Delphi Universal II Trading System策略简介

Delphi Universal is a completely mechanical swing and day trading system which was released September 27, 2005. In May, 2007, Delphi II was introduced. The system was simplified, and walk-forward optimization (see the discussion below) was used to generate the out-of-sample performance results, as well as the current trading parameters.
Most systems are developed with one market and timeframe in mind, making over-curvefitting much more likely. Some systems are able to trade a number of markets within a market segment and/or a specific timeframe. What makes original Delphi unique is that with exactly the same rules, it successfully trades a wide variety of markets and timeframes, from intraday domestic and global index data to daily data of every sector of the domestic and global commodity markets to Forex. Few systems available to the public can make this claim.  
Delphi original is a robust trend-following system that employs a dynamic channel breakout entry technique. A proprietary filter reduces the likelihood of trades during congestion periods. Entries may occur on a price breakout or retracement from the main trend. In order to avoid over-curvefitting to one market, the system was developed using intraday data of the 5 main US indices and several non-US indices. End-of-day data was used to test a basket of 42 non-index commodities in every sector. Although Delphi does not net a profit in all markets, the fact that it is successful on a wide range attests to its robustness.
Delphi II is the result of applying a proprietary walk-forward optimization routine to original Delphi. The result is a simplified system with a hypothetical performance record that is virtually equivalent to a real-time record. At present, it is most recommended for swing trading EM (the emini Midcap) and day trading ER (the emini Russell), since these markets are the best trenders of the major indices, and they have good volatility and dollar-per-point value.  It is also recommended for the German DAX & Korean Kospi 200.
   All entries and exits are stops or limits. All exits are based upon volatility, as determined by ATR (average true range). There is one profit lock level, where the stop is moved up to protect a profit, and a profit objective limit. The objective is reached about 20% of the time, avoiding some of the give-back that trend-following systems inevitably experience. The system reverses about 50% of the time. Delphi trades an average of 7 trades/month per index and is in the market about 55-60% of the time.

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