billrider321
70 posts
msg #76757
- Ignore billrider321 |
7/23/2009 9:42:22 AM
here is what i got from net..can somebody help me code this
RULES for LONGS:
1. The closing price is ABOVE the 200 day moving average.
2. Enter the trade on the close when the price is 3% or more BELOW the 5 day moving average.
3. Exit the trade at the close when the closing price is ABOVE the 5 day moving average.
RULES for SHORTS:
1. The closing price is BELOW the 200 day moving average.
2. Enter the trade on the close when the price is 3% or more ABOVE the 5 day moving average.
3. Exit the trade at the close when the closing price is BELOW the 5 day moving average.
Very simple, right? And purely price structure with no fancy indicators necessary.
Here are the results for some commonly traded ETFs going back to their inception (at least 5 years of data.) :
QQQQ
# Trades = 109
Winning Trades = 83 (76.15%)
Losing Trades = 26
Long Avg Win = 2.44%
Long Avg Loss = (3.26%)
Long Combined Avg = 1.07%
Short Avg Win = 3.82%
Short Avg Loss = (6.09%)
Short Combined Avg = 1.47%
Largest Win = 12.89%
Largest Loss = (21.86%) (DIVERSIFY!)
Max Consecutive Winners = 12
Max Consecutive Losers = 3
Winning Avg Held = 3.14 Days
Losing Avg Held = 7.15 Days
Profit Factor = 2.17
SPY
# Trades = 29
Winning Trades = 23 (79.3%)
Losing Trades = 6
Long Avg Win = 2.7%
Long Avg Loss = 0 - no losers
Long Combined Avg = 2.7%
Short Avg Win = 3.39%
Short Avg Loss = (4.36%)
Short Combined Avg = 1.18%
Largest Win = 11.18%
Largest Loss = (11.05%)
Max Consecutive Winners = 5
Max Consecutive Losers = 1
Winning Avg Held = 3.09 Days
Losing Avg Held = 9.0 Days
Profit Factor = 2.71
EEM
# Trades = 35
Winning Trades = 25 (71.4%)
Losing Trades = 10
Long Avg Win = 2.32%
Long Avg Loss = (3.72%)
Long Combined Avg = 0.19%
Short Avg Win = 5.5%
Short Avg Loss = (3.91%)
Short Combined Avg = 3.41%
Largest Win = 20.34%
Largest Loss = (8.39%)
Max Consecutive Winners = 5
Max Consecutive Losers = 4
Winning Avg Held = 3.04 Days
Losing Avg Held = 6.7 Days
Profit Factor = 2.90
GLD
# Trades = 15
Winning Trades = 11 (73.3%)
Losing Trades = 4
Long Avg Win = 2.46%
Long Avg Loss = (1.87%)
Long Combined Avg = 1.59%
Short Avg Win = 4.36%
Short Avg Loss = (2.38%)
Short Combined Avg = 1.66%
Largest Win = 4.71%
Largest Loss = (3.61%)
Max Consecutive Winners = 3
Max Consecutive Losers = 1
Winning Avg Held = 3.64 Days
Losing Avg Held = 6.50 Days
Profit Factor = 3.79
SMH
# Trades = 85
Winning Trades = 63 (74.1%)
Losing Trades = 22
Long Avg Win = 2.47%
Long Avg Loss = (1.88%)
Long Combined Avg = 1.31%
Short Avg Win = 4.20%
Short Avg Loss = (4.04%)
Short Combined Avg = 2.08%
Largest Win = 10.07%
Largest Loss = (23.05%)
Max Consecutive Winners = 10
Max Consecutive Losers = 2
Winning Avg Held = 2.78 Days
Losing Avg Held = 5.45 Days
Profit Factor = 3.02
OIH
# Trades = 72
Winning Trades = 49 (68.1%)
Losing Trades = 23
Long Avg Win = 2.20%
Long Avg Loss = (2.72%)
Long Combined Avg = 0.81%
Short Avg Win = 4.45%
Short Avg Loss = (5.74%)
Short Combined Avg = 0.96%
Largest Win = 17.91%
Largest Loss = (15.34%)
Max Consecutive Winners = 6
Max Consecutive Losers = 2
Winning Avg Held = 3.35 Days
Losing Avg Held = 6.43 Days
Profit Factor = 1.69
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chetron
2,817 posts
msg #76766
- Ignore chetron
modified |
7/23/2009 10:40:37 AM
LONGS....
OR....
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uglyowl
2 posts
msg #76774
- Ignore uglyowl
modified |
7/23/2009 3:26:47 PM
The short filter doesn't look right. Thanks for taking the time. First should be below 200 day moving average. 2nd shouldn't the VAR be *1.03? Thanks,
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chetron
2,817 posts
msg #76778
- Ignore chetron |
7/23/2009 5:34:42 PM
SHORTS.....
AND FOR THE EMA CAMP....
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