Example that works
- Thread starter asenft
- Start date
Not an EL example but this company sells the "Helix" trading system http://www.foundertrading.com/Helix.html >
ES Hypothetical Results Inception through 11/30/2003
Longest flat period: 6 days, 17 hours, 50 mins
Look at the Equity Curve...
However I don't understand one thing here. They describe the strategy:
"Helix is a combination of both trend-following and counter-trend systems. The twelve different subsystems that comprise Helix include strategies revolving around breakouts, reversals, pivot points, and the previous day's price action."
In the performance report 'Max Contracts Held' = 1. As far as I know TS7 is still not able to backtest 12 subsystems simultaneously, only 1 at a time. Also Total Net Profit is suspiciously big for a system that trades only 1 contract at a time... $233k = 4660 points.
ES Hypothetical Results Inception through 11/30/2003
Longest flat period: 6 days, 17 hours, 50 mins
Look at the Equity Curve... However I don't understand one thing here. They describe the strategy:
"Helix is a combination of both trend-following and counter-trend systems. The twelve different subsystems that comprise Helix include strategies revolving around breakouts, reversals, pivot points, and the previous day's price action."
In the performance report 'Max Contracts Held' = 1. As far as I know TS7 is still not able to backtest 12 subsystems simultaneously, only 1 at a time. Also Total Net Profit is suspiciously big for a system that trades only 1 contract at a time... $233k = 4660 points.
Hi Andy:
Here is the code you can try:
inputs: Length( 3), Multiplier(0.5);
Vars: Offset(0);
OFFSET = XAverage((H-L), Length);
Buy next bar at (((C+L+H)/3) - Multiplier*Offset) Limit;
SellShort next bar at (((C+L+H)/3) + Multiplier*Offset) Limit;
If MarketPosition = 1 Then Begin
Sell This Bar On Close;
End;
If MarketPosition = -1 Then Begin
BuyToCover This Bar On Close;
Choose MSFT as your stock, set it to 15 min bars, 100 days (or more) back. Set your commissions to $0.005 per share, do not allow multiple entries and look at the performance!
Enjoy
Samaras,
XAverage is the exponential moving average.
The Offset = the exponential moving average of the High minus the Low of the last 3 bars of any time frame.
I think he's taking the pivot point((close + low + high)/3) of each previous bar and adding or subtracting that value with 1/2 of the Offset value.
I wish I'm right.....
Good Luck!
trend
Thanks for explaining. I knew that the logic looked familiar. There is a whole group of systems on my WLD3 called "Simplicity ... Take xxx" and they are all based on this logic. I wonder if abogdan got the idea from there? 'The systems where published by Vince Castelli who should receive credit for that. Anyone interested in Carovas work can take a look at his profil http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/profile?user=Carova. The systems have little exposure, but impressive results. Currently I am researching this kind of systems, very interesting!