Quote from bwolinsky:
Hi, guys. I've concluded it's a poor Risk adjusted system. No secret there, however, I cannot for certain say it is unprofitable. Based on the 15 Minute .SPX at 10% position from the only data that has complete volume info going back to 8/11/2008.
If anybody has an ASCII DATA File with O H L C VOLUME TIME DATE SYMBOL attachments, I can have a more complete backtest. This is suggestive of something sutainable:
Long + Short
Starting Capital $147,000.00
Ending Capital $199,259.75
Net Profit $52,259.75
Net Profit % 35.55%
Annualized Gain % 139.84%
Exposure 0.83%
Cash Interest $0.00
Margin Loan Interest $0.00
Total Commission ($4.46)
DividendsPaid $0.00
Number of Trades 28
Avg Profit/Loss $1,866.42
Avg Profit/Loss % 0.53%
Avg Bars Held 8.14
Winning Trades 15
Winning % 53.57%
Gross Profit $139,424.20
Avg Profit $9,294.95
Avg Profit % 2.44%
Avg Bars Held 7.53
Max Consecutive 5
Losing Trades 13
Losing % 46.43%
Gross Loss ($87,164.45)
Avg Loss ($6,704.96)
Avg Loss % -1.67%
Avg Bars Held 8.85
Max Consecutive 3
Max Drawdown ($48,564.80)
Max Drawdown Date 10/15/2008
Max Drawdown % -24.04%
Max Drawdown % Date 10/15/2008
Wealth-Lab Score 12,729.51
RAR 16,757.47
Profit Factor 1.5996 The PF is where I conclude that the system has some deficiencies
Recovery Factor 1.0761
Payoff Ratio 1.4597
Sharpe Ratio 2.0491 It's not bad, but I'm concerned that we don't have enough data.
Ulcer Index 9.8221
WL Error Term 5.149
WL Reward Ratio 27.1581
Luck Coefficient 2.5814
Pessimistic Rate of Return 0.9781
Equity Drop Ratio 0.0313
Long
Long Only
Starting Capital $147,000.00
Ending Capital $150,843.53
Net Profit $3,843.53
Net Profit % 2.61%
Annualized Gain % 7.69%
Exposure 0.52%
Cash Interest $0.00
Margin Loan Interest $0.00
Total Commission ($2.40)
DividendsPaid $0.00
Number of Trades 15
Avg Profit/Loss $256.24
Avg Profit/Loss % 0.02%
Avg Bars Held 8.33
Winning Trades 7
Winning % 46.67%
Gross Profit $61,912.40
Avg Profit $8,844.63
Avg Profit % 2.15%
Avg Bars Held 7.14
Max Consecutive 2
Losing Trades 8
Losing % 53.33%
Gross Loss ($58,068.87)
Avg Loss ($7,258.61)
Avg Loss % -1.85%
Avg Bars Held 9.38
Max Consecutive 3
Max Drawdown ($45,560.73)
Max Drawdown Date 11/21/2008
Max Drawdown % -24.55%
Max Drawdown % Date 11/21/2008
Wealth-Lab Score 1,119.99
RAR 1,484.43
Profit Factor 1.0662
Recovery Factor 0.0844
Payoff Ratio 1.1631
Sharpe Ratio 0.0471 I think the long side is horrible. It's my opinion this method should only be used for short sells
Ulcer Index 14.678
WL Error Term 4.943
WL Reward Ratio 1.556
Luck Coefficient 2.9359
Pessimistic Rate of Return 0.4677
Equity Drop Ratio 0.5054
Short Only
Starting Capital $147,000.00
Ending Capital $195,416.22
Net Profit $48,416.22
Net Profit % 32.94%
Annualized Gain % 126.79%
Exposure 0.39%
Cash Interest $0.00
Margin Loan Interest $0.00
Total Commission ($2.06)
DividendsPaid $0.00
Number of Trades 13
Avg Profit/Loss $3,724.32
Avg Profit/Loss % 1.13%
Avg Bars Held 7.92
Winning Trades 8
Winning % 61.54%
Gross Profit $77,511.79
Avg Profit $9,688.97
Avg Profit % 2.70%
Avg Bars Held 7.88
Max Consecutive 3
Losing Trades 5
Losing % 38.46%
Gross Loss ($29,095.58)
Avg Loss ($5,819.12)
Avg Loss % -1.40%
Avg Bars Held 8
Max Consecutive 3
Max Drawdown ($21,205.58)
Max Drawdown Date 10/14/2008
Max Drawdown % -12.43%
Max Drawdown % Date 10/14/2008
Wealth-Lab Score 28,816.65
RAR 32,905.19
Profit Factor 2.664
Recovery Factor 2.2832
Payoff Ratio 1.9339
Sharpe Ratio 5.6142 A Very good system for just the short
Ulcer Index 3.6959
WL Error Term 2.67
WL Reward Ratio 47.4884
Luck Coefficient 1.9933
Pessimistic Rate of Return 1.3821
Equity Drop Ratio 0.0227
What should we conclude? Hershey appears to use some discretion in his system. The long side is not effective in its current form.
This is the final version of the Jack Hershey Method. The Shell Programs for indicators were taken from wl4.wealth-lab.com. This Jack Hershey Method 15 Minute Script needs more backtesting. I encourage anyone with the data to backtest on 15 minute bars with ES.
Is it profitable? Yes, for this time period. Further research is needed to say yes or no. In its current form, this is what Jack Hershey has been writing about, through a pawn called ScottD.
See below for what I consider to be a working version of Jack Hershey's Method. If you don't have WL, there some caveats I should add. 28 trade backtests are normally not indicative of a profitable or unprofitable system. I shall say the result is intriguing, but my limitation is the fact that I'm missing volume data on the ES. This is only an approximation from the .SPX that only has data since 8/11/2008.
This script has been elusive for at least 10 years now, and has been unlocked. Partial credit is due for the indicators coded by Spydertrader, who never knew the real system. This version is profitable since 8/11/2008 with the results listed above.
I welcome anyone that wants to continue rather than stating opinions, to simply post the results they get in WL on 15 minute bars.
Adustments that will need to be made if you want to use it for 5 minute bars is to adjust the times it accepts orders.
This should lay it to rest, but there's much more debate to happen. The point is, anyone who wants to say anyway or the other will need to test it themselves. That means opening up Fidelity Accounts just to get WLP. When you get WLP up, drop me a line, and I'll rewrite it for buying SDS and SSO.
Anyway, don't have much else to say. Is it fraud? Fraud in the sense that he claims to make unsubstantiated profits with the system. As we can see, it's not profitable enough to turn $10k into $1m in 180 days.
As I say, I have better systems, like this one:
Long + Short
Starting Capital $147,000.00
Ending Capital $309,396.85
Net Profit $162,396.85
Net Profit % 110.47%
Annualized Gain % 34.59%
Exposure 3.15%
Cash Interest $17,278.83
Margin Loan Interest $0.00
Total Commission ($7.50)
DividendsPaid $0.00
Number of Trades 68
Avg Profit/Loss $2,388.19
Avg Profit/Loss % 1.18%
Avg Bars Held 3.1
Winning Trades 59
Winning % 86.76%
Gross Profit $216,250.91
Avg Profit $3,665.27
Avg Profit % 1.89%
Avg Bars Held 2.97
Max Consecutive 14
Losing Trades 9
Losing % 13.24%
Gross Loss ($71,132.88)
Avg Loss ($7,903.65)
Avg Loss % -3.48%
Avg Bars Held 4
Max Consecutive 1
Max Drawdown ($39,203.44)
Max Drawdown Date 10/9/2008
Max Drawdown % -12.61%
Max Drawdown % Date 10/9/2008
Wealth-Lab Score 960.2811
RAR 1,098.85
Profit Factor 3.0401
Recovery Factor 4.1424
Payoff Ratio 0.5417
Sharpe Ratio 4.1097
Ulcer Index 2.1549
WL Error Term 2.455
WL Reward Ratio 14.0894
Luck Coefficient 8.4552
Pessimistic Rate of Return 2.3167
Equity Drop Ratio 0.0497
but if you want to improve on the script below, I'm sure there's a possibility it could do better.
Good luck.
\/
