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BNS
BNS significa Bill's New System y la estrategia que se detalla es la establecida por Wolfgang y Chandler.
Se construye así:
BNS1:
(100-(100/(1+((((((H+L+C)/3)-Mov(C,34,S))/(0.015*Std(C,34)))+2500)/2500))))
BNS2:
(100-(100/(1+((( OscP(13,55,E,% ))+2500)/2500))))
BNS:
Fml( "BNS1" ) - Fml( "BNS2" )
BNS TRADING SYSTEM:
Enter long:
ref(fml("BNS"),-1)<0 and fml("BNS")>0
Exit long:
ref(fml("BNS"),-1)>0 and fml("BNS")<0
La prueba de la estategia con Banco Santander desde inicios 95 a fin 98 ha dado resultados excelentes, duplicando a la estrategia de mesdias moviles 6/60. Estos son sus resultados:
Total net profit 2396.81 Open position value -59.35
Percent gain/loss 239.68 Annual percent gain/loss 61.87
Initial investment 1000.00 Interest earned 0.00
Current position Long Date position entered 23/12/98
Buy/Hold profit 2457.05 Days in test 1414
Buy/Hold pct gain/loss 245.70 Annual B/H pct gain/loss 63.42
Total closed trades 20 Commissions paid 341.06
Avg profit per trade 122.81 Avg Win/Avg Loss ratio 5.84
Total long trades 20 Total short trades 0
Winning long trades 10 Winning short trades 0
Total winning trades 10 Total losing trades 10
Amount of winning trades 2963.53 Amount of losing trades -507.37
Average win 296.35 Average loss -50.74
Largest win 1466.31 Largest loss -157.83
Average length of win 55.70 Average length of loss 12.30
Longest winning trade 125 Longest losing trade 42
Most consecutive wins 3 Most consecutive losses 2
Total bars out 316 Average length out 15.05
Longest out period 82
System close drawdown -12.59 Profit/Loss index 82.53
System open drawdown -28.69 Reward/Risk index 98.82
Max open trade drawdown -316.34 Buy/Hold index -4.87
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