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MetaStock Tips & Tools
MSTT WR WEEKLY
TRADING SYSTEMS SAMPLE
MSTT WR Weekly Trading Systems
System Names & Common System Indicators
Trade Equity GV LE
Trade Equity GV SE
ASX Small Ords Test Results
US S&P 600 Test Results
EST Setup for ASX Systems
EST Setup for US Systems
Trade Equity Setup Parameters
TradeSim Annual Results for ASX & US Systems
Trading & System Suggestions
Tools For
MetaStock
MetaStock Tips & Tools
R A Larsen & Associates
Palmerston North 4412
NEW ZEALAND
Tel: +64 6 358 3723
[email protected]
www.metastocktips.co.nz
© 2004-2014 Roy Larsen
MSTT WR Weekly Trading
Systems Sample
February 2014
1
3
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6-8
9-11
12
13
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15-16
17
MSTT WR WEEKLY TRADING SYSTEMS
By Roy Larsen
T
his document features theoretical trading results for updated
vversions of two systems based on weekly data. One system
captures breakouts to new highs and is loosely based on the MetaStock
PS Fractal concept, and the other attempts to enter trends early by
applying some ideas from Leon Wilson’s book titled "Breakthrough
Trading – Revolutionary Thinking in Relative Analysis".
In my view no one system should be traded in isolation, but each
system could form part of a longer-term trader’s arsenal. The concepts
presented here are somewhat complementary, at least as far as the
entry is concerned, and both approaches apply the same trailing stop
exits with slightly different parameter settings. What you might
consider is using an EOD system to take advantage of short term
moves while trading a weekly system to capture longer term trends.
Understand that survivorship bias is present in all tabled results. How
much real results might vary from the theoretical results provided is for
you to judge, and then allow for in your trading strategy. One of
several factors to consider is that stocks in longer term uptrends are
more likely to be survivors than those in longer term down trends. It’s
the former of these two groups that holds most trading candidates so
it’s reasonable to assume (though not guaranteed) that the effects of
Februaryunless
2014 stated otherwise.
All charts in this publication are courtesy of MetaStock
Page 1
survivorship bias should be somewhat mitigated by each systems selection process.
Back-test results using three test methods are provided. Each method has its own
advantages and disadvantages. Results that are obscure or difficult to access using
one test method might be more obvious when using another. The three methods
used for this document are Trade Equity, TradeSim and the Enhanced System
Tester. Code for each method is included as text listings in the pages that follow,
and all formulas can be loaded into Metastock using the self-installing EXE file
that’s available to system owners. These revised systems now form a part of the
MSTT Weekly Trading Systems pack. The systems are referred to as Breakout
(BO) and Initial High (IH), with code provided for both ASX and US markets.
The Breakout systems are somewhat sensitive to average weekly turnover and I
suggest that you do your own testing to establish what ranges, if any, are most
appropriate for the market being traded. Keep in mind that data from some suppliers
might be divided by a set factor (100 is likely), so you might need to adjust the
minimum and/or maximum Volume levels in the breakout formulas. If the turnover
range is too loose then the ratio of winners to losers will fall away, and if too tight
the number of trades triggered might drop to an unacceptable level.
The Initial High systems (IH) do not have a volume filter, but they do have minor
filter variations that affect performance on different stocks groups.
When performing any test it’s important that you set up the test procedure properly.
This shouldn’t be a problem with TradeSim, but keep in mind that simulations
require a little care in setting up, particularly if you’re trying to approximate results
with those produced by other methods. Tabled results for all three methods assume
that every trade is taken, $1000 is applied to each trade, and only one trade per
security is permitted at any given time. Costs of $5 are applied each way on the
ASX, and $2.50 for US stocks. Adjust trade size and costs to suit your situation
Be aware that altered settings within any formula, whether accidental or deliberate,
will almost certainly skew results. Since all three test methods call indicators it’s
important that those source indicators continue to perform the tasks that they were
designed for. By all means test different filters and values, but take care that you
document changes as you go. Something as simple as setting a delay to 0 instead of
1 can make results look fantastic when in fact they are impossible to achieve, and so
quite meaningless.
Trade Equity and the EST need to be set up properly, particularly with regard to
entry price and timing. If your results look too good to be true then they probably
are. Unexpectedly bad results can also be a sign of something wrong with your
setup. One value that I use to assess the validity of a Trade Equity test is the
Pessimistic Return and whether it’s greater than 3 and less than 10. Less than 3
probably signals a poor system, especially if the system operates on weekly data.
Greater than 10 suggests either a very good system, or an incorrect setup such as
buying on the OPEN (with no delay) rather than on the CLOSE .
The breakout systems nominally open trades at intraday values on weekly bars. For
this reason, it’s possible that some trades will be initiated at prices not achievable in
real life. This will happen if a daily bar gaps open higher than the set entry price
rather than moving smoothly through it during intraday trading. Although not
unheard of these events are usually few and far between. If you trade one of the
breakout systems you’ll need to decide how to treat such gaps. Whether you treat
the potential signal as a Limit or Stop order is for you to decide. Chasing the price
after a breakout can turn a trade into a significant loser before it gains any traction –
February 2014
Page 2
and this can cause real pain. However, if you look at the trade statistics for these
systems you’ll see that the win/loss trade ratio is often 60% or higher, and the profit
factor close to 5 or better.
There is a real danger that trying trading long-side breakout systems in a bear market
might seriously erode your capital. These systems do not inhibit new trades as well
as the Initial High systems. The IH systems tend to enter the market earlier in the
cycle and are less likely to trigger new trades during a downturn. Ultimately it’s your
responsibility to decide which trades to take and which to leave alone. These systems
do not generate hundreds of trades, so by allocating less than 5% of capital per trade
it should be possible to take most trades and still have capital to spare. However, you
should not commit all of your trading capital to just one (weekly) system. Such
systems can go through long periods of inactivity, and this possibility should be into
your overall trading strategy.
†
Figure 1.
System Names.
REVISED SYSTEM NAMES
System Entry Indicator
Trailing Stop Indicator
Type
Markets
MSTT BO Buy AU SP300 WR
MSTT BO Buy US SP600 WR
MSTT IH Buy AU SP300 WR
MSTT IH Buy US SP600 WR
MSTT AT Trail AU WR
MSTT AT Trail US WR
MSTT AT Trail AU WR
MSTT AT Trail US WR
Breakout
Breakout
Initial High
Initial High
ASX Small Ords
S&P 600, Russell Mid Cap
ASX Small Ords
S&P 600, Russell Mid Cap
COMMON SYSTEM INDICATORS
{MSTT Stochastic WR}
{Roy Larsen 2008-2014, 12/2/14}
Pds:=Input("Bars in Average",1,100,16);
Lbk:=Input("Lookback Periods",10,200,36);
Range:=Mov(H-L,Pds,S);
Signal:=Mov(O-C,pds,S)/(Range+(Range=0));
100*(Mov(Signal-LLV(Signal,Lbk),4,S)/
Figure 2.
Mov(HHV(Signal,Lbk)-LLV(Signal,Lbk),4,S)); The MSTT Stochastic WR indicator.
{MSTT Fractal Steps}
{Roy Larsen, 2005-2010}
{Date Filter}
{Roy Larsen, 2003-2010}
P1:=Ref(H,-2)>Ref(H,-5) AND Ref(H,-2)>Ref(H,-4)
AND Ref(H,-2)>Ref(H,-3) AND Ref(H,-2)>Ref(H,-1);
P2:=Ref(H,-2)>Ref(H,-5) AND Ref(H,-2)>Ref(H,-4)
AND Ref(H,-2)=Ref(H,-3) AND Ref(H,-2)>Ref(H,-1);
P3:=Ref(H,-1)>Ref(H,-6) AND Ref(H,-2)>Ref(H,-5)
AND Ref(H,-2)=Ref(H,-4) AND Ref(H,-2)=Ref(H,-3)
AND Ref(H,-2)>Ref(H,-1);
F:=ValueWhen(1,P1+P2+P3,Ref(H,-2));
A:=F>ValueWhen(2,1,F); B:=F<ValueWhen(2,1,F);
I:=Cum(A+B>-1)=1; X:=Cum(A);
A:=A AND Alert(A=0,2);
G:=BarsSince(I+A)>=BarsSince(I+B);
X-ValueWhen(1,I+G,X);
Sd:=Input("Start day" ,1,31,1);
Sm:=Input("Start month",1,12,1);
Sy:=Input("Start year" ,1980,2015,2002);
Ed:=Input("End day" ,1,31,31);
Em:=Input("End month" ,1,12,12);
Ey:=Input("End year" ,1980,2020,2014);
Start:=(DayOfMonth()>=Sd AND
Month()=Sm AND Year()=Sy) OR Year()>Sy OR
(Year()=Sy AND Month()>Sm);
End:=(DayOfMonth()<=Ed AND
Month()=Em AND Year()=Ey) OR Year()<Ey OR
(Year()=Ey AND Month()<Em);
Start AND (End OR (Start AND Alert(Start=0,2)));
Figure 3.
MSTT Fractal Steps counts rising fractal-step sequences.
Figure 4.
Date Filter sets the range of trade entry dates.
February 2014
Page 3
{Trade Equity GV LE}
{Roy Larsen, 2003-2013, 9/9/13, v8.5.3}
{Inputs}
A:=Input("Trade Equity GV LE, Opt 0-27, SE=100+",0,127,0);
B:=Input("Entry, 1=O 2=C 3=H 4=L 5=Stop",1,5,5);
Z:=Input("Exit, 1=O 2=C 3=H 4=L 5=Stop",1,5,1);
G:=Input("Entry Cost",0,999,5);
J:=Input("Exit Cost",0,999,5);
D:=Input("Entry/Exit Delays 00-55",0,55,11);
K:=1000; F:=-1;{Equity/Factor}
{Signals}
I:=0;
N:= Fml("MSTT IH Buy US SP600 WR");
Ns:=Fml("MSTT BO Buy US SP600 WR");
X:=Fml("MSTT AT Trail US WR");
Xs:=0;
{Code}
F:=ExtFml("GV.SetVar","Cf",If(F=0,1,F));
I:=ExtFml("GV.SetVar","Le",A);
Xd:=LastValue(Int(Frac(D/9.9)*10));
D:=LastValue(Int(D/10));Ns:=(B=5)*Ns;
F:=ValueWhen(1+D,1,If(Abs(F)>1,Abs(F),-F));
M:=If(Ns>0,Min(H,Max(L,Ns)),If(B=1,O,If(B=3,H,If(B=4,L,C))));
N:=N*(Alert(N=0,2)+(Cum(N>-1)=1));
X:=X*Alert(X=0,2)*(Z<5);
N:=ValueWhen(1+D,1,N);N:=If(B<5,N,Ns>0);
N:=If((F<=1)*(F>0)*(F*K<M),(K=0)*N,N);
Xs:=(Xs>0)*Min(H,Max(L,Xs));
Y:=If(Xs>0,Xs,If(Z=1,O,If(Z=3,H,If(Z=4,L,C))));
X:=ValueWhen(1+Xd,1,X);X:=X+Xs>0;
Y:=If((Z<5)*(X=0),C{Y},Y);Y:=If((Xs>0)*N*X,Xs,Y);
I:=Cum(Abs(F)+K+N+X>-1)=1;N:=(I>-1)*N;
Y:=If((N+X=0)*Alert(N*X,2),ValueWhen(2,1,Y),Y);
R:=BarsSince(I+N)<(BarsSince(I+X)+(Cum(N)=1 AND Cum(I+X)=1));
R:=If((N+X>1)*(Alert(R,2)+((D+Xd<1)
*(B<>2)*(Z>1)*(Max(B,Z)>4 OR B<>Z))),1,R);
U:=R*Alert(R=0,2)+I;{M:=If(I*(N=0),C,M);}
Rx:=Alert(R,2);Q:=Rx*(LastValue(Cum(1))=Cum(1));
Z:={Q+}(R=0)*Rx;D:=A<99;A:=ValueWhen(1,U,If(M,M,1));
F:=ValueWhen(1,U,If(F<0,K*Abs(F),
If(F<=1,Int((F*K-G)/A)*A+G,F*A+G)))*(K>0);
B:=Rx*(1+BarsSince(U));
I:=(F-G)*Y/A-F;U:=(F-G)*(A-Y)/A-G;
N:=(Z+Q>0)*If(D,If(K,I-J*Z,Y-A),If(K,U-J*Z,A-Y));
Xs:=Rx*If(D,If(K,I-Z*J,Y-A),If(K,U-Z*J,A-Y));
X:=Cum((Z+Q>0)*(N>0)*(B-1));Xd:=Cum((Z+Q>0)*(N<=0)*(B-1));
M:=Cum(N)+K+R*(Q=0)*If(D,If(K,I,Y-A),If(K,U,A-Y));
I:=ExtFml("GV.SetVar","Mx",Rx*If(D,If(K,(F-G)*
((H/A)-1)-G-J*Z,H-A),If(K,(F-G)*((A-L)/A)-G-J*Z,A-L)));
I:=ExtFml("GV.SetVar","Mn",RX*If(D,If(K,(F-G)*
((L/A)-1)-G-J*Z,L-A),If(K,(F-G)*((A-H)/A)-G-J*Z,A-H)));
I:=ExtFml("GV.SetVar","A",A);I:=ExtFml("GV.SetVar","Cn",G);
I:=ExtFml("GV.SetVar","Cp",K);I:=ExtFml("GV.SetVar","Cx",J);
I:=ExtFml("GV.SetVar","Eq",M);I:=ExtFml("GV.SetVar","F",F);
I:=ExtFml("GV.SetVar","N",N);I:=ExtFml("GV.SetVar","Tr",R);
I:=ExtFml("GV.SetVar","X",X);I:=ExtFml("GV.SetVar","Xd",Xd);
I:=ExtFml("GV.SetVar","Xs",Xs);I:=ExtFml("GV.SetVar","Y",Y);
{Fml("Trade Equity GV LE Display");} M;
Figure 5.
The Trade Equity GV LE indicator is used in conjunction with explorations and
experts to generate the portfolio test results shown in figures 7, 11, 13 & 17.
February 2014
Page 4
{Trade Equity GV SE}
{Roy Larsen, 2003-2013, 9/9/13, v8.5.3}
{Inputs}
A:=Input("Trade Equity GV SE, Opt 0-27, LE=100+",0,127,100);
B:=Input("Entry, 1=O 2=C 3=H 4=L 5=Stop",1,5,5);
Z:=Input("Exit, 1=O 2=C 3=H 4=L 5=Stop",1,5,1);
G:=Input("Entry Cost",0,999,5);
J:=Input("Exit Cost",0,999,5);
D:=Input("Entry/Exit Delays 00-55",0,55,11);
K:=1000; F:=-1;{Equity/Factor}
{Signals}
I:=0;
N:= Fml("MSTT IH Buy US SP600 WR");
Ns:=Fml("MSTT BO Buy US SP600 WR");
X:=Fml("MSTT AT Trail US WR");
Xs:=0;
{Code}
I:=ExtFml("GS.SetVar","Cf",If(F=0,1,F));
I:=ExtFml("GS.SetVar","Se",A);
Xd:=LastValue(Int(Frac(D/9.9)*10));
D:=LastValue(Int(D/10));Ns:=(B=5)*Ns;
F:=ValueWhen(1+D,1,If(F=0,-1,If(Abs(F)>1,Abs(F),-F)));
M:=If(Ns>0,Min(H,Max(L,Ns)),If(B=1,O,If(B=3,H,If(B=4,L,C))));
N:=N*(Alert(N=0,2)+(Cum(N>-1)=1));
X:=X*Alert(X=0,2)*(Z<5);
N:=ValueWhen(1+D,1,N);N:=If(B<5,N,Ns>0);
N:=If((F<=1)*(F>0)*(F*K<M),(K=0)*N,N);
Xs:=(Xs>0)*Min(H,Max(L,Xs));
Y:=If(Xs>0,Xs,If(Z=1,O,If(Z=3,H,If(Z=4,L,C))));
X:=ValueWhen(1+Xd,1,X);X:=X+Xs>0;
Y:=If((Z<5)*(X=0),C{Y},Y);Y:=If((Xs>0)*N*X,Xs,Y);
I:=Cum(Abs(F)+K+N+X>-2)=1;N:=(I>-1)*N;
Y:=If((N+X=0)*Alert(N*X,2),ValueWhen(2,1,Y),Y);
R:=BarsSince(I+N)<(BarsSince(I+X)+(Cum(N)=1 AND Cum(I+X)=1));
R:=If((N+X>1)*(Alert(R,2)+((D+Xd<1)
*(B<>2)*(Z>1)*(Max(B,Z)>4 OR B<>Z))),1,R);
U:=(R+Alert(R=0,2)=2)+I;M:=If(I*(N=0),C,M);
Rx:=Alert(R,2);Q:=Rx*(LastValue(Cum(1))=Cum(1));
Z:={Q+}(R=0)*Rx;D:=A>99;A:=ValueWhen(1,U,If(M,M,1));
F:=ValueWhen(1,U,If(F<0,K*Abs(F),
If(F<=1,Int((F*K-G)/A)*A+G,F*A+G)))*(K>0);
B:=Rx*(1+BarsSince(U));
I:=(F-G)*Y/A-F;U:=(F-G)*(A-Y)/A-G;
N:=(Z+Q>0)*If(D,If(K,I-Z*J,Y-A),If(K,U-Z*J,A-Y));
Xs:=Rx*If(D,If(K,I-Z*J,Y-A),If(K,U-Z*J,A-Y));
X:=Cum((Z+Q>0)*(N>0)*(B-1));Xd:=Cum((Z+Q>0)*(N<=0)*(B-1));
M:=Cum(N)+K+R*(Q=0)*If(D,If(K,I,Y-A),If(K,U,A-Y));
I:=ExtFml("GS.SetVar","Mx",Rx*If(D,If(K,(F-G)*
((H/A)-1)-G-J*Z,H-A),If(K,(F-G)*((A-L)/A)-G-J*Z,A-L)));
I:=ExtFml("GS.SetVar","Mn",Rx*If(D,If(K,(F-G)*
((L/A)-1)-G-J*Z,L-A),If(K,(F-G)*((A-H)/A)-G-J*Z,A-H)));
I:=ExtFml("GS.SetVar","A",A);I:=ExtFml("GS.SetVar","Cn",G);
I:=ExtFml("GS.SetVar","Cp",K);I:=ExtFml("GS.SetVar","Cx",J);
I:=ExtFml("GS.SetVar","Eq",M);I:=ExtFml("GS.SetVar","F",F);
I:=ExtFml("GS.SetVar","N",N);I:=ExtFml("GS.SetVar","Tr",R);
I:=ExtFml("GS.SetVar","X",X);I:=ExtFml("GS.SetVar","Xd",Xd);
I:=ExtFml("GS.SetVar","Xs",Xs);I:=ExtFml("GS.SetVar","Y",Y);
{Fml("Trade Equity GV SE Display");}M;
Figure 6.
The Trade Equity GV SE indicator is not normally used with the BO and IH
systems but it can be used on the long side with an option setting of 1XX.
February 2014
Page 5
Trade Equity LE Portfolio Report
System test results
Performance
Net Profit
Average Return
Performance
Annualized
B&H Profit
B&H Average
$
$
$
$
129,834.87
315.90
90.79 %
9.58 %
772,314.88
5,400.80
Trade Summary
Total Trades
Issues Traded
Profit/Loss Ratio
Profit Factor
Pessimistic Return
411
143
5.02
7.95
8.10
Maximum Excursions
Favorable
$
Adverse
$
Open Drawdown
$
Closed Drawdown $
21,110.05
-517.21
-787.07
-770.01
Trade Efficiency
69.67 %
41.15 %
12.77 %
Average Entry
Average Exit
Average Total
Performance Indices
Buy & Hold Index
Profit/Loss Index
Reward/Risk Index
-83.19 %
87.43 %
88.60 %
Accounting
Profitable Trades
Total
252
Max Consecutive/Issue
6
Percentage
61.31 %
Gross Profit
$
148,504.16
Greatest Profit $
7,020.98
Average Profit $
589.30
Smallest Profit $
7.98
Unprofitable Trades
Total
159
Breakeven
0
Max Consecutive/Issue
5
Percentage
38.69 %
Gross Loss
$
-18,669.32
Greatest Loss
$
-433.89
Average Loss
$
-117.42
Smallest Loss
$
-1.85
Initial Equity
Final Equity
Commissions
Open Trade P/L
Capital at Risk
Open Trades
$
$
$
$
$
143,000.00
272,834.88
4,070.00
1,969.19
9,958.18
8
Profitable Trade Bars
Average
Most
Least
Total
29.40
104
6
7,408
Unprofitable Trade Bars
Average
Most
Least
Total
10.25
33
2
1,630
Figure 7.
MSTT S&P300 Breakout system results
generated by a Trade Equity expert Commentary.
Figure 8.
Enhanced System Tester summary of ASX S&P 300 Breakout system.
February 2014
Page 6
Figure 9.
TradeSim ASX results for Breakout system.
Chart courtesy of TradeSim.
Figure 10.
TradeSim ASX results for Initial High system.
Chart courtesy of TradeSim.
February 2014
Page 7
Trade Equity LE Portfolio Report
System test results
Performance
Net Profit
Average Return
Performance
Annualized
B&H Profit
B&H Average
$
$
$
$
73,044.41
525.50
89.08 %
9.77 %
542,352.00
6,614.05
Trade Summary
Total Trades
Issues Traded
Profit/Loss Ratio
Profit Factor
Pessimistic Return
139
82
7.70
11.75
12.10
Trade Efficiency
66.57 %
40.47 %
7.04 %
Average Entry
Average Exit
Average Total
Buy & Hold Index
Profit/Loss Index
Reward/Risk Index
-86.53 %
91.49 %
88.42 %
Accounting
84
3
60.43 %
79,836.76
11,396.97
950.44
3.31
Unprofitable Trades
Total
Breakeven
Max Consecutive/Issue
Percentage
Gross Loss
$
Greatest Loss
$
Average Loss
$
Smallest Loss
$
15,712.26
-451.09
-558.00
-532.82
Performance Indices
Profitable Trades
Total
Max Consecutive/Issue
Percentage
Gross Profit
$
Greatest Profit $
Average Profit $
Smallest Profit $
Maximum Excursions
Favorable
$
Adverse
$
Open Drawdown
$
Closed Drawdown $
55
0
3
39.57 %
-6,792.38
-357.40
-123.50
-0.04
Initial Equity
Final Equity
Commissions
Open Trade P/L
Capital at Risk
Open Trades
$
$
$
$
$
82,000.00
155,044.41
695.00
0.00
0.00
0
Profitable Trade Bars
Average
Most
Least
Total
28.12
79
5
2,362
Unprofitable Trade Bars
Average
Most
Least
Total
11.51
59
1
633
Figure 11.
MSTT S&P300 Initial High system results
generated by a Trade Equity expert Commentary.
Figure 12.
Enhanced System Tester summary of ASX Initial High system.
February 2014
Page 8
Trade Equity LE Portfolio Report
System test results
Performance
Net Profit
Average Return
Performance
Annualized
B&H Profit
B&H Average
$
$
$
$
224,862.81
447.93
105.08 %
9.40 %
1,709,137.75
7,986.63
Trade Summary
Total Trades
Issues Traded
Profit/Loss Ratio
Profit Factor
Pessimistic Return
502
214
6.49
10.39
10.56
Maximum Excursions
Favorable
$
Adverse
$
Open Drawdown
$
Closed Drawdown $
15,493.26
-652.30
-640.75
-640.75
Trade Efficiency
70.62 %
41.35 %
12.77 %
Average Entry
Average Exit
Average Total
Performance Indices
Buy & Hold Index
Profit/Loss Index
Reward/Risk Index
-86.84 %
90.38 %
89.87 %
Accounting
Profitable Trades
Total
309
Max Consecutive/Issue
4
Percentage
61.55 %
Gross Profit
$
248,801.64
Greatest Profit $
10,279.88
Average Profit $
805.18
Smallest Profit $
0.16
Unprofitable Trades
Total
193
Breakeven
0
Max Consecutive/Issue
4
Percentage
38.45 %
Gross Loss
$
-23,938.78
Greatest Loss
$
-532.06
Average Loss
$
-124.04
Smallest Loss
$
-0.48
Initial Equity
Final Equity
Commissions
Open Trade P/L
Capital at Risk
Open Trades
$
$
$
$
$
214,000.00
438,862.81
2,500.00
1,881.83
5,867.57
4
Profitable Trade Bars
Average
Most
Least
Total
33.52
115
3
10,359
Unprofitable Trade Bars
Average
Most
Least
Total
13.37
61
1
2,581
Figure 13
MSTT US S&P 600 Breakout system results
generated by a Trade Equity expert Commentary..
Figure 14.
Enhanced System Tester summary of S&P 600 Breakout system.
February 2014
Page 9
Figure 15.
TradeSim S&P 600 results for Breakout system.
Chart courtesy of TradeSim.
Figure 16.
TradeSim S&P 600 results for Initial High system.
Chart courtesy of TradeSim.
February 2014
Page 10
Trade Equity LE Portfolio Report
System test results
Performance
Net Profit
Average Return
Performance
Annualized
B&H Profit
B&H Average
$
$
$
$
82,239.33
507.65
56.72 %
5.87 %
363,472.47
2,506.71
Trade Summary
Total Trades
Issues Traded
Profit/Loss Ratio
Profit Factor
Pessimistic Return
162
145
7.38
10.20
10.41
Trade Efficiency
71.81 %
39.70 %
12.12 %
Average Entry
Average Exit
Average Total
Buy & Hold Index
Profit/Loss Index
Reward/Risk Index
-77.37 %
90.20 %
85.76 %
Accounting
94
2
58.02 %
91,178.73
10,901.20
969.99
22.06
Unprofitable Trades
Total
Breakeven
Max Consecutive/Issue
Percentage
Gross Loss
$
Greatest Loss
$
Average Loss
$
Smallest Loss
$
16,401.62
-646.16
-616.26
-452.08
Performance Indices
Profitable Trades
Total
Max Consecutive/Issue
Percentage
Gross Profit
$
Greatest Profit $
Average Profit $
Smallest Profit $
Maximum Excursions
Favorable
$
Adverse
$
Open Drawdown
$
Closed Drawdown $
68
0
2
41.98 %
-8,939.40
-398.12
-131.46
-0.80
Initial Equity
Final Equity
Commissions
Open Trade P/L
Capital at Risk
Open Trades
$
$
$
$
$
145,000.00
227,239.33
807.50
1,061.94
2,038.95
1
Profitable Trade Bars
Average
Most
Least
Total
37.03
124
5
3,481
Unprofitable Trade Bars
Average
Most
Least
Total
13.97
59
3
950
Figure 17
MSTT US S&P 600 Initial High system results
generated by a Trade Equity expert Commentary..
Figure 18.
Enhanced System Tester summary of S&P 600 Initial High system.
February 2014
Page 11
ASX ENHANCED SYSTEM TESTS
{MSTT Breakout Weekly ASX System}
{Roy Larsen, 2007-2014, 6/2/14}
{MSTT Initial High Weekly ASX System}
{Roy Larsen, 2009-2014, 6/2/14}
{Buy Order window}
X:=Opt1; {Min: 1} {Max: 1} {Step: 1}
Fml("MSTT BO Buy AU SP300 WR")>0;
{Buy Order window}
X:=Opt1; {Min: 1} {Max: 1} {Step: 1}
Ref(Fml("MSTT IH Buy AU SP300 WR"),-1);
{Limit or Stop Price window (for Buy Order)}
Fml("MSTT BO Buy AU SP300 WR");
{Note that a delay is applied by the Ref() function,}
{not by Strategic Delay or Delay Order Opening}
{An execution price setting of OPEN is}
{OK when setting up the trade simulation}
{Sell Order window}
Ref(Fml("MSTT AT Trail AU WR"),-1);
{Sell Order window}
Ref(Fml("MSTT AT Trail AU WR"),-1);
{System settings}
{System settings}
{Buy Order }
Order Type:
Entry Size:
Expiration:
Strategic Delay:
Limit
Use Default Size
Good for Day
0
{Sell Order}
Order Type:
Entry Size:
Expiration:
Strategic Delay:
Market
Use Default Size
Good for Day
0
{Buy Order }
Order Type:
Entry Size:
Expiration:
Strategic Delay:
Market
Use Default Size
Good for Day
0
{Sell Order}
Order Type:
Entry Size:
Expiration:
Strategic Delay:
Market
Use Default Size
Good for Day
0
{Simulation settings}
{Simulation settings}
750 periods of Weekly data (do not use date options)
Initial Equity:
2000
Default Size:
Transaction Cost
1000
Portfolio:
Long
Broker Commissions:
Entry
5.00
Exit
5.00
Trade Execution
Buy Price
OPEN
Sell Price
OPEN
Delay Order Opening
0
Figure 19.
ASX Breakout WR system and simulation settings.
750 periods of Weekly data (do not use date options)
Initial Equity:
2000
Default Size:
Transaction Cost
1000
Portfolio:
Long
Broker Commissions:
Entry
5.00
Exit
5.00
Trade Execution
Buy Price
OPEN
Sell Price
OPEN
Delay Order Opening
0
Figure 20.
ASX Initial High WR system and simulation settings.
February 2014
Page 12
US ENHANCED SYSTEM TESTS
{MSTT Breakout Weekly US System WR}
{Roy Larsen, 2007-2014, 5/2/14}
{MSTT Initial High Weekly US System WR}
{Roy Larsen, 2009-2014, 5/2/14}
{Buy Order window}
X:=Opt1; {Min: 1} {Max: 1} {Step: 1}
Fml("MSTT BO Buy US SP600 WR")>0;
{Buy Order window}
X:=Opt1; {Min: 1} {Max: 1} {Step: 1}
Ref(Fml("MSTT IH Buy US SP600 WR"),-1);
{Limit or Stop Price window (for Buy Order)}
Fml("MSTT BO Buy US SP600 WR");
{Note that a delay is applied by the Ref() function,}
{not by Strategic Delay or Delay Order Opening}
{An execution price setting of OPEN is}
{OK when setting up the trade simulation}
{Sell Order window}
Ref(Fml("MSTT AT Trail US WR"),-1);
{Sell Order window}
Ref(Fml("MSTT AT Trail US WR"),-1);
{System settings}
{System settings}
{Buy Order }
Order Type:
Entry Size:
Expiration:
Strategic Delay:
Limit
Use Default Size
Good for Day
0
{Sell Order}
Order Type:
Entry Size:
Expiration:
Strategic Delay:
Market
Use Default Size
Good for Day
0
{Buy Order }
Order Type:
Entry Size:
Expiration:
Strategic Delay:
Market
Use Default Size
Good for Day
0
{Sell Order}
Order Type:
Entry Size:
Expiration:
Strategic Delay:
Market
Use Default Size
Good for Day
0
{Simulation settings}
{Simulation settings}
750 periods of Weekly data (do not use date options)
Initial Equity:
2000
Default Size:
Transaction Cost
1000
Portfolio:
Long
Broker Commissions:
Entry
2.50
Exit
2.50
Trade Execution
Buy Price
OPEN
Sell Price
OPEN
Delay Order Opening
0
Figure 21.
US Breakout WR System and Simulation settings.
750 periods of Weekly data (do not use date options)
Initial Equity:
2000
Default Size:
Transaction Cost
1000
Portfolio:
Long
Broker Commissions:
Entry
2.50
Exit
2.50
Trade Execution
Buy Price
OPEN
Sell Price
OPEN
Delay Order Opening
0
Figure 22.
US Initial High WR system and simulation settings.
February 2014
Page 13
TRADE EQUITY V 8.5.X SETUP OPTIONS
{Trade Equity GV LE}
{Roy Larsen, 2003-2013, 9/9/13, v8.5.3}
{Inputs}
A:=Input("Trade Equity GV LE, Opt 0-27, SE=100+",0,127,0);
B:=Input("Entry, 1=O 2=C 3=H 4=L 5=Stop",1,5,5);
Z:=Input("Exit, 1=O 2=C 3=H 4=L 5=Stop",1,5,1);
{Trade Equity GV LE}
G:=Input("Entry Cost",0,999,5);
{Roy Larsen, 2003-2013, 9/9/13, v8.5.3}
J:=Input("Exit Cost",0,999,5);
{Inputs}
D:=Input("Entry/Exit Delays 00-55",0,55,01);
A:=Input("Trade Equity GV LE, Opt 0-27, SE=100+",0,127,0);
K:=1000; F:=-1; {Equity/Factor}
B:=Input("Entry, 1=O 2=C 3=H 4=L 5=Stop",1,5,5);
{Signals}
Z:=Input("Exit, 1=O 2=C 3=H 4=L 5=Stop",1,5,1);
I:=0;
G:=Input("Entry Cost",0,999,2.5);
N:= Fml("MSTT IH Buy AU SP300 WR");
J:=Input("Exit Cost",0,999,2.5);
Ns:=Fml("MSTT BO Buy AU SP300 WR");
D:=Input("Entry/Exit Delays 00-55",0,55,01);
X:=Fml("MSTT AT Trail AU WR");
K:=1000; F:=-1; {Equity/Factor}
Xs:=0;
{Signals}
I:=0;
Figure 23.
N:= Fml("MSTT IH Buy US SP600 WR");
TE settings for BO AU WR system. Bold text shows
Ns:=Fml("MSTT BO Buy US SP600 WR");
default parameters to match the system being
X:=Fml("MSTT AT Trail US WR");
tested. The Entry formula used (Ns variable) is set
Xs:=0;
by the Buy price setting (B variable=5). The red
rectangle marks the active entry formula.
Figure 25.
TE settings for BO US WR system. Bold text shows default
parameters to match the system being tested. The Entry formula
used (Ns variable) is set by the Buy price setting (B variable=5).
The red rectangle marks the active entry formula.
{Trade Equity GV LE}
{Roy Larsen, 2003-2013, 9/9/13, v8.5.3}
{Inputs}
A:=Input("Trade Equity GV LE, Opt 0-27, SE=100+",0,127,0);
B:=Input("Entry, 1=O 2=C 3=H 4=L 5=Stop",1,5,1);
Z:=Input("Exit, 1=O 2=C 3=H 4=L 5=Stop",1,5,1);
{Trade Equity GV LE}
G:=Input("Entry Cost",0,999,25);
{Roy Larsen, 2003-2013, 9/9/13, v8.5.3}
J:=Input("Exit Cost",0,999,25);
{Inputs}
D:=Input("Entry/Exit Delays 00-55",0,55,11);
A:=Input("Trade Equity GV LE, Opt 0-27, SE=100+",0,127,0);
K:=1000; F:=-1; {Equity/Factor}
B:=Input("Entry, 1=O 2=C 3=H 4=L 5=Stop",1,5,1);
{Signals}
Z:=Input("Exit, 1=O 2=C 3=H 4=L 5=Stop",1,5,1);
I:=0;
G:=Input("Entry Cost",0,999,2.5);
N:= Fml("MSTT IH Buy AU SP300 WR");
J:=Input("Exit Cost",0,999,2.5);
Ns:=Fml("MSTT BO Buy AU SP300 WR");
D:=Input("Entry/Exit Delays 00-55",0,55,11);
X:=Fml("MSTT AT Trail AU WR");
K:=1000; F:=-1; {Equity/Factor}
Xs:=0;
{Signals}
I:=0;
Figure 24.
N:= Fml("MSTT IH Buy US SP600 WR");
TE settings for IH AU WR system. Bold text shows
Ns:=Fml("MSTT BO Buy US SP600 WR");
default parameters to match the system being
X:=Fml("MSTT AT Trail US WR");
tested. The Entry formula used (N variable) is set by
Xs:=0;
the buy price setting (B variable=1). The red
rectangle marks the active entry formula.
Figure 26.
TE settings for IH US WR system. Bold text shows default
parameters to match the system being tested. The Entry formula
used (N variable) is set by the buy price setting (B variable=1).
The red rectangle shows the selected entry formula.
February 2014
Page 14
Figure 27.
Annual results for ASX Small Ords Breakout system.
Chart courtesy of TradeSim.
Figure 28.
Annual results for ASX Small Ords Initial High system.
Chart courtesy of TradeSim.
February 2014
Page 15
Figure 29.
Annual results for US S&P 600 Breakout system.
Chart courtesy of TradeSim.
Figure 30.
Annual results for US S&P 600 Initial High system.
Chart courtesy of TradeSim.
February 2014
Page 16
TRADING & SYSTEM SUGGESTIONS
By Roy Larsen
T
he suggested settings given on pages 14 are specifically intended
for the latest versions of Trade Equity GV LE — v8.5 and above. I
suggest that you work with v8.5.2 or v8.5.3 as distributed in the most
recent EXE files (check the creation date of those files). And
remember that the more times you use the Fml() function in primary
TE indicators the slower your explorations will run.
Please feel free to contact me if you have any questions about the
systems or their application, but understand that systems intended for
one market are unlikely to work as well or at all on other markets. Both
the Initial High and Breakout systems were initially developed and
tested on ASX data, and this is still where their performance is best.
Nevertheless I believe that adaptation and improvement of these
systems for other markets is a realistic expectation.
Paper testing of each system for a reasonable period is advised prior to
committing significant amounts of money to the market. If you don’t
have confidence in the system you’re using then you’re likely to
second-guess the system and start relying on your own instincts. If
you’re new to the market then those instincts might very well cost you
serious money.
And finally, don’t trade with money you can’t afford to lose.
†
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Disclaimer: There are significant risks associated with securities trading. Nothing in this newsletter should be considered investment
advice, trading advice or recommendations as to investment management. I am not an investment advisor, and the information
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February 2014
Page 17