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Steve,
Faint ? no ... Toss it ? ... uh huh ...
^NDX is not tradable and QQQ acts more like the futures then the
cash, which I think you'll see if you put up QQQ as the tradable even
if you still want to base your decisions on ^NDX
It is at best very difficult to produce good systems to trade eMini's
or QQQ with restrictions like trading only at the open. If you are
interested in trading vehicles like this why put this restriction on
it ? and if you want to have a restriction to trade only at the open
or the close only then I would suggest looking into trading ProFunds,
Rydex or Potomacs long and short funds oriented at the Russell 2000
at the close. They all have beta 1 and/or beta 2 tradables that
correspond to SPX/NDX/RUT etc. but you'll sleep a lot better trading
something that is small cap oriented.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Steve@xxxx" <steve@xxxx> wrote:
> After several enjoyable months with Amibroker I have yet to find a
system which reliably produces good winning backtests. Does such a
system exist? I know it's possible to datamine a winning system over
a given period, but how about a 'general' winner?
>
> Here's my question: Can anyone reveal a system which is a winner on
the ^NDX over the period 1/Jan/1997 to 9/May/2003. All trades (long &
short) at the open with a 1 day delay (open+1), allow 0.5% commission
for slippage, initial equity $10,000 and no position size. All stops
disabled.
>
> Here's my best shot, basically a double MA of Chaikin Money Flow.
Not a bad return compared to Buy & Hold, but a drawdown that will
make Fred faint and the buy/sell arrows on the chart seem poorly
placed. Surely we can do better than this?
>
> Any takers?
>
> Steve
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