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SPrecisionSCHWARTZpoints on testr

 

(SCORE calculated by dividing profit by draw down)

 

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  OrecisionSCHWARTZ points  Tested 6th Sept 2007

A very simple system that simply reverses when the index has reversed by N Points from its low, the stop is trailed at that number of points, so you maximum loss will be amount of points set as reversal amount.

Note: The amount of ticks used or hours used will not make the slightest difference to this system!

 

Improvements maybe found with some exit stops.

 

Profitable in all points > 300

Score Points Trades Profit Win% R-R MaxDD Ave win Ave loss Best win Worst loss Equity curve
NEG 480 8 2320 50 3.88 -652 781 -201 1931 -338 DD FAIL 1000+
 The best optimal setting for points was 480 points, but in view of the large price differences from 3500 to 7000, i retested it with PERCENT to compare and see if any improvements could be found.
Score PERC Trades Profit Win% R-R MaxDD Ave win Ave loss Best win Worst loss Equity curve
NEG 1 1144 -4245               FAIL
NEG 2 335 -2674     -3300         FAIL
NEG 3 168 -3360     -3487         FAIL
NEG 4 90 -1348     -1652         FAIL
NEG 5 56 21 41 1.44 -1786         FAIL
NEG 6 41 -1145 41 1.06 -1944         FAIL
1.1 7 25 1027 40 2.08 -859         DD FAIL But up
1.08 8 19 1403 42 2.31 -1290       -321 DD FAIL But up
1.5 9 15 1646 33 3.73 -1067       -374 DD Fail but up
1.15 10 13 1275 46 1.95 -1018       -492 DD Fail but up
2.53 11 9 2403 33 6.3 -947       -426 DD Fail better....go on
1.5 12 9 1891 33 4.68 1244       -0 DD Fail
2.6 13 7 2355 42 4.5 -898       -410 DD..FAIL
1.5 14 7 1904 28 6.1 -1237       -485 DD Fail
NEG 15 6 -533 16 3.3 -1543       -548 DD FAIL
NEG 16 6 -804               DD FAIL
NEG 17 6 -1076 OPEN LONG           DD FAIL
NEG 18 4# 2234 OPEN LONG           DD FAIL
                       
Optmised for FT-SE below
3.65 12.5 7 2597 42.86 5.39 -705 1151 214 2283 -367  Maybe this can used?
                      as a filter for longs?

 

Settings for test 1(same for all test 1)  
System33 buy trigger 2
System33 sell trigger 4
System33 divergence trigger 1
07ATR Long exit ATR Length 15
07ATR Long exit ATRs 4.5
07ATR Short exit ATR Length 15
07ATR Short exit ATRs 4.5
07ATR Long exit ATR Length 15
Max-loser 80
Commissions 3
   
Settings for test 2(same for all test 2)  
   
System33 buy trigger 2
System33 sell trigger 4
System33 divergence trigger 1
pjlongstopATR Length 15
pjlongstopATRs 4.4
pjshortstopATR Length 15
pjshortstopATRs 4.5
acc(both) .05
ra(both) (same as atr length) 4.5
Commissions 3
   
   
   
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1st place

 

  07_Divergence_07ATR_exit (uses the 06 divergence entry signal of system33 and atr exit stop) Tested 6th Sept 2007

A beautiful system for the FT-SE 100 Futures which came to be so good by allowing trades to exit before entering the next trade, and using the new basic 07ATR exit stop, which eliminated all the bugs in the system.

Improvements are easy to find with exit stops and SPOOSTOPs style set up, constructing a better filter more sensitive than system33 will probably increase performance even more.

This is ready to use as it is, and will be a solid pension investment.

Note the pjstops in this system made more money! set them to 4.5 atrs the buy in it is removed by marketposition=0 before trading.

 

Score Ticks Trades Profit Win% R-R MaxDD Ave win Ave loss Best win Worst loss Equity curve
NEG 600 341 86     -1266         DD FAIL
NEG 800 259 812     -1263         DD FAIL
5.33 1000 200 2453 39.5 2.21 -460 101 -45 572 -120  Flat-up
7.42 1250 153 3804 41 2.79 -512 123 -44 559 -114  Flat-up
4.31 1400 125 2118 40.8 2.31 -490 112 -48 499 -122  Flat-up
3.79 1600 116 2689 42.2 2.42 -708 126 -52 521 -102  Flat-up
1.18 1800 110 919 41.8 1.74 -776 99 -57 384 -127  Ok > 2004 DD Fail
2.16 2000 109 1053 44.0 1.66 -486 94 -57 370 -114 Flat < 2004 then ok
1.5 2300 98 645 43.8 1.53 -427 90 -59 352 -89 Flat-dn<04 then  ok
2.54 2500 95 1347 47.3 1.61 -529 96 -60 465 -99 Flat <04 then ok
4.42 2800 78 2055 48.72 1.98 -464 115 -58 476 -95 Flat-up
3.92 3000 74 1550 48.65 1.79 -395 105 -58 316 -93 Flat<04 then ok
2.07 3500 63 921 44.44 1.77 -444 111 -63 398 -118 Jagged -up
                       
Best time frame retested using the PJ LONG STOP and PJ SHORT STOP
                       
                       
                       
                       
                       
                       
                       
                       
                       

  Settings (same for all above tests)

System33 buy trigger 2
System33 sell trigger 4
System33 divergence trigger 1
07ATR Long exit ATR Length 15
07ATR Long exit ATRs 4
07ATR Short exit ATR Length 15
07ATR Short exit ATRs 4
07ATR Long exit ATR Length 15
Max-loser 80
   
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1st place

 

  07_Divergence_07ATR_exit (uses the 06 divergence entry signal of system33 and atr exit stop) Tested 6th Sept 2007

A beautiful system for the FT-SE 100 Futures which came to be so good by allowing trades to exit before entering the next trade, and using the new basic 07ATR exit stop, which eliminated all the bugs in the system.

Improvements are easy to find with exit stops and SPOOSTOPs style set up, constructing a better filter more sensitive than system33 will probably increase performance even more.

This is ready to use as it is, and will be a solid pension investment.

Note the pjstops in this system made more money! set them to 4.5 atrs the buy in it is removed by marketposition=0 before trading.

 

Score Ticks Trades Profit Win% R-R MaxDD Ave win Ave loss Best win Worst loss Equity curve
NEG 600 341 86     -1266         DD FAIL
NEG 800 259 812     -1263         DD FAIL
5.33 1000 200 2453 39.5 2.21 -460 101 -45 572 -120  Flat-up
7.42 1250 153 3804 41 2.79 -512 123 -44 559 -114  Flat-up
4.31 1400 125 2118 40.8 2.31 -490 112 -48 499 -122  Flat-up
3.79 1600 116 2689 42.2 2.42 -708 126 -52 521 -102  Flat-up
1.18 1800 110 919 41.8 1.74 -776 99 -57 384 -127  Ok > 2004 DD Fail
2.16 2000 109 1053 44.0 1.66 -486 94 -57 370 -114 Flat < 2004 then ok
1.5 2300 98 645 43.8 1.53 -427 90 -59 352 -89 Flat-dn<04 then  ok
2.54 2500 95 1347 47.3 1.61 -529 96 -60 465 -99 Flat <04 then ok
4.42 2800 78 2055 48.72 1.98 -464 115 -58 476 -95 Flat-up
3.92 3000 74 1550 48.65 1.79 -395 105 -58 316 -93 Flat<04 then ok
2.07 3500 63 921 44.44 1.77 -444 111 -63 398 -118 Jagged -up
                       
Best time frame retested using the PJ LONG STOP and PJ SHORT STOP
                       
                       
                       
                       
                       
                       
                       
                       
                       

  Settings (same for all above tests)

System33 buy trigger 2
System33 sell trigger 4
System33 divergence trigger 1
07ATR Long exit ATR Length 15
07ATR Long exit ATRs 4
07ATR Short exit ATR Length 15
07ATR Short exit ATRs 4
07ATR Long exit ATR Length 15
Max-loser 80
   
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1st place

 

  07_Divergence_07ATR_exit (uses the 06 divergence entry signal of system33 and atr exit stop) Tested 6th Sept 2007

A beautiful system for the FT-SE 100 Futures which came to be so good by allowing trades to exit before entering the next trade, and using the new basic 07ATR exit stop, which eliminated all the bugs in the system.

Improvements are easy to find with exit stops and SPOOSTOPs style set up, constructing a better filter more sensitive than system33 will probably increase performance even more.

This is ready to use as it is, and will be a solid pension investment.

Note the pjstops in this system made more money! set them to 4.5 atrs the buy in it is removed by marketposition=0 before trading.

 

Score Ticks Trades Profit Win% R-R MaxDD Ave win Ave loss Best win Worst loss Equity curve
NEG 600 341 86     -1266         DD FAIL
NEG 800 259 812     -1263         DD FAIL
5.33 1000 200 2453 39.5 2.21 -460 101 -45 572 -120  Flat-up
7.42 1250 153 3804 41 2.79 -512 123 -44 559 -114  Flat-up
4.31 1400 125 2118 40.8 2.31 -490 112 -48 499 -122  Flat-up
3.79 1600 116 2689 42.2 2.42 -708 126 -52 521 -102  Flat-up
1.18 1800 110 919 41.8 1.74 -776 99 -57 384 -127  Ok > 2004 DD Fail
2.16 2000 109 1053 44.0 1.66 -486 94 -57 370 -114 Flat < 2004 then ok
1.5 2300 98 645 43.8 1.53 -427 90 -59 352 -89 Flat-dn<04 then  ok
2.54 2500 95 1347 47.3 1.61 -529 96 -60 465 -99 Flat <04 then ok
4.42 2800 78 2055 48.72 1.98 -464 115 -58 476 -95 Flat-up
3.92 3000 74 1550 48.65 1.79 -395 105 -58 316 -93 Flat<04 then ok
2.07 3500 63 921 44.44 1.77 -444 111 -63 398 -118 Jagged -up
                       
Best time frame retested using the PJ LONG STOP and PJ SHORT STOP
                       
                       
                       
                       
                       
                       
                       
                       
                       

  Settings (same for all above tests)

System33 buy trigger 2
System33 sell trigger 4
System33 divergence trigger 1
07ATR Long exit ATR Length 15
07ATR Long exit ATRs 4
07ATR Short exit ATR Length 15
07ATR Short exit ATRs 4
07ATR Long exit ATR Length 15
Max-loser 80