Would anybody be interested in taking a crack at this system?  it seems very promising based on some testing i saw in an article...

I came across a system called Pullback that has the following trading rules (assume today T):

A. LE setup and rule

A1. two previous closes (at bars T-2 and T-1) must have been two consecutive lower closes and

A2. H of bar at T must be higher than H at T-1 and

A3. close of bar at T must be higher than the 50-period EMA of closes for bar T

A4. buy at next open if A1 and A2 and A3 are all true

B. LX

B1. sell at next open when position shows a profit at close

B2. sell at a loss if the L falls below lowest low of the last two bars

C. Position Size

number of shares to trade = 4% * available equity / (entry price-stop-loss price [item B2 above])

 

This is my attempt to code it in MS's EST:

BUY:

LEsetup1:=ref(c,-2)<ref(c,-3) and ref(c,-1)<rf(c,-2);

LEsetup2:=h>ref(h,-1);

LEsetup3:=c>mov(c,50,e);

LE:=LEsetup1=1 and LEsetup2=1 and LEsetup3=1;

ref(LE=1,-1)

SELL:

LXsetup1:=valuewhen(1,LE,ref(o,1))-c>0;

LXsetup2:=l<(llv(l,2),-1);

LX:=LXsetup1=1 or LXsetup2=1;

ref(LX,-1)

 

NOT SURE HOW TO CODE "availbale equity" but the basic equation for position size is:

number of shares to trade = 4% * available equity / (valuewhen(1,LE,ref(o,1))-ref(llv(l,2),-1))

Here is my first shot. Looks Ok. Color the spike yellow, that's the signal, The next is the profit
potential. Looks like you can go long any time profit curve crosses to positive.


a1:=(C<Ref(C,-1))*(Ref(C,-1)<Ref(C,-2));
a2:=(H>Ref(H,-1));
a3:=(C>Mov(C,50,E));
a4:=a1*a2*a3;
a5:=Ref(a4,-1)*O;
{----------------------------------------}
b1:=ValueWhen(1,(a5>0),O);
b2:=If(Ref(C-b1,-1)>0,O-b1,0);
b3:=If((L<Ref(L,-1))*(L<Ref(L,-2)),C-b1,0);
{----------------------------------------}
b4:=b2*(BarsSince(b3<>0)>BarsSince(b1>0));
b5:=b3*(BarsSince(b2<>0)>BarsSince(b1>0));
{----------------------------------------}
If((a5>0),-(C/10),0);
b2;

Here's my first grab at the test code:

Code:

System Details             ZigZag             OptimizedNo             Order BiasLong             Portfolio BiasSingle             Position Limit1             Notes             Equis Forum : http://forum.equis.com/forums/thread/29879.aspx                    Buy Order             Order TypeMarket             Order ExpirationGood Until Cancelled             Entry Size Method# Of Units                           Signal Formula             ref(c,-2)<ref(c,-3) and ref(c,-1)<ref(c,-2) and h>ref(h,-1) and             c>mov(c,50,e);                          Price Formula                          Entry Size Formula             p1:=int(Simulation.AccountLongFundsAvailable * 0.04 * (Ref(OPEN,+1)             - Ref(LLV(L,2),+1))); p2:=int(Simulation.AccountLongFundsAvailable /             Ref(OPEN,+1)); min(p1,p2);                           Strategic Delays             # Bars on Tick Data0             # Bars on Minute Data0             # Bars on Daily Data0             Sell Short Order             Order TypeMarket             Order ExpirationGood Until Cancelled             Entry Size MethodUse Default Size                           Signal Formula                          Price Formula                          Entry Size Formula             100                           Strategic Delays             # Bars on Tick Data0             # Bars on Minute Data0             # Bars on Daily Data0                    Sell Order             Order TypeMarket             Order ExpirationGood Until Cancelled                           Signal Formula             CLOSE > extfml("forum.ref", OPEN,Simulation.CurrentPositionAge) OR L             < Ref(LLV(L,2),-1)                          Price Formula                          Strategic Delays             # Bars on Tick Data0             # Bars on Minute Data0             # Bars on Daily Data0             Buy to Cover Order             Order TypeMarket             Order ExpirationGood Until Cancelled                           Signal Formula                          Price Formula                          Strategic Delays             # Bars on Tick Data0             # Bars on Minute Data0             # Bars on Daily Data0                     Stops                   BreakEven Stop                   PositionsNone                   Floor Level0.00 %                   Stop Loss                   PositionsNone                   Stop Value0.00 %                   Trailing Stop                   PositionsNone                   Profit Risk Value0.00 %                   Trailing Periods0.0                   Inactivity Stop                   PositionsNone                   Minimum Value0.00 %                   Periods0.0                   Profit Target                   PositionsNone                   Target Value0.00 %                     Simulation Options             General Options             Points Only TestNo             Initial Equity100000.             Default Size10.00 % Of Available Equity             Trade LongYes             Trade ShortYes             Optimization Results50             Trade Execution Options             Realistic Market PricesNo             Buy PriceOpen             Sell PriceOpen             Sell Short PriceOpen             Buy To Cover PriceOpen             Delay To Open1                           Slippage             Buy0.00 %             Sell0.00 %             Sell Short0.00 %             Buy to Cover0.00 %             Broker Options             Interest Rates             Margin0.00 %             Money Market0.00 %                           Margin Requirement             Long Initial100.00 %             Long Maintenance0.00 %                           Short Initial150.00 %             Short Maintenance150.00 %                           Commissions             Entry$0.00 Per Transaction             Exit$0.00 Per Transaction

Hope this helps.

wabbit

---

"The question of whether a computer can think is no more interesting than the question of whether a submarine can swim."
Edsgar W. Dijkstra

 

MS: 6.52 EOD, 7.x EOD, 8.0 PRO, 9.2 PRO w/QC, 10 PRO w/QC C, 11 PRO w/QC & MDK
For custom MetaStock programming : http://www.wabbit.com.au
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johnl and Wabbit

Thanks for you thoughts and codes.  Wabbit, I have optimized for the EMA period (prd=2) and backtested your code on daily SPY going back to 01/97, with the following changes:

1. delay to open 0

2. $10/trade

3. 100% of available equity position size

4. margin requirements 100%, 0%, 200% and 101%

5. broker margin 3%, interest 0%

Also, I think that

p1:=int(Simulation.AccountLongFundsAvailable * 0.04 * (Ref(OPEN,+1)-Ref(LLV(L,2),+1)))

should read

p1:=int(Simulation.AccountLongFundsAvailable * 0.04 / (Ref(OPEN,+1)-Ref(LLV(L,2),+1)))

no?

Results show a system with a lot more winners than losers but average profit is just about 60% of average loss.  Despite upward sloping and extremely smooth equity curve and a lot of days out of the market, final equity is just a tad over 2x initial equity.  I wouldn't call it a winner but it might warrant some further research and tweaking.

Many thanks for your help.

ZigZag