Day Trading & Forex Forum

bennfiner

Hi All:

Newbie here....I've been playing with Ameritrad'es strategydesk for about a month, and I always seem to be able to find fantastic systems that end up cheating (they look ahead).

By chance, (well from google), I found the following system and played with it in strategydesk:

THE FORMULA! - HotStockMarket Message Boards

I am convinced that as it is given it cheats (looks ahead-I explain that in my commentary there). I've been waiting for the original poster of the system to respond, but haven't heard anything so I thought I would try to get some comments here.

First, attached are the results of my modified system from Jan 1, 2009 to today. These results are based on 1 minute bars, trading $5000 each time, and $5 per trade commission. The percent winners is troubling, but IF the results are correct, it may not matter.

Here are the buy and sell rules. For those unfamiliar with strategydesk, Bar[Open,1] is the open price of the current 1 minute bar, and Bar[Open,1,1] is the open price of the 1 minute bar, 1 minute ago. So Bar[Open,D] is the open of today, and Bar[Open,D,1] is yesterday's open. IT IS not clear if strategydesk handles multiple time frames in the buy and sell rules correclty, that is one issue I have whether or not this is working as advertised.

BUY rule: Buy at close of current bar if

Bar[Close,15] > (Bar[Close,15,1]*1.01) AND
(1-(Bar[Close,1] < (Bar[Open,D]*.98) OR Bar[Close,1] > (Bar[Open,D]*1.08)))

SELL rule: Sell at close of current bar if

Bar[Close,1] < (Bar[Open,D]*.98) OR Bar[Close,1] > (Bar[Open,D]*1.08)


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No indicators, just price action. I was motivated by reading about Orange's SRDC system (see SRDC V by Orange Roshan - Forex Trading) for example.

Thanks in advance for any insight that can be offered.

Good trading all!

Attached Thumbnails

 

mwe

I don’t see how this code could look ahead, however it looks to be very badly written.
The middle section of the buy rule (1-(Bar[Close,1] < (Bar[Open,D]*.98) is always going to be true because 1 minus the price is a negative number.
The last section of the buy and sell rules OR Bar[Close,1] > (Bar[Open,D]*1.08) is exactly the same, and that’s got to cause problems when the condition is true.