Liam,
Brookelise suggested that I post the BNS system test for you again.
Here is the formulation I used to system test BNS. If there are mistakes in it let me know:
BNS System = Bill Sandusky's new system
Enter Long:
when(100-(100/(1+((((((H+L+C)/3)-mov(C,opt1,S))/(0.015*std(C,opt1)))+2500)/2500))),>,
100-(100/(1+(((oscp(opt2,opt3,E,%))+2500)/2500))))
Close Long:
when(100-(100/(1+((((((H+L+C)/3)-mov(C,opt1,S))/(0.015*std(C,opt1)))+2500)/2500))),<,
100-(100/(1+(((oscp(opt2,opt3,E,%))+2500)/2500))))
Optimization Variables:
opt1: Min = 24 Max = 112 Step: 8
opt2: Min = 4 Max = 20 Step: 4
opt3: Min = 30 Max = 140 Step: 10
According to provisory testing the system works well for low volatility stocks or indexes like INTC and DJI. For other more erratic charts there are too many signals and too early exits.
Comments and improvements are wellcome.
Wolfgang |
