Books
in black and white
Main menu
Home About us Share a book
Books
Biology Business Chemistry Computers Culture Economics Fiction Games Guide History Management Mathematical Medicine Mental Fitnes Physics Psychology Scince Sport Technics
Ads

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
Previous << 1 .. 48 49 50 51 52 53 < 54 > 55 56 57 58 59 60 .. 82 >> Next

System Development and Analysis
141
TABLE 7.14 Moving average crossover optimization for CME eurodollars—out-
of-sample study (2003).
Short Moving Average Long Moving Average P:MD
6 32 -0.91
6 20 -0.92
6 23 -0.92
7 20 -0.93
8 32 -0.94
9 32 -0.94
10 32 -0.94
6 29 -0.95
10 29 -0.95
7 32 -0.95
6 26 -0.96
7 29 -0.96
8 29 -0.96
9 29 -0.96
8 26 -0.97
9 26 -0.97
10 23 -0.97
7 26 -0.97
9 23 -0.97
8 23 -0.97
7 23 -0.97
10 26 -0.97
8 20 -0.98
9 20 -0.98
10 20 -0.98
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
142
MECHANICAL TRADING SYSTEMS
TABLE 7.15 Moving average crossover optimization for CME Japanese yen
(1993-2002).
Short Moving Average Long Moving Average P:MD
8 29 5.16
7 29 4.93
7 32 3.45
8 32 3.42
9 29 3.23
6 23 3.20
9 32 3.12
6 29 2.84
10 29 2.61
7 26 2.48
10 23 2.47
8 26 2.39
10 32 2.27
8 20 1.92
6 32 1.89
10 20 1.82
9 26 1.81
6 26 1.80
7 23 1.70
9 20 1.69
9 23 1.69
10 26 1.47
8 23 1.40
7 20 1.37
6 20 1.13
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
System Development and Analysis
143
TABLE 7.16 Moving average crossover optimization for CME Japanese yen—out-
of-sample study (2003).
Short Moving Average Long Moving Average P:MD
10 32 0.03
10 29 0.01
9 29 -0.06
6 23 -0.09
9 32 -0.18
9 23 -0.25
10 23 -0.25
8 26 -0.30
8 32 -0.33
7 23 -0.34
6 20 -0.35
10 20 -0.35
7 29 -0.35
7 26 -0.37
8 29 -0.38
10 26 -0.41
7 32 -0.41
8 23 -0.43
9 26 -0.46
6 26 -0.49
6 32 -0.58
7 20 -0.59
9 20 -0.59
8 20 -0.63
6 29 -0.66
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
144
MECHANICAL TRADING SYSTEMS
TABLE 7.17 Moving average crossover optimization for CME Swiss franc
(1993-2002).
Short Moving Average Long Moving Average P:MD
10 29 1.76
9 29 1.44
8 32 1.41
9 32 1.39
10 32 1.30
10 26 1.10
8 29 1.07
8 26 0.91
9 26 0.72
9 23 0.56
6 26 0.48
7 26 0.44
7 29 0.35
10 20 0.25
8 23 -0.11
9 20 -0.15
10 23 -0.18
8 20 -0.19
7 32 -0.19
6 23 -0.24
6 29 -0.24
7 23 -0.36
6 32 -0.45
7 20 -0.73
6 20 -0.83
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
System Development and Analysis
145
TABLE 7.18 Moving average crossover optimization for CME Swiss franc—out-
of-sample study (2003).
Short Moving Average Long Moving Average P:MD
7 20 0.83
6 26 0.77
10 23 0.71
7 32 0.70
6 23 0.63
8 32 0.58
7 26 0.55
7 23 0.54
8 23 0.50
6 32 0.47
10 32 0.46
9 20 0.45
8 29 0.40
10 20 0.36
9 32 0.36
6 20 0.28
8 20 0.26
7 29 0.24
9 23 0.20
8 26 0.16
10 26 0.16
6 29 0.11
9 26 -0.02
9 29 -0.13
10 29 -0.36
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
146
MECHANICAL TRADING SYSTEMS
TABLE 7.19 Moving average crossover optimization for CME E-mini S&P 500
(1993-2002).
Short Moving Average Long Moving Average P:MD
10 23 0.39
8 20 0.27
7 20 0.24
10 20 0.02
9 20 -0.02
9 26 -0.06
10 26 -0.10
6 20 -0.11
9 23 -0.14
8 23 -0.16
7 23 -0.20
10 32 -0.25
8 26 -0.26
8 32 -0.27
9 32 -0.28
7 29 -0.29
6 26 -0.36
6 29 -0.37
8 29 -0.37
10 29 -0.44
9 29 -0.45
7 32 -0.50
6 23 -0.51
7 26 -0.53
6 32 -0.59
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
System Development and Analysis
147
TABLE 7.20 Moving average crossover optimization for CME E-mini S&P 500—
out-of-sample study (2003).
Short Moving Average Long Moving Average P:MD
6 32 0.83
6 29 0.33
7 26 0.09
9 29 0.02
6 23 -0.06
8 32 -0.07
7 23 -0.10
10 29 -0.10
10 32 -0.10
7 32 -0.14
7 20 -0.15
9 32 -0.16
7 29 -0.17
6 26 -0.19
9 23 -0.31
8 23 -0.34
6 20 -0.35
10 26 -0.37
9 26 -0.41
8 29 -0.41
8 26 -0.46
10 23 -0.47
8 20 -0.48
9 20 -0.73
10 20 -0.76
Note: All trade summaries include $100 round-turn trade deductions for slippage
and commissions. Data source: CQG, Inc.
148
MECHANICAL TRADING SYSTEMS
outperformed our top performer during the “out-of-sample” or walk-forward period.
If deciding on the superiority of a particular parameter set is often problematic, what can we conclude from our optimization studies on the two-moving average crossover system? Performance’s dramatic variance from asset to asset and from year to year strengthens the argument in favor of diversification among a wide variety of parameter sets.13 If choosing between a wide variety of robust parameter sets is such a frustrating task, then staggering entry and exit orders through all of the “acceptable” parameter sets seems like an attractive and rational alternative (assuming, of course, that such diversification among parameter sets does not result in abandonment of stringent principles of price risk management as outlined in Chapter 8).
Previous << 1 .. 48 49 50 51 52 53 < 54 > 55 56 57 58 59 60 .. 82 >> Next