November 26th, 2009

Система Чака Лебо "LeboFirstSword"

Потестировал систему Чака Лебо для японской йены "LeboFirstSwordJPY", которую он написал лет 10 назад для TradeStation и продавал за 250 долларов. Так как с TradeStation я не дружу, то переделал код для WealthLab. Вот что получилось -- сделок, конечно маловато для достоверной статистики, но кривая прибыли по прежнему идет вверх с небольшим периодом флета 2004-2006 годов.












Лучшая система из FuturesTruthMagazine?

На сайте Futures Truth Magazine есть рейтинг лучших фьючерсных торговых систем всех времен и народов. На первом месте система "Dual Thrust".

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Top 10 Systems Since Their Release Date
Issue #3 2009 - published in July 2009

Annual % Return

1. Dual Thrust 364.4%
2. Auto Core Duo 172.8%
3. Impetus SP 169.5%
...
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Полистав интернет, обнаружил код этой системы для Трейдстейшн. Он вот такой:



Code:
Inputs: K1(.5),K2(.5),Mday(1),Nday(1);
Vars: BuyRange(0), SellRange(0);
Vars: BuyTrig(0),SellTrig(0);
Vars: HH(0),LL(0),HC(0),LC(0);

If CurrentBar > 1 Then Begin
HH = Highest(High,Mday);
HC = Highest(Close,Mday);
LL = Lowest(Low,Mday);
LC = Lowest(Close,Mday);

If (HH - LC) >= (HC - LL) Then Begin
SellRange = HH - LC;
End Else Begin
SellRange = HC - LL;
End;

HH = Highest(High,Nday);
HC = Highest(Close,Nday);
LL = Lowest(Low,Nday);
LC = Lowest(Close,Nday);

If (HH - LC) >= (HC - LL) Then Begin
BuyRange = HH - LC;
End Else Begin
BuyRange = HC - LL;
End;

BuyTrig = K1*BuyRange;
SellTrig = K2*SellRange;

If MarketPosition = 0 Then Begin
Buy at Open of next bar + BuyTrig Stop;
Sell at Open of next bar - SellTrig Stop;
End;

If MarketPosition = -1 Then Begin
Buy at Open of next bar + Buytrig Stop;
End;

If MarketPosition = 1 Then Begin
Sell at Open of next bar - SellTrig Stop;
End;

End;



Но что то сомнительно. Наверное дезинформация, судя по результатам. Хотя, если параметры настроить, может что и получится?

переписал код для WLD3.

Code:

{#OptVar1 1;1;10;1}
var Bar, p, Mday, Nday, K1, K2: integer;
var HH, HC, LL, LC, SellRange, BuyRange, BuyTrig, SellTrig: float;
var bLongSAR: boolean;
Mday := #OptVar1;
Nday := #OptVar1;
K1 := 5/10;
K2 := 5/10;

for Bar := 20 to BarCount - 1 do
begin

HH := Highest(bar-1, #High, Mday);
HC := Highest(bar-1, #Close, Mday);
LL := Lowest(bar-1, #Low, Mday);
LC := Lowest(bar-1, #Close, Mday);

if (HH - LC) >= (HC - LL) then
SellRange := HH - LC
else
SellRange := HC - LL;

HH := Highest(bar-1, #High, Nday);
HC := Highest(bar-1, #Close, Nday);
LL := Lowest(bar-1, #Low, Nday);
LC := Lowest(bar-1, #Close, Nday);

if (HH - LC) >= (HC - LL) then
BuyRange := HH - LC
else
BuyRange := HC - LL;

BuyTrig := K1 * BuyRange;
SellTrig := K2 * SellRange;


if LastPositionActive then
begin
p := LastPosition;
bLongSAR := PositionLong( p );
if PositionLong( p ) then
begin
SellAtStop( Bar, PriceOpen(bar) - FloatToStr(SellTrig), p, '');
end;
if PositionShort( p ) then
begin
CoverAtStop( Bar, PriceOpen(bar) + FloatToStr(BuyTrig), p, '');
end;
end;
if not bLongSAR then
begin
BuyAtStop(bar, PriceOpen(bar) + BuyTrig, '');
end;
if bLongSAR then
begin
ShortAtStop(bar, PriceOpen(bar) - SellTrig, '');
end;
end;





Свежие тикеры IBD100 на 23 ноября

Свежие тикеры IBD100 на 23 ноября. Обновляются 1 раз в неделю по понедельникам.

AAPL ABV ABVT AIXG ANW ARST ASIA ATNI ATW BCSI BGH BIDU BMA BUCY BVN BWY CAAS CACC CBD CISG CTCM CTRP CTSH CVLT CYD DBRN DEER DGIT DGW EBIX EJ EPAY EXPE FFG FFIV FLS GES GFA GIII GIVN GMCR HDB HITK HMIN HRBN IAG IBN IMA INFY ININ ISRG JDAS JOYG JST KIRK KMGB LFT LL LZ MED MELI MFW MSTR NEU NFLX NTAP NTL NTY NUS OPLK ORN PCLN PEGA PWRD RAX RHT SCL SHOO SIRO SLH SLW SWM SXCI TLEO TLVT TNS TSL TUP UIS ULTA VIP VIT VNR VPRT VSEC WCRX WDC WIT WNS WX

Торговые системы -- топ 10 из Futures Truth Magazine

Futures Truth Magazine
Top 10 Systems Since Their Release Date
Issue #4 2009 - published in October 2009

Systems included in this table must have been released for at least 18 months. Results based on performance through October 30, 2009.
Return is based on three times the required margin.

Rank System Name Annual % Return

1. TSL-CEL_NG_1.1 301.1%
2. Dual Thrust 286.6%
3. Natural Gas Offense 276.2%
4. Natural Gas Trader 221.4%
5. Auto Core Duo 180.1%
6. TSL-CEL_SP1 154.8%
7. TSL-SP_1.0Z 144.8%
8. Trend Weaver 124.4%
9. Jen Jamer 118.7%
10. Simple Harmony 106.3%

http://www.futurestruth.com/top10sincereleasedate.htm

Чак Лебо на своем форуме отдает по дешевке все свои системы

Чак Лебо на своем форуме отдает по дешевке все свои системы оптом за 500 у.е. :)

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For those of you who were active on the old site you will remember that I had developed 18 trading systems for futures that were offered for sale at $250 each.

I am retired from trading now and no longer tracking the systems on a regular basis. However, once we get all the important content moved over from the old site Jason and I plan to start retesting and updating these systems. After being untouched for more than ten years most of these systems will need a tune-up (reoptimization) to bring them up to date for current market conditions. I have been told that a few of the systems have held up well without any attention. Because these systems currently need some updating I have bundled them and reduced the price.

If you would like to purchase these systems as learning tools (for their innovative logic and coding) you can have all 18 systems for a total of only $500. The rules and logic of each of these systems is explained in detail in text form. The EasyLanguage coding for TradeStation is included in both text and electronic format and the code is open so the parameter settings used can easily be updated.

Once we update the systems we plan to revert to the old pricing schedule so now is a good opportunity to get $4500 in systems for only $500.

traderclub.com/index.php?option=com_joobb&view=topic&topic=21&Itemid=56
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