[TradeStation] Serendipity 1.1 Bond System for TradeStation 8 and 2000i (Open Code)

[itrader]

Serendipity 1.1 Bond System

by Charles LeBeau and David Elden

Background: Ser-en-dip-i-ty n. : the faculty of finding valuable or agreeable things not sought for. The "Serendipity" Bond System was designed to be a short-term system that would trade successfully on the short side in order to complement and enhance our existing long only systems. However, as the Serendipity name implies, we were extremely pleased to find that this short side system has excellent historical results trading from the long side as well. In this report we present a historically profitable short term strategy that may be implemented to systematically trade the Treasury Bonds futures market from both the long and short side.

Strengths of the system: This system trades much more frequently than our other Bond systems, trading 140 times over the last 10 years. The average holding period was 4 days on winning trades and 3 days on losing trades. Trading one contract from 1/4/88 to 4/30/99 would have resulted in a gain of $67,031.25 with a maximum drawdown of $4,594. The system is reasonably accurate with 68 percent winning trades (95 out of 1140 trades were winners), and winning trades were slightly larger than losing trades by a factor of 1.18. The average winning trade was $1,177, a respectable number for such a short-term system. There were 13 consecutive winners and the maximum consecutive losers in the test period was 3. The largest winning trade was $4,806 (a short trade) which accounted for only about 7% of the net profit, confirming that the net profits gained were not skewed significantly by a single big winner. A modest but respectable profit factor of 2.5 summarizes the general efficiency of the system: it has made a gross profit of $111,843 versus a gross loss of $44,812 over the test period. Although this system is not as efficient as our long only systems, when we consider that this system was designed to short bonds frequently during a period of strongly rising historical price data we are more than pleased with these historical numbers.

Weaknesses of the system: The Serendipity System is designed to exit at a quick profit target and does not let profits run. This is because the system was designed to have a high winning percentage on the short side trades. In a strong trending market you may wish that it held trades longer. Remember that this system was intended to be used in conjunction with other bond systems that do hold winning trades much longer.

Summary:When we first offered our long only bond systems we were constantly questioned about trading the short side of the bonds. Because of the strong upward bias in the bond data the short side performance of the longer term systems was mediocre. To avoid losing money in a sustained downtrend these long only systems are designed to switch off and cease trading. However, there is potential profit on the short side and we wanted to capture whatever we could. We have spent more than six months of research trying to develop a solid system that would make money on the short side in spite of the strong historical data bias. We believe the Serendipity Bond System is capable of making consistent profits in either direction with a high percentage of winning trades. We think it is a very worthwhile addition to our bundle of well designed bond systems.

System Historical Results

My Screenshots:

Installation Notes, Extra Information and Download/Mirror Links

Installation Notes

No installation notes are provided about this release.

Extra Information

No extra information is provided about this release.

Download/Mirror Link

Cost: 1500 Wealth

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[Loose]

It looks to me that this system (ver 1.1) is part of

http://www.friendlytraders.com/forum....html#post3766

Tradestation Formulas. The only diff is an "open code" that can be easily retrieved.

I haven't heard that LeBeau is selling new versions.

[JoeDOM_Admin]

No, this is old science. Nothing new.
You can download the 198 or this one(198 is more convenient)
That is why we do not encourage members to upload indicators/systems by the bunch as this spoils the oportunity for other members to make nice looking posts for each systems/indicator.

[PipsBanker]

Hi All;
Just my two cents;
How would a member feel when he paid 1500 wealth for this only to realise later that it was just taken from a 'bunch' of 198 systems he can easily download elsewhere?

What I am going to say next may sound negative, so my apologies in advance.
Would a member share good or special stuff when he knows that those that can access are the wealthpoints rich who did it by posting re-hashed easy to obtained stuff? (this comment not targeted at itrader)
My concerns is that I have seen in other forums where some active members post a lot of craps continuously just to get senior status or wealth and then leech to other forums. I am afraid the abuse will happen here. The pattern is obvious.

Again, apologies for the bluntness. No offence intended.

[JoeDOM_Admin]

We try our best to find the balance.
We cannot stop accepting everything nor we cannot start accepting everything.

That is why we implement rules and test contributions in order to find quality in contributions and award those accordingly.

That is why I am right now putting the 198 Indicators contribution offline. I cannot raise the cost of this so called 198 indicators contribution because the poster will come at me and request me to award him the difference.
As you can see, our forum's rules is much like democracy. I cannot do things that are off the forum's rules just because I feel so. I need to do it in a away that will minimize the impact on the feelings of members.

Democracy is slow and sometimes "unfair" for some members, for others it is paradise.
If I were an absolutist, I will stop accepting indicators and systems and just allow the posting of softwares, but if I do that, members will compalin as well. So as you can see, this forum is mostly about complaints and a place to ventilate all types of feelings.

If you or any other member feel that a resource is mispriced and that it is waaay off the normal cost, you are free to reply with proof and url links, so I can investigate the issue and recost the resource. If nobody says anything, it stays there because I don't have time to go thru each one to tinker about how much cost it should be assigned.

[PipsBanker]

Hi Joe_Admin;
I am not requesting you to do anything different from what you are doing now. I am only voicing my opinion not complaining.
Don't get me wrong. Never did I say don't allow posting of indicators. That are so many good quality indicators that were posted and many more out there yet to be posted. But they are definitely not from the 198 list of old indicators.
I am not out to ventilate my feelings because I don't feel anything about this but rather out of concern because I saw in other places where members uses such posting strategy to abuse the forum system.
But you are the admin, if you don't see this see this as a potential problem, then maybe it is no big deal after all.

[JoeDOM_Admin]

Pipsbanker:

Do not worry, your points of view and opinions are welcome.
I never got you wrong.
You are right in the sense that allowing indicators/systems can pose a loophole for some members to abuse. For that, we "try" to investigate a little bit about each indicator or system posted before approving it in order to avoid this type of abuse. This takes time to do and is a cumbersome job.

[PipsBanker]

Hi JoeDOM_Admin;
Sorry Joe, I am not trying to have a 'last' say. Just some correction that's all.

- posting indicators / trading system is Good. Not a loop hole. There are many good
original indicators / systems to be posted or already posted ie Paintbar, Marketaxe,
Jurik etc. Very good stuff!

- loophole is when the indicators / system come from an already posted list of 198 old indicators/ system or scripts from trading forums. You will probably see an aggressive member repackage into 198 posts (most likely less than that and posted over a certain period) to earn wealth.

But I know you have good intentions. You want members to have every opportunity to post and earn wealth points. I agree it will be difficult to strike a balance.

[JoeDOM_Admin]

True:

Most of these indicators that are in the 2000 W$ range I already have them in my offline collection (haven't had time to post them, even less now that I no longer have assistance of Yosewe).

I permit members to repost them and I pay awards to them so they get encouraged to participate and bring life to the forum.
So in the process of helping people earn W$ by digging dirt, I have struck some gold nuggets that I did not have offline by the way (Paintbarfactory.com).

You are right about the 198 indicators loophole. I will open my eyes more for these types of repost and adjust the awards accordingly based on that list, but you need to give merit that such members doing these types of loophole reposts, as we call it, are spending their time and effort to write up their contribution posts as well...so indirectly they are helping me stuff the forum with content.