System Development with acrary

[acrary]

Here's the annual summary from Nov. 1995 - present for the SP market.

 

[acrary]

Here's the overall summary for the SP market.

 

[acrary]

Same system with the overall summary for the ND market.

 

[acrary]

And finally the overall summary for the Russell 2000 from 1993 - present. I never traded it but I thought i'd run it just to see how it did.

 

[acrary]

If anyone wants to replicate these tests, I used Pinnacle data for both the VIX info. and the CLC (Continuously linked contracts).

http://www.pinnacledata.com/

 

[acrary]

I guess one last one. Here's the ES market from 1997 to the present.

 

[acrary]

Missed the attachment.

 

[Walther]

Quote from acrary:

.

If it continues to perform well maybe I'll look to add a version of it back in with my trading.

This comment is meant for general public.
Crossover systems will generally do well when traded intraday, not so good when traded of daily prices. By substituting different filters based on the most recent action of the chosen market, you can use their basic rules( idea ) forever.
If I were you guys I would read those attachments very carefully.

 

[trillenium]

I tested this system on ES and i have pretty much same results -- then i tested it on Dax future with the VDAX and does not work at all -- for me unfortunately this is not a very stable system -- it should have worked on another equity index -- i always test my systems on all related markets (equities, bonds etc) and they then have to work there also.

Never mind acrary - your contributions to this forum is the best i read so far

thanks

 

[squeeze]

Quote from trillenium:

I tested this system on ES and i have pretty much same results -- then i tested it on Dax future with the VDAX and does not work at all -- for me unfortunately this is not a very stable system -- it should have worked on another equity index -- i always test my systems on all related markets (equities, bonds etc) and they then have to work there also.

Never mind acrary - your contributions to this forum is the best i read so far

thanks

I think this was only posted as an example of what an edge looks like or has looked like.

If a system shows performance that is consistantly and significantly better than random then the fact it does not exhibit the same performance on another related market shouldn't matter. The inefficiency may be related to a specific feature of one market but may still be very profitable to trade.

Thank you to Acrary for sharing this material. It is very generous of you and I am sure will benefit people on this forum.

I would be very interested if you are able to post any more about your approach to developing these systems based on the edge test you are using. For instance, how to you get from something that is showing a small improvement over random to something with a tradable edge?