Quote from trend2009:
In order to test how emintrade's simple system works under different situations, I performed the following studies:
1) use the L5 value emintrade provided since 2008/12/22 to today
2) use the intraday 1min data from esignal for the 5 stocks mentioned in his posts.
the results:
total trades: 88
win trades: 54
lose trades: 33
average gain per trade: 0.36%
If I use open and close price from yahoo, and other intraday data from esignal, the results:
total trades: 163
win trades: 97
lose trades:66
gain per trade: 0.2%
it means the open price from yahoo is lower than from esignal in general. the more trades, the less gain, which is expected.
If enlarge L5 by 10%, ie. the new L5=1.1*L5 (original), use esignal open and close, the results:
total trades: 81
win trades: 44
lose trades: 33
gain per trades: 0.2%
when L5 is decreased by 10%:
total trades: 91
win trades: 55
lose trades: 36
gain per trade: 0.3%
it seems increasing or decreasing L5 decreases the profitability, which means L5 computed by emintrade is at its optimal value, which is quite interesting.
I also tested using the three day ATR instead of L5 on the same time range from 2008/12/22 to 2009/4/20. the results:
total trades: 66
win trades: 38
lose trades: 28
gain per trade: 0.36%
you can see the three day ATR gives almost similar results as L5.
However, if the test went back to 2007/08/01 to the current, with 3 day ATR, the results:
total trades: 499
win trade: 252
lose trade: 247
gain per trade: -0.07%
so the results become somewhat interesting. the results indicate the time frame from 2008/12/22 to now is quite different from 2007/08/01 to the current. Since I do not have value of L5 before 2008/12/22, I am curious how L5 would work starting from 2007/08/01.
This analysis is by no means to imply that L5 would fail as 3-day ATR. If L5 can perform as well as from 2007-08-01, it is truly amazing, and I believe emintrade has already done such kind of analysis.
I have a problem with MRVL on PROREALTIME.