Check out this backtest on the BTTT MAX basket using 5e/13s, 30m periodicity for just this week (trading from first signal on Monday, closing out at end of market today).
Sam
(They are in order: BVSN, DIGL, SAWS, and SNDK)
(Note that I edited this reply... the first tests I found to be invalid due to operator error.)
5E13S_MA_Crossover_30m Untitled-30 Minutes 06/05/00 09:30 - 06/08/00 16:00
06/05/00 16:00 5E13S_MA_Short: SELLSHORT 200 at 51 1/8 price..
06/06/00 10:00 5E13S_MA_Long: COVER SHORT 200 at 52 7/8 with a loss of -389.90..
06/06/00 10:00 5E13S_MA_Long: BUY 200 at 52 7/8..
06/06/00 11:30 5E13S_MA_Short: SELL 200 at 51 1/4 to exit long with a loss of $364.90..
06/06/00 11:30 5E13S_MA_Short: SELLSHORT 200 at 51 1/4 price..
06/06/00 13:30 5E13S_MA_Long: COVER SHORT 200 at 52 5/32 with a loss of -221.15..
06/06/00 13:30 5E13S_MA_Long: BUY 200 at 52 5/32..
06/06/00 14:30 5E13S_MA_Short: SELL 200 at 51 to exit long with a loss of $271.15..
06/06/00 14:30 5E13S_MA_Short: SELLSHORT 200 at 51 price..
06/07/00 14:30 5E13S_MA_Long: COVER SHORT 200 at 49 3/8 with a gain of 285.10..
06/07/00 14:30 5E13S_MA_Long: BUY 200 at 49 3/8..
06/08/00 15:00 5E13S_MA_Short: SELL 200 at 52 3/4 to exit long with a gain of $635.10..
06/08/00 15:00 5E13S_MA_Short: SELLSHORT 200 at 52 3/4 price..
06/08/00 16:30 END TEST: BUY STOP 200 to cover at 52 3/8 with a gain of 35.10..
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Backtesting by Investor/RT, ^ 1996-2000 Linn Software, Inc. <www.linnsoft.com>
5E13S_MA_Crossover_30m Untitled-30 Minutes 06/05/00 09:30 - 06/08/00 16:00
06/06/00 15:30 5E13S_MA_Short: SELLSHORT 200 at 82 9/16 price..
06/07/00 15:30 5E13S_MA_Long: COVER SHORT 200 at 82 1/2 with a loss of -27.40..
06/07/00 15:30 5E13S_MA_Long: BUY 200 at 82 1/2..
06/08/00 16:30 END TEST: SELLSTOP 200 at 88 to exit long with a gain of $1,060.10..
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Backtesting by Investor/RT, ^ 1996-2000 Linn Software, Inc. <www.linnsoft.com>
5E13S_MA_Crossover_30m Untitled-30 Minutes 06/05/00 09:30 - 06/08/00 16:00
06/05/00 16:00 5E13S_MA_Short: SELLSHORT 200 at 75 1/16 price..
06/06/00 10:30 5E13S_MA_Long: COVER SHORT 200 at 76 1/8 with a loss of -252.40..
06/06/00 10:30 5E13S_MA_Long: BUY 200 at 76 1/8..
06/06/00 13:00 5E13S_MA_Short: SELL 200 at 74 5/8 to exit long with a loss of $339.90..
06/06/00 13:00 5E13S_MA_Short: SELLSHORT 200 at 74 5/8 price..
06/07/00 15:00 5E13S_MA_Long: COVER SHORT 200 at 70 3/16 with a gain of 847.60..
06/07/00 15:00 5E13S_MA_Long: BUY 200 at 70 3/16..
06/08/00 10:00 5E13S_MA_Short: SELL 200 at 69 3/4 to exit long with a loss of $127.40..
06/08/00 10:00 5E13S_MA_Short: SELLSHORT 200 at 69 3/4 price..
06/08/00 13:00 5E13S_MA_Long: COVER SHORT 200 at 69 7/8 with a loss of -64.90..
06/08/00 13:00 5E13S_MA_Long: BUY 200 at 69 7/8..
06/08/00 16:00 END TEST: SELLSTOP 200 at 69 11/16 to exit long with a loss of $77.40..
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Backtesting by Investor/RT, ^ 1996-2000 Linn Software, Inc. <www.linnsoft.com>
5E13S_MA_Crossover_30m Untitled-30 Minutes 06/05/00 09:30 - 06/08/00 16:00
06/05/00 16:00 5E13S_MA_Short: SELLSHORT 200 at 68 1/16 price..
06/06/00 12:00 5E13S_MA_Long: COVER SHORT 200 at 69 1/4 with a loss of -277.40..
06/06/00 12:00 5E13S_MA_Long: BUY 200 at 69 1/4..
06/06/00 15:30 5E13S_MA_Short: SELL 200 at 67 3/8 to exit long with a loss of $414.90..
06/06/00 15:30 5E13S_MA_Short: SELLSHORT 200 at 67 3/8 price..
06/07/00 16:00 5E13S_MA_Long: COVER SHORT 200 at 64 1/16 with a gain of 622.60..
06/07/00 16:00 5E13S_MA_Long: BUY 200 at 64 1/16..
06/08/00 15:00 5E13S_MA_Short: SELL 200 at 66 5/8 to exit long with a gain of $472.60..
06/08/00 15:00 5E13S_MA_Short: SELLSHORT 200 at 66 5/8 price..
06/08/00 16:30 END TEST: BUY STOP 200 to cover at 67 3/4 with a loss of -264.90..
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Backtesting by Investor/RT, ^ 1996-2000 Linn Software, Inc. <www.linnsoft.com> |
