DVO system test results

I have created a oscillator based on DVO indicator from David Vardi's website. Here are som of the details of the system.

Its trading a universe of the system which include major asset classes.

Main feature of this systems are -

1. it has a 5 day exit rule
2. only trades long if MAFilter2 = ROC(Foreign("SPY","C"),200) > 0 ;
3. only trades short if MAFilter4 = ROC(Foreign("SPY","C"),200) < 0 ; Keeping the system as simple as possible here is the basic criterio Buy = DVO < 20 AND MAFilter2 Sell = DVO > 70 ;
Short = DVO > 80 AND MAFilter4;// C 50;// AND AggregateM < .2 ;//AND Totalpercent == 1 ;
//AND MA( Close , 70 ) < C;
Cover = DVO < 50 ;//

as you can see i have tried lot of different way to filter the entry criterio but KISS rule overrides everything.

results - CAR =67%, system draw down = 20 % and 70% winner trades. I will puts some equity graphs.

here are some of the trades in last 1 year

Ticker Trade Date Price Ex. date Ex. Price % chg Profit % Profit Shares Position value Cum. Profit # bars Profit/bar MAE MFE Scale In/Out
vnq Long (n-bar) 1/4/2010 43.41 1/11/2010 43.69 0.65% 645.01 0.65% 2303.62 100000 645.01 6 107.5 -1.39% 1.95% 0/0
gld Long 1/12/2010 110.49 1/14/2010 112.03 1.39% 1402.78 1.39% 910.897 100645.01 2047.79 3 467.59 -0.83% 2.32% 0/0
eem Long 1/15/2010 41.62 1/19/2010 42.47 2.04% 2084.11 2.04% 2451.89 102047.8 4131.9 2 1042.05 -0.29% 2.04% 0/0
eem Long 1/21/2010 40.2 1/26/2010 38.77 -3.56% -3704.19 -3.56% 2590.35 104131.9 427.71 4 -926.05 -3.56% 2.89% 0/0
eem Long 1/29/2010 37.98 2/2/2010 39.32 3.53% 3543.26 3.53% 2644.23 100427.71 3970.97 3 1181.09 -0.52% 3.53% 0/0
eem Long 2/4/2010 37.33 2/11/2010 38.63 3.48% 3620.74 3.48% 2785.19 103970.97 7591.71 6 603.46 -3.84% 3.48% 0/0
gld Long 2/22/2010 109.07 2/25/2010 108.31 -0.70% -749.7 -0.70% 986.446 107591.71 6842.01 4 -187.42 -2.17% 0.83% 0/0
gld Long (n-bar) 3/5/2010 110.81 3/12/2010 107.95 -2.58% -2757.59 -2.58% 964.191 106842.01 4084.43 6 -459.6 -3.03% 0.85% 0/0
eem Long 3/19/2010 40.87 3/23/2010 41.31 1.08% 1120.56 1.08% 2546.72 104084.42 5204.98 3 373.52 -1.26% 1.65% 0/0
eem Long 3/25/2010 40.58 4/1/2010 42.88 5.67% 5962.83 5.67% 2592.53 105204.98 11167.81 6 993.8 -0.36% 5.67% 0/0
eem Long 4/9/2010 43.44 4/14/2010 43.64 0.46% 511.82 0.46% 2559.11 111167.81 11679.63 4 127.96 -1.99% 6.58% 0/0
ief Long 4/14/2010 87.41 4/16/2010 88.09 0.78% 856.06 0.78% 1258.92 110041.8 12535.69 3 285.35 -0.19% 0.78% 0/0
eem Long 4/16/2010 42.13 4/20/2010 42.46 0.78% 876.25 0.78% 2655.32 111868.47 13411.95 3 292.08 -1.91% 2.03% 0/0
ief Long 4/23/2010 87.74 4/27/2010 88.62 1.00% 1137.48 1.00% 1292.59 113411.95 14549.43 3 379.16 -0.10% 1.00% 0/0
eem Long 4/27/2010 41.2 4/29/2010 42.23 2.50% 2837.24 2.50% 2754.6 113489.51 17386.67 3 945.75 -0.57% 2.79% 0/0
efa Long (n-bar) 6/21/2010 50.13 6/28/2010 48.04 -4.17% -4894.04 -4.17% 2341.65 117386.67 12492.63 6 -815.67 -4.81% 1.76% 0/0
efa Long 6/29/2010 46.39 7/7/2010 49.07 5.78% 6498.82 5.78% 2424.93 112492.62 18991.45 6 1083.14 -0.80% 5.78% 0/0
ief Long (n-bar) 7/7/2010 93.98 7/14/2010 93.66 -0.34% -392.86 -0.34% 1227.69 115378.29 18598.59 6 -65.48 -0.85% 0.40% 0/0
eem Long 7/16/2010 38.35 7/20/2010 39.77 3.70% 4391.4 3.70% 3092.53 118598.59 22989.98 3 1463.8 -0.18% 3.70% 0/0
ief Long (n-bar) 7/20/2010 94.54 7/27/2010 93.96 -0.61% -737.27 -0.61% 1271.16 120175.78 22252.71 6 -122.88 -0.63% 0.73% 0/0
efa Long 7/29/2010 51.58 8/2/2010 53.16 3.06% 3744.85 3.06% 2370.16 122252.7 25997.55 3 1248.28 -1.27% 3.06% 0/0
gld Long 8/4/2010 116.72 8/10/2010 117.73 0.87% 1090.28 0.87% 1079.49 125997.56 27087.84 5 218.06 -0.32% 1.46% 0/0
eem Long 8/11/2010 40.08 8/16/2010 40.74 1.65% 2092.76 1.65% 3170.85 127087.83 29180.6 4 523.19 -1.04% 1.65% 0/0
gsg Long 8/16/2010 28.37 8/18/2010 28.69 1.13% 1443.5 1.13% 4510.95 127975.67 30624.1 3 481.17 0.00% 2.01% 0/0
ief Long 8/18/2010 97.23 8/24/2010 98.25 1.05% 1370.32 1.05% 1343.45 130624.11 31994.43 5 274.06 -0.06% 1.05% 0/0
gld Short 8/24/2010 120.36 8/26/2010 120.96 0.50% -652.84 -0.50% 1088.07 130959.97 31341.59 3 -217.61 -0.85% 1.37% 0/0
eem Short 8/27/2010 40.18 8/30/2010 39.51 -1.67% 2190.12 1.67% 3268.83 131341.58 33531.7 2 1095.06 -0.02% 2.27% 0/0
ief Short 8/31/2010 98.3 9/2/2010 97.19 -1.13% 1507.84 1.13% 1358.41 133531.7 35039.54 3 502.61 -0.08% 1.13% 0/0
efa Short 9/2/2010 51.53 9/7/2010 51.28 -0.49% 652.45 0.49% 2609.79 134482.59 35691.98 3 217.48 -1.22% 0.90% 0/0
ief Short 9/7/2010 97.4 9/9/2010 96.36 -1.07% 1428.8 1.07% 1373.85 133812.93 37120.79 3 476.27 -0.03% 1.07% 0/0
gld Long 9/9/2010 121.56 9/14/2010 124.02 2.02% 2753.49 2.02% 1119.31 136062.93 39874.28 4 688.37 -0.15% 2.02% 0/0
ief Long 9/15/2010 96.69 9/20/2010 96.87 0.19% 260.39 0.19% 1446.63 139874.28 40134.68 4 65.1 -0.55% 0.45% 0/0
gsg Long 9/21/2010 28.89 9/24/2010 29.46 1.97% 2764.86 1.97% 4850.63 140134.68 42899.53 4 691.21 -0.62% 1.97% 0/0
SPY Long 9/30/2010 113.53 10/6/2010 115.42 1.66% 2378.93 1.66% 1258.69 142899.54 45278.47 5 475.79 -0.83% 1.92% 0/0
gld Long 10/7/2010 130.37 10/11/2010 132.29 1.47% 2139.56 1.47% 1114.36 145278.47 47418.03 3 713.19 -0.66% 1.76% 0/0
gsg Long (n-bar) 10/15/2010 30.89 10/22/2010 30.83 -0.19% -286.34 -0.19% 4772.35 147418.03 47131.69 6 -47.72 -2.40% 1.39% 0/0
eem Long 10/25/2010 46.17 10/27/2010 45.34 -1.80% -2644.99 -1.80% 3186.74 147131.69 44486.69 3 -881.66 -1.80% 0.77% 0/0
ief Long 11/1/2010 98.13 11/3/2010 98.78 0.66% 957.06 0.66% 1472.4 144486.69 45443.75 3 319.02 -0.07% 0.67% 0/0
ief Long 11/5/2010 99.16 11/11/2010 98.61 -0.55% -806.72 -0.55% 1466.76 145443.76 44637.04 5 -161.34 -1.35% 0.45% 0/0
eem Long 11/12/2010 46.05 11/19/2010 46.15 0.22% 314.09 0.22% 3140.87 144637.03 44951.12 6 52.35 -2.99% 1.55% 0/0
ief Long (n-bar) 11/24/2010 96.61 12/2/2010 95.89 -0.75% -1080.27 -0.75% 1500.37 144951.12 43870.86 6 -180.04 -0.77% 1.22% 0/0
ief Long 12/3/2010 95.9 12/9/2010 94.29 -1.68% -2415.35 -1.68% 1500.22 143870.85 41455.51 5 -483.07 -2.58% 0.67% 0/0
ief Long 12/10/2010 93.49 12/16/2010 92.97 -0.56% -786.79 -0.56% 1513.05 141455.5 40668.72 5 -157.36 -1.49% 0.64% 0/0
ief Open Long 12/28/2010 92.5 12/28/2010 92.5 0.00% 0 0.00% 1520.74 140668.72 40668.72 2 0 0.00% 0.94% 0/0