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Here if you still need it. I contacted support the time template backtesting issue is theirs not mine. Working on it. Dloomis when you refer to CCI 10,11,12, etc. What exactly are you refering too? CCI is 100 to -100?
Fibbgann
Fibbgann
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Re: Reply to post 'Signal clarity'
cci10 is a back test with the cci parameter set to 10, default is 20.
Left the ranges the same +100 to -100
----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Monday, December 15, 2003 6:24 PM
Subject: Reply to post 'Signal clarity'
> Hello dloomis,
>
> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~
>Comment
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The $SPX has daily data back to October 1985. Since ES is based upon $SPX this should be a way to get a lot of data for your test. The results won't be exact because of the 1/4 point increment in ES, but should be close enough for your purposes.Comment
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Ahhh ok. Sorry guys, for some reason I could'nt fight my way out of a paper bag this week. I also just fixed the bug for my backtesting. I am going to work on the RSI.
FibbgannComment
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Going to post the RSI results in a few minutes. I think I might change the Params on RSI to 35 and 65 and run a test too. Found some interesting signals.
FibbgannComment
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Results are based on 5 min, ES #F, 120 days.
RSI PROFIT
4RSI $1,512.50
5RSI $1,237.50
6RSI $737.50
7RSI $2,162.50
8RSI $1,662.50
9RSI ($587.50)
10RSI $1,912.50
11RSI $3,212.50
12RSI $6,012.50
13RSI $8,462.50
14RSI $3,087.50
15RSI $4,087.50
16RSI $5,537.50
17RSI $4,437.50
18RSI $4,637.50
19RSI $1,887.50
20RSI $412.50
FibbgannComment
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Re: Reply to post 'Signal clarity'
Looks like a sweet spot around 13 through 18
> 13RSI $8,462.50
> 14RSI $3,087.50
> 15RSI $4,087.50
> 16RSI $5,537.50
> 17RSI $4,437.50
> 18RSI $4,637.50Comment
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All RSI backtests have been added to the file share.
FibbgannComment
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Re: Reply to post 'Signal clarity'
FG
What do you make of the results for cci and rsi so far?
Think we should run some more back tests?
Did you trade in that POS Xeon for the TRS 80 that quickly?
Comment
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I say we take the top 5 prospects of RSI and CCI and run a combnination testing. I don't think it will do much good messing with the STO.
And yes ,they even gave me a free game with my TRS80 (dinosaurs)
FibbgannComment
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Re: Reply to post 'Signal clarity'
Take the top five..
OK, can you do then or do you need some help from my old Commodore 64 unit?Comment
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I got it... Want to through a monkey wrench in this If I could. Would like to see the result I get. (Isee something interesting)Tell me what you think.
Besides the original settings of the trigger for each indicator. (want to include them!)
Can you integrate triggers for crossing the median points too?
Crossing down (sell) Crossing up (buy)
CCI = 0
RSI= 50
ST0= 50
Let me know
Use your Collecovision for this one!
FibbgannComment
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Re: Reply to post 'Signal clarity'
FG
Crossing triggers - sure I can add them, in addition to what we already
have? Or replace what we have?
So we would need how many signals to trigger a trade?Comment
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Let me dwell on it. I am seeing some interesting things. I need to sit down and plot it out. This way it is exact and right in my explanation.Comment
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Hey Guys...
I have not been following this thread (like I should have been). I've just completed a couple major projects for clients and about to start another "re-write" of an existing system for a client.
Although, I would say that your work looks good. I have done alot of this type of thing.
David, Alex or FibGann.. if you could post the most recent code you are using to backtest - I would be willing to try to add my two cents.
Another thing - your backtests do not allow for any slippage of commissions. You should allot for $12.50 slippage as a minimum and at least $5 per trade for commissions. I know this does not seem like much, but it will reduce the profits of the system - in some cases - maybe even turn it NEGATIVE.
If I can help, please let me know. I love exploring these ideas more than you think.
BradBrad Matheny
eSignal Solution Provider since 2000Comment
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