Camarilla Equation

ig0r · Dec 14, 2003

Quote from wareco:

Am I reading this right? If you just bought and held during that same period, you would have around $37,500?

Yes, 2000 to 2003 if you had bought 1 contract of ZB it would be up 37500. The system performs equally in all types of markets, look at the way the long/short equity curves (the lines inside the dark green) perform in relation to ZB trends

ig0r · Dec 14, 2003

Quote from electron:

It is true that ZB have good ranges and they tend to trend better than ES and even NQ. But because of this I would think that the Camarilla formula should work well when aplied to trends starting at HL3 and LL3. Have you tried a trending system like that for bonds?

HL3 and LL3 are not for taking starts of trends, they are for taking reversals. As price approached HL3 from below, for example, you would look to enter a short at HL3

electron · Dec 14, 2003

Quote from ig0r:

HL3 and LL3 are not for taking starts of trends, they are for taking reversals. As price approached HL3 from below, for example, you would look to enter a short at HL3

I meant HL4 and LL4. Too much beer, I guess...

So have you tried it for the trends from 4s?

ig0r · Dec 14, 2003

Quote from electron:

I meant HL4 and LL4. Too much beer, I guess... So have you tried it for the trends from 4s?

No, haven't, I did try it for trends with the 5th levels, it worked better on the ZB than it did on the ES (ES has a tendency to break through the 5th level and then reverse and close inside). It was probably profitable on the ZB but when losses came they were large, I don't like large losses/drawdown.

electron · Dec 14, 2003

Quote from ig0r:

No, haven't, I did try it for trends with the 5th levels, it worked better on the ZB than it did on the ES (ES has a tendency to break through the 5th level and then reverse and close inside). It was probably profitable on the ZB but when losses came they were large, I don't like large losses/drawdown.

5th levels? Haven't heard about those. So how many levels does this formula generate? I thought only 4.

wareco · Dec 14, 2003

Quote from ig0r:

Yes, 2000 to 2003 if you had bought 1 contract of ZB it would be up 37500. The system performs equally in all types of markets, look at the way the long/short equity curves (the lines inside the dark green) perform in relation to ZB trends

And with your system that sum would be around $42,000? So, you would have executed 2600+ trades, and sat in front of your computer every day to make an additional $1500/yr?

ig0r · Dec 14, 2003

Quote from electron:

5th levels? Haven't heard about those. So how many levels does this formula generate? I thought only 4.

5 support and 5 resistence

ig0r · Dec 14, 2003

Quote from wareco:

And with your system that sum would be around $42,000? So, you would have executed 2600+ trades, and sat in front of your computer every day to make an additional $1500/yr?

Haha, wealth-lab my man, fully automated. Not to mention that it's quite difficult to time ZB moves 3 years in advance, you would have to have predicted the crash in '99 and that the ZB would have decoupled and gone up throughout the bear market

This is all the data I have, this system should work in all markets, give me some data from the 90's and I'll give you a performance analysis

sochis · Jan 2, 2004

Igor, please email me at sarbot<at>mail2world.com
about your camarilla based bond system