The system has been in drawdown since 2/4/2003 using 85 points as the triggers. i.e. you have lost money since the peak equity high on April 2nd 2003. Is that clear enough for the doubters?
Put another way you have lost £1400 per point bet since this date.
I have attached an updated version of JPs spreadsheet.
Put another way you have lost £1400 per point bet since this date.
I have attached an updated version of JPs spreadsheet.
Bigbusiness
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There is a 5.9mb file here with 1min data for the dow. It is too big to open in excel but you can open it in word and transfer chunks in to excel:-
This file contains 1 minute data back to 04/08/1997 for the Dow Jones Industrial Average Index. ASCII format with "Date,Time,Open,High,Low,Close,Volume” structure. Date is mm/dd/yyyy format.
http://www.traders2traders.com/linkindex/Goto.asp?ResourceID=195
It would be interesting to see how this system worked from 1997 to 2000. If it worked well before the bear market, it could be a good system.
This file contains 1 minute data back to 04/08/1997 for the Dow Jones Industrial Average Index. ASCII format with "Date,Time,Open,High,Low,Close,Volume” structure. Date is mm/dd/yyyy format.
http://www.traders2traders.com/linkindex/Goto.asp?ResourceID=195
It would be interesting to see how this system worked from 1997 to 2000. If it worked well before the bear market, it could be a good system.
To avoid any confusion could we work from the same data.
I will put the latest version I am using here
Mech Dow Spreadsheet
If it keeps on like this we will need a versioning system
I will put the latest version I am using here
Mech Dow Spreadsheet
If it keeps on like this we will need a versioning system
think the 2002/03 data posted by chowclown is for the dow cash - doesn't take into account overnight futures - JT's is more appropriate.
As JT says, entry trigger of 85 results in a loss, but using the average results in abt 2K profit - however don't know what the whipsaw effect would be.
Attached is JT's ss with weighted averages
As JT says, entry trigger of 85 results in a loss, but using the average results in abt 2K profit - however don't know what the whipsaw effect would be.
Attached is JT's ss with weighted averages
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Ok, looks like we need to run two systems (so we don't confuse each other here). One for Dow cash and the other for Dow Futures.
I chose Dow Cash for my own analysis as that is the instrument which will be traded by myself. Basically because the close is a key part of the system. I want to get the close price of the actual and I want any trades to close at that price. For myself I will be sticking with the cash unless someone can convince me different.
Yes, I know the Daily Cash is a figment of the SB companies marketing department imagination but the SB companies do trade it and it typically has a tighter spread than the Futures (if using SB).
John
I chose Dow Cash for my own analysis as that is the instrument which will be traded by myself. Basically because the close is a key part of the system. I want to get the close price of the actual and I want any trades to close at that price. For myself I will be sticking with the cash unless someone can convince me different.
Yes, I know the Daily Cash is a figment of the SB companies marketing department imagination but the SB companies do trade it and it typically has a tighter spread than the Futures (if using SB).
John
JP, the thing is, at open the cash price will hardly ever be the same as yesterdays close - the spread betters will move it in line with the future so u will never be able to take a position at or near yesterdays close - this is what your spreadsheet assumes - fundemantally incorrect !
So, as in my example above, if the close is 9000, futures are at 9100 next day, the cash will open at 9100 - the entry point of 9050 (with 50 as trigger) is invalid because your ss will say that the dow opened at 9000 - no it didn't !
U really need to use the futures ss to get a more accurate picture - ignore the FV difference.
So, as in my example above, if the close is 9000, futures are at 9100 next day, the cash will open at 9100 - the entry point of 9050 (with 50 as trigger) is invalid because your ss will say that the dow opened at 9000 - no it didn't !
U really need to use the futures ss to get a more accurate picture - ignore the FV difference.
delboy trotter
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Good point mombasa.
This is a similar problem to the IK method, which did not take into consideration that the spreadfirms moved the Dow and FTSE prices out of hours, to bring them into line with the futures.
dbt
This is a similar problem to the IK method, which did not take into consideration that the spreadfirms moved the Dow and FTSE prices out of hours, to bring them into line with the futures.
dbt
mombasa,
The 100 days average on your s/s is based on the last 100 days of the sample data. This is then used to calculate the trigger for the whole sample. You are therefore using post-dictive data which invalidates the test. In fact that is a problem with the original idea - the average used is the average for the whole period. You wouldn't know this until after the event.
We need to use a trigger which is calculated from an average of x days on a rolling basis.
We need to be careful to only use data that would have been known at the time, else the test will produce more flattering results than will be achievable going forward.
The 100 days average on your s/s is based on the last 100 days of the sample data. This is then used to calculate the trigger for the whole sample. You are therefore using post-dictive data which invalidates the test. In fact that is a problem with the original idea - the average used is the average for the whole period. You wouldn't know this until after the event.
We need to use a trigger which is calculated from an average of x days on a rolling basis.
We need to be careful to only use data that would have been known at the time, else the test will produce more flattering results than will be achievable going forward.
delboy trotter
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A point on the excel spreadsheet. Perhaps when we have the final version in place, an explanation of some of the workings may be worthwhile for our less experienced (excel) members. In particular how to update the sheet and keep the calculations accurate. Personally I can look at the formulas and work out what is going on, but some people may get a bit confused and overwhelmed by things. I found that when I tried to import historical data using my usual approach, that I corrupted some of the calculations. Only by being able to follow the formulas in the various upper and lower cells, could I discover how to avoid this.
Just a point, but we do not want to leave the less (excel) able members behind on this fine piece of work.
dbt
Just a point, but we do not want to leave the less (excel) able members behind on this fine piece of work.
dbt
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