And the one example quoted in the book of CBA from the low to the entry 20% higher takes about 35 bars/days. Nick says he has derived the entry from Martin Zweig's 4% rule, based upon a single week’s movement of the Value Line Composite Geometric Index. Pretty much any stock will have been 20% lower at SOME time in the past.īut maybe I have misunderstood. The low could have been this year or last year or 10 years ago. It also doesn't say the stock has to have first dropped 20% and then risen 20% as I have found in somebody else's AFL code. What exactly does that mean? It doesn't say the low has to be from the last 50 bars as in your AFL listing. The 20% Flipper is the only one that has an ambiguous entry. Like you, I have spent quite some time investigating the 'Unholy Grail' systems. Plot(HighValueLess20, 'HHV', colorBlack,styleLine,styleThick) Plot(LowValuePlus20, 'LLV', colorBlue,styleLine,styleThick) Liquidity = MA(V, 7) > 500000 // Volume Average for 7 bars is greater than 500000īuy = Cross(C, LowValuePlus20) & Liquidity & Turnover IndexSellfilter = C 500000 // Dollar Average for 7 bars is greater than 500000 SetForeign('XAO') // Yahoo = ^AORD / Premium Data = XAO) PositionScore = mtRandomA() // Random Backtest

SetOption('UsePrevBarEquityForPosSizing', True) SetTradeDelays(1,1,1,1) // Trade next bar after signal at open price SetOption('CommissionAmount', 30) // Commission of $30 ($29.95 rounded up) SetPositionSize(5, spsPercentOfEquity) // Equally weighted 5% of Equity SetOption('MaxOpenPositions', 20) // Max.

SetOption('InitialEquity', 100000) // Initial Equity Some runs pick up CQA, a delisted stock, which on had a 40:1 stock split according to yahoo, (while we were long), but the test still shows it was picked up for 0.5 c, making $1.7m of non existent profit for the system, which alone would be adding significant amounts to the test results if not excluded manually or by a liquidity test. Its possible there may have been a stock split some time which affects this by making the 1.6c an 'adjusted' and therefore never existed price?

would we have either wanted to or been able to make this trade in real life? I think not, I cant believe that this would pass any reasonable liquidity test.īefore I took it out to try to replicate this strategy, I had been using a filter of > 20c, partly because so much of the performance was down to 5c stocks, I also don't believe that in real life you are also going to commit 5% of your capital to a 5c stock just because it goes from 5 to 6c however 2m at 1.6c shares represents about $32000 turnover, and our 'purchase' would have added another 45% to that. Now it only gets past the liquidity filter because in the previous days there was a sudden flurry of activity averaging probably 2m shares traded, which passes the shares>500000 test. 016 or 1.6c, which goes on to be a 100 bagger and make us $1.5m. Using OR, on some runs it picks up PDN on 8/8/03 for. If I use AND the number of trades drops closer to that reported the book, and there are no silly outliers, but the CAGR is consistently lower at around 20%. If we use OR in the code, I get CAGR something like the book, but with too many trades. The table on p 55 could be read as saying BOTH criteria must be met, but in this case I will assume the narrative is correct and it should be an OR rather than an AND. Now the book says on p 49, we will include only stocks with an avg vol of > 500000 shares OR avg turnover > $500000. The first one I will use the example of PDN my concern is unrealistic outliers are unduly flattering the results Appointed by Kevin Rudd in 2009, tim found himself in the singular world of Vatican diplomacy, where, even more than most diplomatic circles, the right word in the right ear is an essential artform, and where the person sitting next to you at dinner could be Colonel Gadafi or the Pope.Trying to recreate the BBO strategy as exactly as I can has thrown up another couple of issues, which I will post here to see if any light is shed. Here he reflects on his time in the Vatican, the details which made up his life, the protocols, the people and also on the role that religion still has to play in the lives of future generations. A one of a kind book which provides a look into the closed world of the Vatican in Rome from the perspective of the first Australian Ambassador to the Holy See, Tim FischerĪs the first Australian Ambassador to the Holy See tim Fischer is is the unique position of being able to tell what it's really like in the seat of power in Rome.

Unholy near me