JACK HERSHEY METHOD EXPOSED AS FRAUD! *Debated*

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Quote from oraclewizard77:

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?
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:confused: :confused: :confused:
More like, BWOLINSKY on Jack Hershey's Method. Or is that over the top?:D
 
Quote from frostengine:

I decided to convert this over to NinjaTrader. And I tested on 5 min ES data from 7/2003 to 10/21/2008. Here is the code I used. I tried to stick as closely as possible to ScottD's implementation

CashCow automated trading system
Architect: Jack Hershey
Version 0.3
12 Dec 2008

The only thing In my implementation I am unsure of is the stochastics. I may have used wrong parameters there.. Can someone verify this for me and I can rerun the tests. Let me know what is wrong in the conversions and I can make changes.

Here is the code:

bool timeOK=false;
bool volumeOK=false;
bool currentbarOK=false;
bool LongOK=false;
bool ShortOK=false;

//I am on Central time hence the time difference...
if(this.Time[0].Hour>=8&&Time[0].Minute>=45&&Time[0].Hour<15)
timeOK=true;

if(Volume[1]>20000)
volumeOK=true;

if(this.CurrentBar>2)
currentbarOK=true;

if(MACD(5,13,6).Diff[0]>0)
LongOK=true;

if(MACD(5,13,6).Diff[0]<0)
ShortOK=true;

//I may be using the wrong Stochastic parameters...
//Stochastics(D,K,Smooth)
double Stoch5FastK=Stochastics(2,5,3).K[0];
double Stoch5FastKLast=Stochastics(2,5,3).K[1];
double Stoch5FastD=Stochastics(2,5,3).D[0];
double Stoch5FastDLast=Stochastics(2,5,3).D[1];

double Stoch14SlowK=Stochastics(1,14,3).K[0];
double Stoch14SlowKLast=Stochastics(1,14,3).K[1];
double Stoch14SlowD=Stochastics(1,14,3).D[0];
double Stoch14SlowDLast=Stochastics(1,14,3).D[1];

if(currentbarOK==true&&timeOK==true)
{
if(volumeOK==true&&this.Position.MarketPosition==MarketPosition.Flat)
{
if(LongOK==true && Stoch5FastK>50&&Stoch5FastKLast<50&&Stoch5FastK>Stoch5FastD)
{
EnterLong(1,"");
}

if(ShortOK==true && Stoch5FastK<50&&Stoch5FastKLast>50&&Stoch5FastK<Stoch5FastD)
{
EnterShort(1,"");
}
}

if(volumeOK==true)
{
if(ShortOK==true && Stoch5FastK<50&&Stoch5FastKLast>50&&this.Position.MarketPosition==MarketPosition.Long)
{
EnterShort(1,"");
}

if(LongOK==true && Stoch5FastK>50&&Stoch5FastKLast<50&&this.Position.MarketPosition==MarketPosition.Short)
{
EnterLong(1,"");
}
}

if(Position.MarketPosition==MarketPosition.Long&&Math.Abs(MACD(5,13,6)[0])<1.4)
{
if(Stoch14SlowK<Stoch14SlowD&&Stoch14SlowK<80&&Stoch14SlowKLast>80)
{
ExitLong();
}

if(Stoch14SlowK<Stoch14SlowD&&Stoch14SlowKLast>Stoch14SlowDLast)
{
ExitLong();
}

if(Stoch5FastK<50&&Stoch5FastKLast>50)
{
ExitLong();
}
}

if(Position.MarketPosition==MarketPosition.Short&&Math.Abs(MACD(5,13,6)[0])<1.4)
{
if(Stoch14SlowK>Stoch14SlowD&&Stoch14SlowK>20&&Stoch14SlowKLast<20)
{
ExitShort();
}

if(Stoch14SlowK>Stoch14SlowD&&Stoch14SlowKLast<Stoch14SlowDLast)
{
ExitShort();
}

if(Stoch5FastK>50&&Stoch5FastKLast<50)
{
ExitShort();
}
}
}

if(this.Time[0].Hour>=15)
{
ExitLong();
ExitShort();
}
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Maybe the stochastics are off.
 
Beau, not sure I understand your motive for sharing a code that you've worked extensively on that COULD make you a lot of money? I understand trying to prove or disprove J Hershey but to share all your hard work freely seems, well, not bright.

Unless of course you aren't sharing it all but then what would be the point of sharing any of it?

Quote from bwolinsky:

:confused: :confused: :confused:
More like, BWOLINSKY on Jack Hershey's Method. Or is that over the top?:D
More...
 
Quote from bwolinsky:




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.

\/
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Hey BW, what is this tested on? 5 minute ES data? thnx
 
So, you guys were definitely doubters that I could convert the .SPX data into a tradeable system, but I did just that, and here it is on SDS and SSO at 100% of equity. Looks nice and juicy to me, and I don't see much evidence of slippage here, assuming a 0.01 per share of slippage and commission.
Long + Short
Starting Capital $147,000.00
Ending Capital $315,167.88
Net Profit $168,167.88
Net Profit % 114.40%
Annualized Gain % 781.36%
Exposure 12.41%

Cash Interest $2,117.45
Margin Loan Interest ($1.92)
Total Commission ($1,918.32)
DividendsPaid $0.00

Number of Trades 21
Avg Profit/Loss $8,007.99
Avg Profit/Loss % 3.75%
Avg Bars Held 16

Winning Trades 20
Winning % 95.24%
Gross Profit $175,451.28
Avg Profit $8,772.56
Avg Profit % 4.25%
Avg Bars Held 14.85
Max Consecutive 18

Losing Trades 1
Losing % 4.76%
Gross Loss ($9,398.93)
Avg Loss ($9,398.93)
Avg Loss % -6.20%
Avg Bars Held 39
Max Consecutive 1

Max Drawdown ($30,482.64)
Max Drawdown Date 11/13/2008
Max Drawdown % -14.41%
Max Drawdown % Date 10/10/2008

Wealth-Lab Score 5,387.22
RAR 6,294.57
Profit Factor 18.6672
Recovery Factor 5.5168
Payoff Ratio 0.6845
Sharpe Ratio 8.4203
Ulcer Index 2.529
WL Error Term 4.858
WL Reward Ratio 160.8406
Luck Coefficient 4.063
Pessimistic Rate of Return 5.3141
Equity Drop Ratio 0.0035

You'll have to excuse me for not posting the program. This is usually the last step I take before watching it for awhile. I'll watch it till it builds for the next 10 trades. If it wins greater than 80-90% of the time, I'd say it works.
 
BW, are these some of the trades you are getting. Something doesn't look right. thnx


Code: 
Short	SPX15	160	12/8/2008 10:15:00 AM	901.69	12/8/2008 12:45:00 PM	907.91	-0.69	-1,001.20	10	-100.12	Jacks friend
Long	SPX15	158	12/9/2008 7:15:00 AM	907.59	12/9/2008 12:45:00 PM	889.16	-2.03	-2,917.95	22	-132.63	Jacks friend 
Long	SPX15	156	12/10/2008 7:15:00 AM	900.83	12/10/2008 7:45:00 AM	897.19	-0.41	-573.84	2	-286.92	Jacks friend 
Short	SPX15	156	12/10/2008 10:00:00 AM	896.24	12/10/2008 11:15:00 AM	891.20	0.56	780.24	5	156.05	Jacks friend 
Long	SPX15	157	12/10/2008 12:30:00 PM	898.68	12/10/2008 12:45:00 PM	898.97	0.03	39.53	1	39.53	Jacks friend
Short	SPX15	157	12/11/2008 10:30:00 AM	896.18	12/11/2008 12:45:00 PM	874.08	2.46	3,463.70	9	384.86	Jacks friend 
Long	SPX15	167	12/12/2008 9:15:00 AM	865.94	12/12/2008 10:15:00 AM	873.17	0.83	1,201.41	4	300.35	Jacks friend 
Short	SPX15	168	12/12/2008 10:45:00 AM	865.43	12/12/2008 12:45:00 PM	880.04	-1.69	-2,460.48	8	-307.56	Jacks friend s
Short	SPX15	164	12/15/2008 7:15:00 AM	871.20	12/15/2008 9:00:00 AM	870.28	0.10	144.88	7	20.70	Jacks friend 
Long	SPX15	165	12/15/2008 10:45:00 AM	868.65	12/15/2008 12:45:00 PM	869.40	0.08	117.75	8	14.72	Jacks friend 
Short	SPX15	160	12/17/2008 7:15:00 AM	896.37	12/17/2008 12:45:00 PM	903.92	-0.85	-1,214.00	22	-55.18	Jacks 	0.00
 
From the stats it looks like the code is "peeking" at future bars. You have 10 pages of code... how do you know this isn't the problem?
 
Quote from Trader666:

From the stats it looks like the code is "peeking" at future bars. You have 10 pages of code... how do you know this isn't the problem?
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Sure looks like that to me too.

I'm running the code on esig $SPX 15 minute bars for the last 120 days.

Net profit is -$4360. I "trade" all I can starting with $147,000.

Something is not right.
 
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