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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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8 29 1.50
9 32 1.48
10 32 1.47
7 26 1.32
8 32 1.30
7 32 1.15
9 23 1.06
8 23 0.64
7 29 0.61
6 26 0.58
7 23 0.56
10 20 0.30
6 23 0.21
8 20 0.12
6 32 -0.03
6 29 -0.10
6 20 -0.30
9 20 -0.30
7 20 -0.45
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
System Development and Analysis
133
TABLE 7.6 Moving average crossover optimization for CBOT T-notes—out-of-
sample study (2003).
Short Moving Average Long Moving Average P:MD
6 26 0.60
6 23 0.34
7 23 0.27
10 26 0.16
9 20 0.15
6 20 0.13
7 26 0.13
10 32 0.13
9 26 0.12
8 32 0.11
9 32 0.11
6 29 0.09
7 20 0.08
10 29 0.08
10 23 0.07
8 26 0.07
9 29 0.07
8 29 0.05
8 23 0.04
9 23 0.01
7 29 0.00
10 20 -0.03
7 32 -0.04
6 32 -0.10
8 20 -0.30
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
134
MECHANICAL TRADING SYSTEMS
TABLE 7.7 Moving average crossover optimization for COMEX gold
(1993-2002).
Short Moving Average Long Moving Average P:MD
10 29 0.08
10 32 -0.07
10 2б -0.22
7 32 -0.40
g 32 -0.40
10 23 -0.41
9 26 -0.43
б 32 -0.43
7 2g -0.4б
g 23 -0.4g
g 2g -0.4g
8 2g -0.51
10 20 -0.53
8 32 -0.54
8 2б -0.б4
б 2g -0.б4
8 23 -0.б8
g 20 -0.б9
7 23 -0.72
7 2б -0.74
б 23 -0.77
8 20 -0.78
б 2б -0.78
б 20 -0.81
7 20 -0.81
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
System Development and Analysis
135
TABLE 7.8 Moving average crossover optimization for COMEX gold—out-of-
sample study (2003).
Short Moving Average Long Moving Average P:MD
10 29 1.90
8 26 1.80
9 26 1.80
10 26 1.71
7 29 1.62
9 29 1.40
9 32 1.36
8 29 1.30
9 23 1.29
10 23 1.27
8 32 1.23
7 32 1.22
10 20 1.19
7 23 1.12
8 23 1.00
10 32 1.00
6 29 0.99
6 23 0.95
9 20 0.93
7 26 0.93
6 32 0.90
6 26 0.72
8 20 0.55
7 20 0.45
6 20 0.39
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
136
MECHANICAL TRADING SYSTEMS
TABLE 7.9 Moving average crossover optimization for CBOT soybeans
(1993-2002).
Short Moving Average Long Moving Average P:MD
10 26 0.70
9 29 0.58
8 29 0.39
7 26 0.34
8 26 0.31
9 32 0.24
7 29 0.18
9 26 0.17
10 29 0.16
10 32 0.08
8 32 -0.12
8 23 -0.13
7 23 -0.20
6 26 -0.22
6 23 -0.27
7 32 -0.30
9 23 -0.35
10 23 -0.36
8 20 -0.38
6 29 -0.41
6 32 -0.45
6 20 -0.51
10 20 -0.62
9 20 -0.72
7 20 -0.79
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
System Development and Analysis
137
TABLE 7.10 Moving average crossover optimization for CBOT soybeans—out-
of-sample study (2003).
Short Moving Average Long Moving Average P:MD
10 20 1.94
6 23 1.13
7 20 1.07
6 20 0.93
10 32 0.92
7 23 0.89
9 20 0.83
10 29 0.77
8 20 0.74
10 26 0.73
6 26 0.53
8 23 0.51
10 23 0.22
9 23 0.16
6 32 -0.01
8 29 -0.08
9 29 -0.10
7 32 -0.11
9 32 -0.11
6 29 -0.14
8 32 -0.16
8 26 -0.24
7 26 -0.29
7 29 -0.38
9 26 -0.39
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
138
MECHANICAL TRADING SYSTEMS
TABLE 7.11 Moving average crossover optimization for CME lean hogs
(1993-2002).
Short Moving Average Long Moving Average P:MD
10 26 1.52
9 26 1.38
8 32 0.81
9 23 1.52
8 29 0.80
8 26 1.04
7 29 0.79
7 32 0.68
10 23 1.04
9 20 0.96
9 32 0.59
9 29 0.55
6 32 0.57
10 20 0.82
10 29 0.57
10 32 0.36
6 29 0.40
7 26 0.29
8 23 0.18
6 26 0.15
6 23 0.17
7 23 0.03
8 20 -0.26
7 20 -0.25
6 20 -0.42
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
System Development and Analysis
139
TABLE 7.12 Moving average crossover optimization for CME lean hogs—out-of-
sample study (2003).
Short Moving Average Long Moving Average P:MD
G 32 0.86
9 23 0.58
7 32 0.48
8 23 0.38
9 20 0.34
10 20 0.34
9 26 0.25
10 23 0.23
7 20 0.21
7 29 0.19
8 2G 0.18
7 23 0.13
G 20 0.06
8 20 0.05
G 29 0.05
9 29 0.03
8 29 0.02
1O 26 -0.06
7 26 -0.07
G 2G -0.10
10 32 -0.12
10 29 -0.13
G 23 -0.19
8 32 -0.21
9 32 -0.21
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
140
MECHANICAL TRADING SYSTEMS
TABLE 7.13 Moving average crossover optimization for CME eurodollars
(1993-2002).
Short Moving Average Long Moving Average P:MD
7 29 2.28
8 32 2.20
9 32 2.18
9 29 2.17
6 29 2.11
9 23 2.06
7 32 1.96
10 29 1.72
8 29 1.71
10 32 1.71
9 20 1.53
10 23 1.51
8 23 1.49
8 20 1.30
8 26 1.26
10 26 1.26
10 20 1.17
6 32 1.14
7 26 1.04
9 26 1.02
7 20 0.95
7 23 0.72
6 20 0.69
6 26 0.59
6 23 0.51
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
Previous << 1 .. 47 48 49 50 51 52 < 53 > 54 55 56 57 58 59 .. 82 >> Next