lvainik
52 posts
msg #49751
- Ignore lvainik |
2/1/2007 11:39:05 AM
See stockpickr
The Three By Two System: Very simple system. We will be introducing tweaks and improvements in the coming weeks.
BUY: If a stock goes down 3 days in a row, BUY at the open the next day
SELL: when a stock goes up 2 days in a row, sell at the close of the second day:
Results: simulated on all Nasdaq 100 stocks, plus deletions from the Nasd 100 index, from January, 1997 until December, 2006. Simulated using 5% of equity per trade.
Number of trades: 6,492. Winning trades: 4,243 (65.3%). Average return per trade: 1.51%. In future weeks we will be examining ways to improve the system further.
Simulated using Wealth-lab, a product of Fidelity.
Code:
var Bar: integer;
for Bar := 5 to BarCount - 1 do
if (priceclose(Bar - 1) > priceclose(Bar - 2)) AND
(priceclose(Bar) > priceclose(bar - 1)) then
SellAtMarket(Bar + 1, #All, '')
else
if (priceclose(Bar - 1) < priceclose(Bar - 2)) AND
(priceclose(Bar) < priceclose(Bar - 1)) AND
(priceclose(Bar - 2) < priceclose(Bar - 3)) then
if priceopen(bar) > priceclose(bar - 1) then
buyatmarket(Bar + 1, '');
1997: 153%
1998: 82%
1999: 128%
2000: 130%
2001: 57%
2002: -3.9%
2003: 50%
2004: 22.75%
2005: 11.3%
2006: 17.2%
[Click image to see larger view]
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