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That I'd like to see ... A CAR of 750% when traded on a one bar basis
provides and average of 0.85% per trade i.e. 1.0085 ^ 252 = 8.5.
Once one allows for 1% commissions and/or slippage on both sides of
each trade one is left with an average of -1.15% / trade. Did I miss
something ?
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> Hello Chuck,
> the system products of xxSystems.com do fullfill
> these requirements. As written in email you and all
> the others asked for info about these products will
> receive evaluation keys to fully test the products.
> We will start sending out the info Tuesday noon+.
>
> Best regards,
> Uenal Mutlu (UM)
> www.xxsystems.com
>
>
>
> ----- Original Message -----
> From: Chuck Rademacher
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, July 07, 2003 11:35 PM
> Subject: [amibroker] I'm looking for a trading system to purchase!
>
>
> I hope nobody minds if I use this means to see if anyone has a
system for shorting stocks that they would be interested in selling.
>
> Please reply privately to: chuck@xxxx (not by return email)
>
> I need a system that will successfully short stocks when the
trend of the market is up. Specifically, something that will make a
modest profit (3 to 10% per annum), shorting stocks when the short
term EMA of the RUT is greater than a longer term EMA of the RUT.
The short-term period should be something like 3 to 4 days and the
long-term period would be something like 11 or 12 days.
>
> The following things need to be considered:
>
> 1. U.S. stocks only, NYSE, AMEX or NASDAQ.
> 2. The closing price must be at least $6 on the day before entry.
> 3. The 15-day average volume must be at least 300,000 shares.
> 4. The system must work on EOD data.
> 5. The system must show a nominal return every year for at least
six years.
> 6. It may be a bit much to ask, but I would hope that the system
didn't have a losing six-month period.
> 7. The parameters must be the same for all stocks, although they
can adjust to market volatility over time.
> 8. All positions must be liquidated when the market trend
reverses (short-term EMA crosses below the long-term EMA of the RUT).
> 9. Stops of any kind are allowed.
> 10. Commissions of 1% need to be deducted from each side.
> 11. Hopefully, the system would signal at least ten and
preferably 30 trades at each cross of the EMA.
>
> I realise that it will be difficult for someone to show me their
system without divulging how it works until we discuss the terms.
We can start the process if you are able to show me an equity curve
or trade listing or something to demonstrate your system's abilities.
>
> I've thought long and hard as to whether or not my request via
this group might offend anyone and I could not think of a reason why
it should. If I have crossed the line, I apologise in advance.
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