Short-Term Bollinger Band System from "Trade Like A Hedge Fund"

Author: ezbentley

Creation Date: 2/24/2009 2:43 AM

Wealth Lab » Trading Strategies » Short-Term Bollinger Band System from "Trade Like A Hedge Fund"

ezbentley

2/24/2009 2:43 AM

Has anyone tried to reproduce the Short-Term Bollinger Band System in James Altucher's book "Trade Like A Hedge Fund?" It's on page 74 Table 5.2. I have written code according to the rules, which are quite simple, but my results are dramatically different from Table 5.2. While he has 265 trades, my testing produced about 2000 trades. Also the winning percentage is only more than 50% instead of 76%. Of course the NASDAQ 100 components I used are new and different from what he used, but I think the results are too different to be explained by the slightly different data set.

I am just wondering if anyone happened to have tried to verified his systems.

Eugene

2/24/2009 3:03 AM

Is it one of the systems from this group: ChartScript Family - Trade Like a Hedge Fund?

Anyway without posting your code we're left with guess-work only.

Eugene

2/26/2009 5:47 AM

I think I know the reason behind those 265 trades. In the beginning of the book there is a note:

QUOTE:
Note: All example trades are simulated with $100,000 unless otherwise specified.

A look at Figures 5.3 and 5.4 proves it. There's no mention of starting capital. So let's assume he was using a 100% equity sizing in a $100,000 portfolio. Allocating $100,000 per position will easily let you get 265 trades or a similar figure.

The catch is there are 18,000+ trades not included due to insufficient funds. The win rate is actually around 50%, not even close to 76%.

QUOTE:
Short-Term Bollinger Band System: Nasdaq 100
Stocks, January 1, 1998 to June 1, 2003

CODE:
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Size:

Color:

I think I know the reason behind those 265 trades. In the beginning of the book there is a note:
[QUOTE]Note: All example trades are simulated with $100,000 unless otherwise specified.[/QUOTE]

The catch is there are 18,000+ trades not included due to insufficient funds. The win rate is actually around 50%, not even close to 76%.

[QUOTE]Short-Term Bollinger Band System: Nasdaq 100
Stocks, January 1, 1998 to June 1, 2003[/QUOTE]

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class BollingerBandSystem1 : WealthScript
	{
		/* 	Buy when %b is less than –20 using Bollinger Bands (10-day moving average with 1.5 standard deviations )
			and hold at least until the close of that day even if profit target is hit.
			Sell when either a 15 percent profit target is hit or four days go by, whichever comes first. */
		
		protected override void Execute()
		{
			if( Bars.IsIntraday ) return;
				
			DataSeries bbU = BBandUpper.Series( Close,10,1.5 );
			DataSeries bbL = BBandLower.Series( Close,10,1.5 );
			DataSeries pctBB = 100 * (( Close - bbU ) / ( bbU - bbL ));

ChartPane pctBBpane = CreatePane( 30, true, true ); HideVolume();
			PlotSeries( PricePane, bbU, Color.Blue, LineStyle.Solid, 1 );
			PlotSeries( PricePane, bbL, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( pctBBpane, pctBB, Color.Black, LineStyle.Solid, 1 );
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( bar+1 - p.EntryBar >= 4 )
						SellAtMarket( bar+1, p, "4 days" );
					else
						if( p.MFEAsOfBarPercent(bar) >= 15 )
					{
						if( bar+1 - p.EntryBar > 1 )
							SellAtLimit( bar+1, p, p.EntryPrice*1.15, "15%" );
					}
				}
				else
				{
					if( pctBB[bar] < -20 )
						BuyAtMarket( bar+1 );
				}
			}
		}
	}
}[/CODE]

ezbentley

3/2/2009 4:36 AM

Hi Eugene,

Thanks for verifying the result. I think you are right. He is not very clear on position sizing. If I use 100% of capital per trade, then I get 313 trades with winning percentage of 64%, much closer to his numbers. My previous testing was assuming 10% of capital per trade because one of his previous chapters uses 10% per trade.