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Mechanical trading systems - Weissman R.L.

Weissman R.L. Mechanical trading systems - Wiley publishing , 2005 . - 240 p.
ISBN 0-471-65435-3
Download (direct link): mechanicaltradingsystems2005.pdf
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ED 6452 65 29 -5394 1523 11 1.20 1.59 33.85 73.23
SF 26462 84 22 -12875 869 5 2.06 1.40 44.05 69.43
JY 80362 76 24 -18850 411 8 4.26 2.13 50.00 68.34
CL 8730 73 23 -19840 566 8 0.44 1.18 42.47 65.59
GC -12370 84 21 -20180 2250 7 -0.61 0.66 34.52 65.64
S -4900 78 22 -15687 2378 9 -0.31 0.89 33.33 65.61
LH 17220 73 24 -10150 860 5 1.70 1.49 39.73 65.58
CT 9100 82 22 -21105 1946 7 0.43 1.15 35.37 67.79
Total 138373 769 23.2 -51380 1 168 11 2.69 1.26 38.1 67.54
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
54
MECHANICAL TRADING SYSTEMS
provement over the two moving average Ichimoku crossover (6.92 percent versus 1.26 percent for the two moving average Ichimoku system assuming $200,000 under management and less than 50 percent of its worst drawdown), it obviously underperformed when compared with our original two moving average crossover.
ICHIMOKU THREE MOVING AVERAGE CROSSOVER

The Ichimoku version of the three moving average crossover system not only allows for neutrality, but also has a built in whipsaw waiting period requiring both the 26- and 52-day moving averages to be trending in the direction of the crossover prior to entry.
Using CQG, the programming code for the Ichimoku three moving average crossover system is written in this way:
Long Entry:
MA(@,Sim,9)[-1] > MA(@,Sim,26)[-1] AND MA(@,Sim,26)[-1] > MA(@,Sim,52)[-1] AND MA(@,Sim,26)[-1] > MA(@,Sim,26)[-2] AND MA(@,Sim,52)[-1] > MA(@,Sim,52)[-2]
Long Exit:
MA(@,Sim,9)[-1] < MA(@,Sim,26)[-1] OR MA(@,Sim,26)[-1] < MA(@,Sim,52)[-1]
Short Entry:
MA(@,Sim,9)[-1] < MA(@,Sim,26)[-1] AND MA(@,Sim,26)[-1] < MA(@,Sim,52)[-1] AND MA(@,Sim,26)[-1] < MA(@,Sim,26)[-2] AND MA(@,Sim,52)[-1] < MA(@,Sim,52)[-2]
Short Exit:
MA(@,Sim,9) [-1] > MA(@,Sim,26)[-1] OR MA(@,Sim,26)[-1] > MA(@,Sim,52)[-1]
Table 3.5 presents the backtested portfolio results from December 31, 1992, to December 31, 2002, for this system.
Notice that the three moving average Ichimoku generated superior results to the simple three moving average crossover. This is in stark contrast to our comparison of the two moving average crossover and the two mov-
Trend-Following Systems
TABLE 3.5 Three moving average Ichimoku cross-over.
55
Asset Profit # Trades # Days Max Draw MDD MCL P:MD P:L Ratio %W Time %
ES -17869 75 22 -9330 907 7 -0.57 0.75 30.67 62.44
TY 21525 56 30 -10931 556 4 1.97 1.61 42.86 64.97
ED 7471 58 32 -5106 1518 10 1.46 1.80 34.48 70.64
SF 32550 72 24 -11275 541 5 2.89 1.60 44.44 64.57
JY 81462 62 27 -16837 649 6 4.84 2.04 48.39 64.00
CL 9610 61 27 -21750 702 7 0.44 1.22 42.62 62.35
GC -12680 73 22 -20560 2357 6 -0.62 0.65 32.88 61.45
S -2800 64 25 -14712 2378 7 -0.19 0.93 34.37 61.80
LH 15690 63 26 -10610 1014 4 1.48 1.45 41.27 62.68
CT 18270 68 24 -16360 1946 8 1.12 1.38 36.76 62.58
Total 153229 652 25.6 -50911 1 168 10 3.01 1.35 38.65 63.62
Note: All trade summaries include $100 round-turn trade deductions for slippage and commissions. Data source: CQG, Inc.
ing average Ichimoku. This reversal illustrates the problems encountered when attempting to generalize rules of performance from a single example. If, after our comparison of the regular and Ichimoku two moving average crossovers, we incorrectly concluded that Ichimoku would always under-perform and eliminated it from future examination, we would have discarded the second best performing crossover system of the four analyzed.
MACD
Obviously there are various methods of generating trend-following trading systems with MACD. This section shows one of the simplest applications of a stop-and-reverse MACD trend-following system based on MACD crossing the MACD’s signal line and the signal line crossing the zero level. Readers are strongly encouraged to view this rudimentary system as a prototype in developing their own strategies.
Using CQG, the programming code for a simple MACD stop and reverse trading system is written in this way:
Long Entry and Short Exit:
MACD(@,13.000,26.000)[-1] XABOVE MACDA(@,13.000,26.000,9.000)[-1]
AND MACDA(@,13.000,26.000,9.000)[-1] > 0
Short Entry and Long Exit:
MACD(@,13.000,26.000)[-1] XBELOW MACDA(@,13.000,26.000,9.000) [-1] AND MACDA(@,13.000,26.000,9.000)[-1] < 0
56
MECHANICAL TRADING SYSTEMS
TABLE 3.6 MACD.
Asset Profit # Trades # Days Max Draw MDD MCL P:MD P:L Ratio %W Time %
ES -4242 19 133 -42446 1089 4 -0.10 0.91 36.84 100
TY 35678 19 132 -12875 810 5 2.77 3.10 47.37 100
ED 9097 15 165 -6812 1827 8 1.34 2.60 26.67 100
SF 58225 14 179 -20225 516 3 2.88 3.72 57.14 100
JY 37 18 137 -41500 1098 2 0.00 1.00 44.44 100
CL 61080 14 179 -19840 521 5 3.08 4.75 42.86 100
GC 740 22 113 -13810 985 6 0.05 1.04 36.36 100
S -18812 23 110 -35325 2378 5 -0.53 0.61 34.78 100
LH 21440 18 139 -11690 688 4 1.83 1.94 50.00 100
CT 56255 13 193 -13990 510 1 4.02 6.43 61.54 100
Total 219498 175 142.9 - -42554 686 7 5.16 2.34 42.85 100
Note: All trade summaries include $100 round-turn trade deductions for slippage and commissions. Data source: CQG, Inc.
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