I wrote a program to backtest this system using 1 minute bars. I only had data for about two weeks from 4/30/09 through 5/15/09. Depending on the commissions and slippage I used, the system produced from break-even to 1% gain through that period of time. I suspect that actual trading might have been closer to the break-even mark.
For $20,000 per symbol, $7.00 per side commissions, and zero slippage, the backtest yielded profit of $1004, or about 1% on the $100,000 capital.
I am looking for 1-minute bar data from 2/17/09 through the present for the 5 symbols HCBK, MRVL, RIMM, JNPR and SCHW. If someone could send that data to me, or point me to another source, I would be happy to run the backtest and post the results.
Thanks.
For $20,000 per symbol, $7.00 per side commissions, and zero slippage, the backtest yielded profit of $1004, or about 1% on the $100,000 capital.
I am looking for 1-minute bar data from 2/17/09 through the present for the 5 symbols HCBK, MRVL, RIMM, JNPR and SCHW. If someone could send that data to me, or point me to another source, I would be happy to run the backtest and post the results.
Thanks.
...How much do you want to be charged ???