Simulation parameters:
- Exclude all systems which require optimization (and thus data dependent);
- Both long and short, and all positions will be closed on the last bar.
- Margin interest rate: 5%, money market interest rate rate: 3%.
- Margin requirements: long 100%, short 150%.
- Initial equity: 10000.
- Commission: $1 per transaction for both entry and exit.
- Use realistic market prices based on market open for buy/sell/sell short/buy to cover.
1. Dow Jones Industrial Average, from 1928-10-01 to 2008-12-05. EOD.
Performance chart:
Top systems:
- pp::CCI (modified)
equity over time:
Stops:
Summary:
- pp::Pivot Rotation
equity over time:
Stops:
Summary:
- Equis - Trend Analysis - Expert System
equity over time:
Stops:
System details:
Summary:
- pp::Bollinger Bands (modified)
equity over time:
Stops:
Summary:
2. S&P 500 Index, from 1950-01-03 to 2008-12-05. EOD.
Performance chart: 
Refer to other test results on top 4 systems.
3. Nasdaq Composite Index, from 1971-02-05 to 2008-12-05. EOD.
Performance chart: 
Top systems:
- pp::CCI (modified)
- PS Bull Power Bear Power 1
system details and stop setting:
- PS percentage Crossover 3%
system details and stop setting:
- pp::Pivot Rotation
4. SKF, from 2007-02-01 to 2008-12-05
Performance chart: 
Top systems:
- PS Cycle progression: this is an extremely simple system!
summary:
equity over time:
system details:
5. SDS, from 2007-07-13 to 2008-12-05
Performance chart:
Refer to other test results for more details.
6. UltraETF: SSO+SDS+SKF+UYG, from 2007 to 2008-12-05
Performance chart:
Refer to other test results for more details.
7. QQQQ 5-min bars from 2006-11-13 to 2008-11-10 (728 days)
Performance chart: One can see that, the huge profit is eroded by equally huge commissions.
summary of pp::CCI(modified) [left] and pp::Pivot Rotation [right].
Change it to 15-min bar:
Summary:
(pp:CCI(modified)) 
(pp::Pivot Rotation) 
(pp::Bollinger Bands(modified))
Change it to 60-min bar:
summary:
pp::CCI(modified) 
pp::Pivot Rotation 
pp::Bollinger Bands
