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namanh_ca & akaloustian
Thanks for your responses,
Is there somewhere that I can find good intraday ideas or systems
that are ok but could be tweaked??? Looking for scalping or micro
swing type systems.
I will post a simple intraday system in a bit and let you guys pick
it apart as I am just beginning in this and don't know what I am
doing right or wrong.
Thanks
wdbaker8
--- In amibroker@xxxx, "akaloustian" <ara1@xxxx> wrote:
> The system seems interesting, but some EOD coding shows it is not
> very useful. While a real time version with sophisticated exit
> strategy would give more detailed info, this EOD, I beleive, gives
> adequate evaluation of the system. Eliminating trades when there
was
> a 0.5% gap in the opposite direction (down gap for long positions),
> improved the results slightly.
>
> I tested 2 years of data for SPX and the SP500, with similar
results:
>
>
> Sell@ No Negative Gaps Gaps OK
> #Trades AvgTrade #Trades AvgTrade
>
> SPX Close 91 $17.86 94 $14.99
> SPX High 91 $78.35 94 $76.87
>
> No commision is considered and each trade is $10,000.
> The two conditions were:
> 1. Sell at the close
> 2. Sell at the high of the day (to evaluate max potential).
>
> The results when selling at the close were very small.
>
> The results when selling at the high of the day at $76.87 for $10K
> position gives 0.76% return. A realistic return mignt be 1/3 to
1/2
> of the maximum possible producing 0.25% to 0.38% return.
>
> It would seem to me that there is no real statistical significance.
> Leading me to the conclusion that the money to be made is up to the
> individual trader more than the system used.
>
> Ara
>
> --- In amibroker@xxxx, "wdbaker8" <wdbaker8@xxxx> wrote:
> > Hi All,
> > Has anyone coded this system or something like it, it looks a
> little
> > complicated for me but will take a stab at it, just didn't want
to
> > duplicate efforts.
> >
> > http://www.tradingeducators.net/3.htm
> >
> > I saw this listed on the www.elitetraders.com website as a
possible
> > daytrade system for volatile stocks or futures, it was originally
> set
> > up for the S&P 500
> >
> > Thanks
> > wdbaker8
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