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1% of a 13 trillion GDP is 130 billion a year not 1.3 trillion. This has been debunked in the comment section of the article.

The $43 loss already includes slippage and commission. $ - 25.50 trading loss $ -12.50 slippage $- 5.00 commission So if you reverse the signals you have a potential $ 25.50 with which to work. Reversing the signals means that a signal based on a stop which bought the high and...

This thread was started by TUMS (the moderator) by moving a post from another thread. In other words TUMS didnt like to see negative results on Hershey and moved it here starting this thread. So no, I did not start this as another attack thread on Hershey. I just posted some backtesting of his...

The most consistent component of losing in any system is slippage and commission which may not be reversed AFAIK. This comment displays the poor depth of analytical thinking typical of the A team. LOL

Cash Cow version 5 with Volume and MACD suppression as tested over the previous 100 days does not show any tendency to profitablity. Perhaps the entwining filter which has not been coded is really the "secret sauce" which makes the Hershey method using indicators profitable. OR perhaps its all...

MACD filter as applied to cash cow version 5

The volume threshold filter as applied to Cash cow version 5

The performance graph of the last 100 days of cash cow version 5 with no MACD or Volume suppression attached.

results with MACD and Volume threshold nullified, i.e. = 0 over the past 100 days in the ES contract.

The code below is from the thread in automated trading : http://www.elitetrader.com/vb/showthread.php?s=&threadid=147441 I have added the threshold lookup tables for suppression regarding MACD and volume as suggested therein. inputs:volumethreshold(0),macdThreshold(0); { CashCow...

2008 performance graph of Hershey Rockets as per above code <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2260027>

There are no 30 year T bills.

ScottD: For the absolute values of MACD used for suppression, why not run a step thru test on Tradestation of a range of values ? Some call it "optimization". Its a built in feature of Tradestation, as I'm sure you know.

Hershey's Beginner rockets for the ES as a paintbar study: by Chicken Little aka Index Maximus click here for the code and discussion: http://www.elitetrader.com/vb/showthread.php?s=&threadid=69860&perpage=40&pagenumber=1 additional info...

We'll see if you have such a workaround in due time..........

Hershey seems to think "chop" exists. Here is his chart from this thread with areas cleary annotated by him as "minor chop". http://www.elitetrader.com/vb/attachment.php?s=&postid=2213677

ES tick data with volume and an excel backtesting engine with charts : http://exceltrader.blogspot.com/2008/05/backtest-for-es-futures-from-tick-data.html

I'm questioning how you can incorporate data which does not exist, i.e., volume data on something which does not trade and therefore generates no volume. If it is a key component of your backtest and it is faulty, then the validity of your test is suspect. Don't you agree?

I see your approach to this analysis is truly rigorous.

Bwol: How do you have volume data for SPX ? Its an index.