JACK HERSHEY METHOD EXPOSED AS FRAUD! *Debated*

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bwolinsky

I beat both of you jackasses to the punch, but it's not anything that I'd suggest anyone trades with a backtest like this:
Long + Short
Starting Capital $147,000.00
Ending Capital $181,279.61
Net Profit $34,279.61
Net Profit % 23.32%
Annualized Gain % 8.63%
Exposure 2.59%

Number of Trades 101
Avg Profit/Loss $339.40
Avg Bars Held 136.57

Winning Trades 41
Winning % 40.59%
Gross Profit $130,900.15
Largest Winning Trades $34,520.98
Avg Profit $3,192.69
Avg Bars Held 108.61
Max Consecutive 3

Losing Trades 60
Losing % 59.41%
Gross Loss ($96,620.53)
Largest Losing Trade ($15,601.52)
Avg Loss ($1,610.34)
Avg Bars Held 155.68
Max Consecutive 5

Max Drawdown ($97,930.51)
Max Drawdown Date 10/14/2008
Max Drawdown % -45.05%
Max Drawdown % Date 10/14/2008

APD 7.1314
APAD 67.0835
Wealth-Lab Score 183.0925
RAR 333.1836
MAR 0.1916
Profit Factor 1.3548
Recovery Factor 0.35
Sharpe Ratio 0.5534
Sortino Ratio 4.8168
Ulcer Index 13.0006
WL Error Term 6.986
WL Reward Ratio 1.2352
Luck Coefficient 10.8125
Pessimistic Rate of Return 1.0125
Equity Drop Ratio 0.6425
K-Ratio 0.0034
Seykota Lake Ratio 0.1
Expectancy 0.1076
Expectancy Score 2.2102
Max Losers Held 1
Max Winners Held 1


So, Scott, you ready to throw in the towel? This is exacly what you coded, and, you know what, it's crap. So quit. We may have established it's profitable, but it doesn't make much for the risk you're taking.
 
Here's the Hershey 5.0 script, everything is the same, BUT the entry logic.
for Bar := 5 to BarCount - 1 do
begin

var SMADiff : float =(SMA( bar, #close , 20 ) - SMA( bar - 1, #close, 20 ));
var MACDday : integer = MACDExSeries( #Close, val1, val2 );
if lastbar(bar) then begin
lbar:=bar;
end;
if (bar>lbar+2) and (gettime(bar)<1600) and (@#Volume[bar]>20000) then begin
if not (lastpositionactive) and (crossovervalue(bar,HersheyStochK,50)) then begin
buyatmarket(Bar+1,'Jacks friend scott d says to buy here');
end;
if not (lastpositionactive) and (crossundervalue(Bar,HersheyStochK,50)) then begin
shortatmarket(Bar+1,'Jacks friend scott d says to sellshort here');
end;
if (positionlong(lastposition)) and (@HersheyStochK[bar]<@HersheyStochD[bar]) and (crossundervalue(Bar,HersheyStochK,80)) then begin
sellatmarket(Bar+1,LastPosition,'');
end;
if (positionshort(lastposition)) and (@HersheyStochK[bar]>@HersheyStochD[bar]) and (crossovervalue(Bar,HersheyStochK,20)) then begin
coveratmarket(Bar+1,lastposition,'');
end;
if (positionlong(lastposition)) and (abs(@HersheyStochD[bar]-SMA(Bar,HersheyStochD,6))<1.4) then begin sellatmarket(Bar+1,LastPosition,''); end;
if (positionshort(lastposition)) and (abs(@HersheyStochD[bar]-SMA(Bar,HersheyStochD,6))<1.4) then begin coveratmarket(Bar+1,LastPosition,''); end;

end;
end;
 
Quote from maxpi:

People got doctorates and Nobel prizes writing about the impossibility of using a data series to predict the future.
More...

Apparently Jack believes this work is something worthy of such a prize, but I doubt it anyway. As you can see by the results in WL.
 
The long portion looks like this:
Long Only
Starting Capital $147,000.00
Ending Capital $147,224.87
Net Profit $224.87
Net Profit % 0.15%
Annualized Gain % 0.06%
Exposure 0.10%

Number of Trades 51
Avg Profit/Loss $4.41
Avg Bars Held 9.12

Winning Trades 20
Winning % 39.22%
Gross Profit $33,934.39
Largest Winning Trades $8,068.02
Avg Profit $1,696.72
Avg Bars Held 12.9
Max Consecutive 3

Losing Trades 31
Losing % 60.78%
Gross Loss ($33,709.51)
Largest Losing Trade ($4,387.50)
Avg Loss ($1,087.40)
Avg Bars Held 6.68
Max Consecutive 5

Max Drawdown ($19,392.14)
Max Drawdown Date 9/8/2008
Max Drawdown % -12.03%
Max Drawdown % Date 9/8/2008

APD 0.1947
APAD 74.9351
Wealth-Lab Score 50.3711
RAR 57.2612
MAR 0.0049
Profit Factor 1.0067
Recovery Factor 0.0116
Sharpe Ratio 0.0357
Sortino Ratio -0.0357
Ulcer Index 3.0327
WL Error Term 1.283
WL Reward Ratio 0.0461
Luck Coefficient 4.7551
Pessimistic Rate of Return 0.6626
Equity Drop Ratio 0
K-Ratio 0.0021
Seykota Lake Ratio 0.0143
Expectancy -0.1438
Expectancy Score -3.3571
Max Losers Held 1
Max Winners Held 1
 
And the short portion looks like this:
Short Only
Starting Capital $147,000.00
Ending Capital $181,054.74
Net Profit $34,054.74
Net Profit % 23.17%
Annualized Gain % 8.58%
Exposure 2.52%

Number of Trades 50
Avg Profit/Loss $681.09
Avg Bars Held 266.58

Winning Trades 21
Winning % 42.00%
Gross Profit $96,965.76
Largest Winning Trades $34,520.98
Avg Profit $4,617.42
Avg Bars Held 199.76
Max Consecutive 3

Losing Trades 29
Losing % 58.00%
Gross Loss ($62,911.02)
Largest Losing Trade ($15,601.52)
Avg Loss ($2,169.35)
Avg Bars Held 314.97
Max Consecutive 6

Max Drawdown ($97,930.51)
Max Drawdown Date 10/14/2008
Max Drawdown % -45.09%
Max Drawdown % Date 10/14/2008

APD 9.3247
APAD 63.216
Wealth-Lab Score 186.6756
RAR 339.9925
MAR 0.1902
Profit Factor 1.5413
Recovery Factor 0.3477
Sharpe Ratio 0.5663
Sortino Ratio 4.3838
Ulcer Index 12.9726
WL Error Term 6.316
WL Reward Ratio 1.3579
Luck Coefficient 7.4763
Pessimistic Rate of Return 1.0163
Equity Drop Ratio 0.6265
K-Ratio 0.0033
Seykota Lake Ratio 0.1002
Expectancy 0.0685
Expectancy Score 0.7681
Max Losers Held 1
Max Winners Held 1
 
Quote from bwolinsky:

The long portion looks like this:
Long Only
Starting Capital $147,000.00
Ending Capital $147,224.87
Net Profit $224.87
Net Profit % 0.15%
Annualized Gain % 0.06%
Exposure 0.10%

Number of Trades 51
Avg Profit/Loss $4.41
Avg Bars Held 9.12

Winning Trades 20
Winning % 39.22%
Gross Profit $33,934.39
Largest Winning Trades $8,068.02
Avg Profit $1,696.72
Avg Bars Held 12.9
Max Consecutive 3

Losing Trades 31
Losing % 60.78%
Gross Loss ($33,709.51)
Largest Losing Trade ($4,387.50)
Avg Loss ($1,087.40)
Avg Bars Held 6.68
Max Consecutive 5

Max Drawdown ($19,392.14)
Max Drawdown Date 9/8/2008
Max Drawdown % -12.03%
Max Drawdown % Date 9/8/2008

APD 0.1947
APAD 74.9351
Wealth-Lab Score 50.3711
RAR 57.2612
MAR 0.0049
Profit Factor 1.0067
Recovery Factor 0.0116
Sharpe Ratio 0.0357
Sortino Ratio -0.0357
Ulcer Index 3.0327
WL Error Term 1.283
WL Reward Ratio 0.0461
Luck Coefficient 4.7551
Pessimistic Rate of Return 0.6626
Equity Drop Ratio 0
K-Ratio 0.0021
Seykota Lake Ratio 0.0143
Expectancy -0.1438
Expectancy Score -3.3571
Max Losers Held 1
Max Winners Held 1
More...

In fact, this long portion looks like where the losing side is.
 
Here's that farce of a system known as the Jack Hershey method. Start from page 1. Apparently they don't like experienced developers analyzing their crap for systems.
 
Not sure why this thread got no attention, because it's a perfect WL replica of the tradestation program that Scottd AKA Jack Hershey created in their thread.

What does it show?

Jack's system may be profitable, but it's not worth it on a risk adjusted basis.

The entry and exit logic is identical, making this a valid backtest. The whole program is everything at wl4.wealth-lab.com in Hershey 5.0 script, save for the entry logic, which was modified for the script that wanted to use 5 minute ES bars.

What's the verdict?

His system is crap, and sucks on a risk adjusted basis. With a profit factor of about 1.3, no one should trade it IMO.
 
Quote from bwolinsky:

I beat both of you jackasses to the punch, but it's not anything that I'd suggest anyone trades with a backtest like this:
Long + Short
Starting Capital $147,000.00
Ending Capital $181,279.61
Net Profit $34,279.61
Net Profit % 23.32%
Annualized Gain % 8.63%
Exposure 2.59%

Number of Trades 101
Avg Profit/Loss $339.40
Avg Bars Held 136.57

Winning Trades 41
Winning % 40.59%
Gross Profit $130,900.15
Largest Winning Trades $34,520.98
Avg Profit $3,192.69
Avg Bars Held 108.61
Max Consecutive 3

Losing Trades 60
Losing % 59.41%
Gross Loss ($96,620.53)
Largest Losing Trade ($15,601.52)
Avg Loss ($1,610.34)
Avg Bars Held 155.68
Max Consecutive 5

Max Drawdown ($97,930.51)
Max Drawdown Date 10/14/2008
Max Drawdown % -45.05%
Max Drawdown % Date 10/14/2008

APD 7.1314
APAD 67.0835
Wealth-Lab Score 183.0925
RAR 333.1836
MAR 0.1916
<b>Profit Factor 1.3548</b>
Recovery Factor 0.35
<b>Sharpe Ratio 0.5534</b>
Sortino Ratio 4.8168
Ulcer Index 13.0006
WL Error Term 6.986
WL Reward Ratio 1.2352
Luck Coefficient 10.8125
Pessimistic Rate of Return 1.0125
Equity Drop Ratio 0.6425
K-Ratio 0.0034
Seykota Lake Ratio 0.1
Expectancy 0.1076
Expectancy Score 2.2102
Max Losers Held 1
Max Winners Held 1


So, Scott, you ready to throw in the towel? This is exacly what you coded, and, you know what, it's crap. So quit. We may have established it's profitable, but it doesn't make much for the risk you're taking.
More...

This is all at 10% of equity using ES contracts approximated with an SPX chart.
 
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