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Testing John Carter's Milk Money Trade - Testing John Carter's Milk Money Trade
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AlphaOptions  
#1 Posted : Thursday, July 22, 2010 3:58:38 PM(UTC)
AlphaOptions

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Friends: I am hoping someone can help me with a formula for testing a trading strategy recommended by John Carter in the latest issue of Think Money magazine (Link - https://www.thinkorswim....e.tos?webpage=thinkMoney or specifically - http://www.thinkmoney-di...money/2010springred#pg30). I would like to see if it is possible to construct a formula that woud allow back-testing, but lost on how to start. This would begin with having a formula for the Awesome Oscillator, and then entering the Long-Short instructions as he describes.
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v.trader  
#2 Posted : Thursday, July 22, 2010 9:28:57 PM(UTC)
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Where exactly do you find where the AO is constructed?
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vienna  
#3 Posted : Friday, July 23, 2010 1:28:13 AM(UTC)
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AO is something like:

AO:=Mov((H+L)/2,5,S)-Mov((H+L)/2,34,S);
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AlphaOptions  
#4 Posted : Friday, July 23, 2010 9:04:06 AM(UTC)
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To see the system description, you may need to access the link I provided to see the illustration that corresponds with the description. Let me know if you want me to try to describe it here. It is a very short description but screenshot and labels he has applied are best appreeciated in his description if you can access the link.
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AlphaOptions  
#5 Posted : Friday, July 23, 2010 9:09:46 AM(UTC)
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Thanks Vienna. As a new user, I could never have done that on my own. To set-up and run the system tester, I need to enter the specifics for: Buy Order: Sell Order: Buy SHort Sell Short: Buy to Cover - probably not necessary unless you disagree? Stops Thanks again
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Laisze  
#6 Posted : Saturday, July 24, 2010 7:11:01 AM(UTC)
Laisze

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This would be the perfect project for testing on the new VST platform. David? :)
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vienna  
#7 Posted : Monday, July 26, 2010 2:33:29 AM(UTC)
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I'm not really sure if I understand the system right - but buying at point 3 and selling at point 4 doesn't look very profitable? I also tried to implement only the logic (no simulation) the signals I get also do not look very good - maybe I missunderstood the description...
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vienna  
#8 Posted : Tuesday, July 27, 2010 2:42:13 AM(UTC)
vienna

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Here are the formulas and signals - but I can not see how this should work in a performant way..

{ Milk Money Trade - signals - interpretation vienna }
AO:=Mov((H+L)/2,5,S)-Mov((H+L)/2,21,S);

green:=Mov(C,20,E);
v1:=Mov(C,20,E)+((4/100)*Mov(C,20,E));
v2:=Mov(C,20,E)-((4/100)*Mov(C,20,E));
atr14:=ATR(14);
signal1:=If((C>v1) AND (LinRegSlope(ao,2)>0)<>(LinRegSlope(Ref(ao,-1),2)>0),1,0);
signal2:=If((C<v2) AND (LinRegSlope(ao,2)>0)<>(LinRegSlope(Ref(ao,-1),2)>0),1,0);
signalstop:=If(Cross(C,green) OR Cross(green,C),1,0);

v1;green;v2;

signal1 * LastValue(C);
signal2 * LastValue(C);
signalstop * LastValue(C);

as I understood: signal1 and signal2 should be the signal for enter long/short - signalstop is the signal to stop this positions.. (maybe there is some error in the formula - or the system is not working as expected)
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Laisze  
#9 Posted : Thursday, July 29, 2010 6:18:23 AM(UTC)
Laisze

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David just posted the complete long and short system in the VST section of the forum. The Milk Money Trade backtest results are not very good.
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vienna  
#10 Posted : Thursday, July 29, 2010 7:09:26 AM(UTC)
vienna

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Laisze,

thanks for the info, I have already seen these results in the other thread.
I'm not familiar with all numbers/results there but the results seem to be the same as I suggested from the signals. I think it would be possible to improve the performance with changing some of the indicators, but I'm not sure if the general idea of the milk system is worth to do this work.
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