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March 2015 Stocks and Commodities Traders Tips


Trading System Design: A Statistical Approach

AIQ Version:

Original article by John F. Ehlers and Ric Way
AIQ Code by Richard Denning

Figure 1 shows the EDS back test summary for trading the NASDAQ 100 list of stocks using the author’s stochastic system over the period 2009 through 1/13/2015.

Captions:
Figure 1 –EDS back test summary for trading the NASDAQ 100 list of stocks over the period 2009 through 1/13/2015.

EDS Code:
Ehlers System.EDS
(right click and choose Save As)


 

Traders Studio Version :

Original article by John F. Ehlers and Ric Way
Traders Studio Code by Richard Denning

The following code files are contained in the download below:

  • System: EHLERS_SYSTEMS: a long only system that uses daily data and the stochastic indicator for entries.
Figure 1 shows the equity curve for the stochastic system trading one contract per trade of the S&P 500 full sized futures contract from 1982 to 2014 using data from Pinnacle Data Corp. Slippage & commission of $100 per round turn trade were subtracted from each trade.

Captions:
Figure 1 – equity curve trading the stochastic system one contract per trade of the S&P 500 full sized futures contract from 1982 to 2014.

Traders Studio Code:
EHLERS_SYSTEMS.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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