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there is no one indicator that will work consistently in all types of
markets. Most profitable systems will use at least two indicators to
determine entry. IMHO One of the indicators should be the one that
determines whether the security is in a trending or consolidating
phase. In a consolidating phase oscillators such as Stochastics might
work well. In trending markets Moving average crossovers will keep you
in for the majority of the trend.
Personally I use a system of trend lines and I play the breakouts. I
trade currencies and occasionally the indexes depending on what is
happening. That is something that works for me. Unfortunately I cannot
code it and give you some sort of backtest results because of the AFL
works for drawing the trend lines. Using the new functions that in the
new betas of amibroker, I think I might be able to back test it to
come up with its long term performance.
Another thing to be considered in developing a system is the time you
want to spend in a trade. I hold a postion max for 5 days.
Hope this helps
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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