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Herman,
An annual system % return 100%-120% is reasonable for many QQQ
systems from Jan2000 till now.
[Suppose always buy, sell, short, cover at +1Open, 0.5% commission
and disabled stops]
I would be surprised indeed to see a double return.
Above 200%-250% we may find some other popular stocks, but not QQQ,
AFAIK.
I come to believe there are some "functional" limitations for QQQ
curve to exceed the annual 150%.
This conclusion is after MANY tests for various trading systems,
optimised or not.
This is a reason I prefer CSCO or BEAS for example, their curves are
more "profitable" and more flexible.
Of course I [almost] always speak for medium speed systems [not more
than 6 trades per year]
It is more than 8 months I did not trade a single QQQ share, I would
be glad to come back to my old favorite, but for a better than 180%
annual return.
This is my experience, I hope it hepls somehow...
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> Well Fred, the real values to use when estimating whether a trading
system
> is practical have never been answered on this list. You are a
trader, I am
> still mostly a tinkerer, so I respect your opinion. As a rule I
discard
> systems that do not survive my "acid test" of 0.5%. This allows my
to fumble
> placing the trade, allows for some over-optimization, slippage,
slow data,
> and even for some commission.
>
> There ought to be a formula based on parameters like volume,
volatility and
> price, to gives us a working estimate. Places that have lots of
trading
> histories could crunch that out in seconds. Would be interesting to
have a
> poll on this.
>
> Herman.
>
> -----Original Message-----
> From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> Sent: Monday, February 03, 2003 4:03 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?
>
>
> Herman,
>
> Let's use today as an example and assume you are going to trade
QQQ
> after you make a decision on where NDX closes ...
>
> At 4:00 PM QQQ was as at 24.50
>
> Between there and 4:15 QQQ got as high as 24.54 and as low as
24.48
> or 0.16% over and 0.08% under as EXTREMES.
>
> Thomas,
>
> I'm not quite ready to toss it on the scrap heap yet. I just
started
> playing with it.
>
>
>
>
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