System33_v5 (divergence signal only)

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Fixing the bug in the stop by replacing it with the 07ATR_Shortexit and 07ATR_Longexit produced the following results.

SYSTEM33 TEST 5 original ENTRY with new stops

 07ATR_Shortexit and 07ATR_Longexit

 

Score Interval Trades Profit Win-lose  Risk-R  Max DD  Ave win  Ave loss  Best win Worst loss  Profit/DD Equitycurve
A++ 1250 153 3804 41.1 2.79 -512 123 44 559 -114 7.4 COOL!!
                         
                         
 

 

 

 

BUG1 (that were corrected with new stop)

 

While the pj stops are generally good, they are 15 instances where they are exiting short 2 bars after entry

without having moved anything like 4 atrs away from the price action.

The stop has 2 features which are perhaps redundant, and these include the acc (acceleration factor) which is allowed to

tighten the stop by a maximum of 1 atr in 20 steps. Its never been tested by me if a stop is best to grow tighter, grow wider

or to stay the same number of points or atrs away as the position improves.

 

Also the stop has a standard deviation of atrs added to it, which again can probably be just replicated by increasing atrs

by 0.25 or 1 or so.

 

So in this study, I shall rebuild the stop from new, and remove the acceleration factor and the std devs from the code, re writing

it in my own language. REPAIRED (see 07ATR_Shortstop tested above)

 

BUG2

 Which is not actually a bug, but rather a logical error whereby the long position is closed out at the same time as a divergence

bar is signalled to buy it again.

This adds 3 points commission on each occurrence and is detrimental to overall profits. Unresolved

 

A maximum loss stop needs to be very intelligent, and as of yet I still haven't found a solution to this 

 

The first bug will be addressed first and the new stops shall be called 07ATR_Longexit and 07ATR_Shortexit.

Simplicity is the main cornerstone of the design, and I will start with ATRS set to 3.5 which seems to be around the optimum

for a 1250 tick FT-SE Chart.

 

Settings to start will be as follows

ENTRY SIGNAL = SYSTEM33VARIAB, WHICH HAS THE NEW SYSTEM33 SETTINGS;

 

 

SYSTEM33 TEST 5 original ENTRY with new stop 07ATR_Shortexit and 07ATR_Longexit

and allows trades to run out before new trade is taken, massive improvement with R-R

by doing this.

 

 

Settings

1. System33 the original system without modification will retain this name, any modifications to this will carry a version number such as system33.2 for ease of understanding, and all changes will be noted on these pages.

 

SIGNALS included in this system are :-

 

For the ENTRY

 

1. 06system33divergence (using divergences of the tradevolumeindex indicator) (DEMBUY)

 

For the EXITS

 

07ATR_Longexit

07ATR_Shortexit

 

Commissions for FT-SE and DAX will be set to 3 points for ALL TESTING, 1 Contract only.

 

system33buy trigger 2
system33 sell trigger 4
SYSTEM33divergence_trigger 1
   
07ATR_Longexit atr 4.5
07ATR_Lonegxit atrlength 15
07ATR_Shortexit atr 4.5
07ATR_Shortexit atrlength 15
Commissions 3
Max loss 80

 

DATA Used

 

H.S FT-SE100 Futures (with many gaps) so this test is for preliminary testing only

 

DATA-type TICKCOUNT!

 

First date November 13th 2001

Last date August 17th 2007

 

TESTING WITH EACH SIGNAL PRODUCED THE FOLLOWING RESULTS

 

 

 

TEST 5 Improvement ideas.

 

Consider using a more intelligent stop method, similar to spoostops?

 

Optimise stop in the most promising time frames TRY A NEW STOP!.

TRY A 20-60 POINT ROLLING STOP WITH WIDE ENTRY, LIKE MY CURVED STOP!!!

 

Also have problem of exiting longs when a new long is triggered straight away.