JACK HERSHEY METHOD EXPOSED AS FRAUD! Debated

bwolinsky · Dec 17, 2008

Quote from bwolinsky:

And if you looked closer you'll find it's different. Yes I'm sure you have that wrong. The volume value you were using was fine, too.

Ex post, the MACD are the same. For some reason, older versions used MACDex, so in that irrelevant portion would have been the MACDex section. We're just dealing with regular MACD's.

I guess not, but I think I remember something later in the thread where they changed it to that. Let me check.

bwolinsky · Dec 17, 2008

This is their current version in EasyLanguage

{
CashCow automated trading system
Architect: Jack Hershey
Version 0.3
12 Dec 2008
New functionality: Context Supression Logic. Diagnostic Module.
New enhancements: Better organized code structure for natural reading.
Bug fixes: none
}

//Data Module
variables:
Stoch5FastK( 0 ), Stoch5FastD( 0 ), Stoch5SlowK( 0 ), Stoch5SlowD( 0 ),
Stoch14FastK( 0 ), Stoch14FastD( 0 ), Stoch14SlowK( 0 ), Stoch14SlowD( 0 ),
MACDVal( 0 ), MACDMA( 0 ), MACDDiff( 0 ),
TimeOK(False),
VolumeOK(False),
CurrentbarOK(False),
LongOK(False),
ShortOK(False),
DateOK(False);

//Formula Module

Value1 = Stochastic( H, L, C, 5, 2, 3, 1, Stoch5FastK, Stoch5FastD, Stoch5SlowK, Stoch5SlowD ) ;

Value2 = Stochastic( H, L, C, 14, 1, 3, 1,
Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD ) ;

MACDVal = MACD( Close, 5, 13 ) ;
MACDMA = XAverage( MACDVal, 6 ) ;
MACDDiff = MACDVal - MACDMA ;

//Context Supression Logic
if Time > 945 and Time < 1600 then TimeOK = True else TimeOK = False;

if Volume of 1 bar ago > 20000 then VolumeOK = True else VolumeOK = False;

if currentbar > 2 then CurrentbarOK = True else CurrentbarOK = False;

if MACDDiff > 0 then LongOK = true else LongOK = false; //Needs to be validated and then tuned.

This is another condition that needs to be added. The MACD>than it's signal line

if MACDDiff < 0 then ShortOK = true else ShortOK = false; //Needs to be validated and then tuned.

Another, MACD<smamacd

Julian dates, not sure what the conversion is, apparently only for testing
if date = 1081210 then DateOK = true else DateOK = false; //Only used during testing phase.

if CurrentBarOK and TimeOK and DateOK then
begin

If all those

//Entry Logic
if VolumeOK then //enter only when volume greater than 'Medium'
begin
if LongOK and Stoch5FastK crosses above 50 and Stoch5FastK > Stoch5FastD and marketposition = 0 then
Buy ( "S5FKLE" ) 1 contract this bar at close ;

if ShortOK and Stoch5FastK crosses below 50 and Stoch5FastK < Stoch5FastD and marketposition = 0 then

Sellshort ( "S5FKSE" ) 1 contract this bar at close ;
end;

//Reverse logic
If VolumeOK then
begin

if ShortOK and marketposition > 0 and Stoch5FastK crosses below 50 then

sellshort ( "S5FKRS" ) 1 contracts this bar at close ;

if LongOK and marketposition < 0 and Stoch5FastK crosses above 50 then
buy ( "S5FKRL" ) 1 contracts this bar at close ;
end;

//Exit Logic

{ Hold Logic. Tee up stub for later.

if absvalue( MACDVal ) < 1.4 then }
if {(Stoch14SlowK < Stoch14SlowD) and} (Stoch14SlowK crosses below 80) and marketposition > 0 then
Sell ( "S14SKLX" ) 1 contract this bar at close ;

if {(Stoch14SlowK > Stoch14SlowD) and} (Stoch14SlowK crosses above 20) and marketposition < 0 then
buytocover ( "S14SKSX" ) 1 contract this bar at close ;

if marketposition > 0 and Stoch14SlowK crosses below Stoch14SlowD then
sell ( "S14KDLX" ) 1 contract this bar at close ;

if marketposition < 0 and Stoch14SlowK crosses above Stoch14SlowD then
buytocover ( "S14KDSX" ) 1 contract this bar at close ;

if marketposition > 0 and Stoch5FastK crosses below 50 then
sell ( "S5FKSX" ) 1 contracts this bar at close ;

if marketposition < 0 and Stoch5FastK crosses above 50 then
buytocover ( "S5FKLX" ) 1 contracts this bar at close ;

//Diagnostic Module
{Remove brackets and define date to enable.
if date = 1081210 then
Print(File("c:\log.txt"), time, Stoch5FastK, Stoch5FastD, Stoch5SlowK, Stoch5SlowD,
Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD,
MACDVal, MACDMA, MACDDiff, " ",Volume[0]);

if date = 1081210 then
Print(Stoch5FastK, Stoch5FastD, Stoch5SlowK, Stoch5SlowD,
Stoch14FastK, Stoch14FastD, Stoch14SlowK, Stoch14SlowD,
MACDVal, MACDMA, MACDDiff, " ",Volume[0]);
}

end;

//End of Day Module
if Time > 1600 and marketposition > 0 then sell ( "EODLX" ) next bar at market;
if Time > 1600 and marketposition < 0 then buytocover ( "EODSX" ) next bar at market;

Changing the MACDVAl turned mine into a jackpot with 1 loser out of 20

Index Maximus · Dec 17, 2008

Quote from bwolinsky:

Also, with mods, I can send these orders to collective2 for trading on the es.

You missed the point entirely. The spx is not a good substitute for the ES in backtesting intraday systems for a variety of reasons, one of which is that the ES has an artificial .25 increment which the spx does not.

bwolinsky · Dec 17, 2008

Long + Short
Starting Capital $147,000.00
Ending Capital $370,019.03
Net Profit $223,019.03
Net Profit % 151.71%
Annualized Gain % 2306.60%
Exposure 1.29%

Cash Interest $0.00
Margin Loan Interest $0.00
Total Commission ($4.36)
DividendsPaid $0.00

Number of Trades 21
Avg Profit/Loss $10,619.95
Avg Profit/Loss % 2.11%
Avg Bars Held 16

Winning Trades 20
Winning % 95.24%
Gross Profit $235,951.82
Avg Profit $11,797.59
Avg Profit % 2.36%
Avg Bars Held 14.85
Max Consecutive 18

Losing Trades 1
Losing % 4.76%
Gross Loss ($12,932.79)
Avg Loss ($12,932.79)
Avg Loss % -3.00%
Avg Bars Held 39
Max Consecutive 1

Max Drawdown ($40,495.00)
Max Drawdown Date 11/13/2008
Max Drawdown % -14.42%
Max Drawdown % Date 9/16/2008

Wealth-Lab Score 152,716.00
RAR 178,454.69
Profit Factor 18.2445
Recovery Factor 5.5073
Payoff Ratio 0.7886
Sharpe Ratio 9.0281
Ulcer Index 3.2393
WL Error Term 4.578
WL Reward Ratio 503.8454
Luck Coefficient 3.7049
Pessimistic Rate of Return 6.1224
Equity Drop Ratio 0.0012

Long Only
Starting Capital $147,000.00
Ending Capital $281,186.61
Net Profit $134,186.61
Net Profit % 91.28%
Annualized Gain % 834.47%
Exposure 1.12%

Cash Interest $0.00
Margin Loan Interest $0.00
Total Commission ($2.40)
DividendsPaid $0.00

Number of Trades 11
Avg Profit/Loss $12,198.78
Avg Profit/Loss % 2.37%
Avg Bars Held 20.36

Winning Trades 10
Winning % 90.91%
Gross Profit $147,119.40
Avg Profit $14,711.94
Avg Profit % 2.90%
Avg Bars Held 18.5
Max Consecutive 9

Losing Trades 1
Losing % 9.09%
Gross Loss ($12,932.79)
Avg Loss ($12,932.79)
Avg Loss % -3.00%
Avg Bars Held 39
Max Consecutive 1

Max Drawdown ($40,495.00)
Max Drawdown Date 11/13/2008
Max Drawdown % -19.17%
Max Drawdown % Date 10/10/2008

Wealth-Lab Score 60,397.82
RAR 74,722.10
Profit Factor 11.3757
Recovery Factor 3.3137
Payoff Ratio 0.9692
Sharpe Ratio 58.3063
Ulcer Index 3.9803
WL Error Term 3.761
WL Reward Ratio 221.8739
Luck Coefficient 3.0144
Pessimistic Rate of Return 3.3135
Equity Drop Ratio 0.0048

Long + Short
Starting Capital $147,000.00
Ending Capital $370,019.03
Net Profit $223,019.03
Net Profit % 151.71%
Annualized Gain % 2306.60%
Exposure 1.29%

Cash Interest $0.00
Margin Loan Interest $0.00
Total Commission ($4.36)
DividendsPaid $0.00

Number of Trades 21
Avg Profit/Loss $10,619.95
Avg Profit/Loss % 2.11%
Avg Bars Held 16

Winning Trades 20
Winning % 95.24%
Gross Profit $235,951.82
Avg Profit $11,797.59
Avg Profit % 2.36%
Avg Bars Held 14.85
Max Consecutive 18

Losing Trades 1
Losing % 4.76%
Gross Loss ($12,932.79)
Avg Loss ($12,932.79)
Avg Loss % -3.00%
Avg Bars Held 39
Max Consecutive 1

Max Drawdown ($40,495.00)
Max Drawdown Date 11/13/2008
Max Drawdown % -14.42%
Max Drawdown % Date 9/16/2008

Wealth-Lab Score 152,716.00
RAR 178,454.69
Profit Factor 18.2445
Recovery Factor 5.5073
Payoff Ratio 0.7886
Sharpe Ratio 9.0281
Ulcer Index 3.2393
WL Error Term 4.578
WL Reward Ratio 503.8454
Luck Coefficient 3.7049
Pessimistic Rate of Return 6.1224
Equity Drop Ratio 0.0012

The more mods I make to this, a little bit closer do I get to thinking it probably does work. Still not enough data,
from 9/1/2008 for the current version see here.

I don't actually recall seeing results like these for a 4 month period in all the years I've been backtesting.

\/

bwolinsky · Dec 17, 2008

Quote from Index Maximus:

You missed the point entirely. The spx is not a good substitute for the ES in backtesting intraday systems for a variety of reasons, one of which is that the ES has an artificial .25 increment which the spx does not.

Would you like me to add $30 of slippage to each trade?

bwolinsky · Dec 17, 2008

Ok, we'll go with 2 points, yes, two whole points of slippage. That's $100 of slippage per contract per side. Agreed? Great, it still looks excellent to me:
Long + Short
Starting Capital $147,000.00
Ending Capital $302,255.30
Net Profit $155,255.30
Net Profit % 105.62%
Annualized Gain % 1098.80%
Exposure 1.37%

Cash Interest $0.00
Margin Loan Interest $0.00
Total Commission ($38,600.00)
DividendsPaid $0.00

Number of Trades 21
Avg Profit/Loss $7,393.11
Avg Profit/Loss % 1.70%
Avg Bars Held 16

Winning Trades 19
Winning % 90.48%
Gross Profit $169,804.03
Avg Profit $8,937.05
Avg Profit % 2.05%
Avg Bars Held 14.84
Max Consecutive 10

Losing Trades 2
Losing % 9.52%
Gross Loss ($14,548.73)
Avg Loss ($7,274.36)
Avg Loss % -1.68%
Avg Bars Held 27
Max Consecutive 1

Max Drawdown ($36,897.70)
Max Drawdown Date 11/13/2008
Max Drawdown % -15.54%
Max Drawdown % Date 9/16/2008

Wealth-Lab Score 67,650.29
RAR 80,097.21
Profit Factor 11.6714
Recovery Factor 4.2077
Payoff Ratio 1.2202
Sharpe Ratio 10.6025
Ulcer Index 3.8255
WL Error Term 4.02
WL Reward Ratio 273.3331
Luck Coefficient 4.0031
Pessimistic Rate of Return 5.2324
Equity Drop Ratio 0.0028

bwolinsky · Dec 17, 2008

Quote from bwolinsky:

Ok, we'll go with 2 points, yes, two whole points of slippage. That's $100 of slippage per contract per side. Agreed? Great, it still looks excellent to me:
Long + Short
Starting Capital $147,000.00
Ending Capital $302,255.30
Net Profit $155,255.30
Net Profit % 105.62%
Annualized Gain % 1098.80%
Exposure 1.37%

Cash Interest $0.00
Margin Loan Interest $0.00
Total Commission ($38,600.00)
DividendsPaid $0.00

Number of Trades 21
Avg Profit/Loss $7,393.11
Avg Profit/Loss % 1.70%
Avg Bars Held 16

Winning Trades 19
Winning % 90.48%
Gross Profit $169,804.03
Avg Profit $8,937.05
Avg Profit % 2.05%
Avg Bars Held 14.84
Max Consecutive 10

Losing Trades 2
Losing % 9.52%
Gross Loss ($14,548.73)
Avg Loss ($7,274.36)
Avg Loss % -1.68%
Avg Bars Held 27
Max Consecutive 1

Max Drawdown ($36,897.70)
Max Drawdown Date 11/13/2008
Max Drawdown % -15.54%
Max Drawdown % Date 9/16/2008

Wealth-Lab Score 67,650.29
RAR 80,097.21
Profit Factor 11.6714
Recovery Factor 4.2077
Payoff Ratio 1.2202
Sharpe Ratio 10.6025
Ulcer Index 3.8255
WL Error Term 4.02
WL Reward Ratio 273.3331
Luck Coefficient 4.0031
Pessimistic Rate of Return 5.2324
Equity Drop Ratio 0.0028

You know what I'm thinking, though. I'll go gather some stock data, and see what happens. Well, then the volume won't be right.

bwolinsky · Dec 17, 2008

You know what I say frost? Forget the close at the end of the day. It decreases results quite a bit.

nkhoi · Dec 17, 2008

Quote from Index Maximus:

Bwolinsky you nutjob!!
You test a system on the SPX and conclude that it is profitable on the ES ?? A simple crossover is profitable on the SPX. I have a drawer full of profitable systems on the SPX. YOU CANT TRADE THE SPX !!!!!!!!

http://data.tradingcharts.com/futures/quotes/SP.html

oraclewizard77 · Dec 17, 2008

So do you do now need to change the thread name to

how bwolinsky designed a system based on Jack Hershey that may actually work

instead of fraud?

JACK HERSHEY METHOD EXPOSED AS FRAUD! *Debated*

Attachments

JACK HERSHEY METHOD EXPOSED AS FRAUD! Debated