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Not in Chuck's situation. And in general for the average trader it's
NOT about the commission, it's about the slippage which can NOT be
avoided except with special types of orders which will then have an
impact on how many trades actually happen. I might agree that 1% is
too high for slippage but I doubt that 0.5% is and that would still
leave a system like this in the red. By all means trade it real time
yourself for a month or two and post your audited brokerage account
statement. That should speak volumes and if it's in the black it
very well might bring clients beating down your doors.
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> Hmm. I must admit I've overlooked that one requirement
> in Chuck's list. I'll have to redo my calculations.
> One of my brokers (Datek/Ameritrade) takes only
> $11 per order for any number of shares, so the
> cited 1% is indeed too much I would say.
> Uenal
>
>
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, July 08, 2003 1:47 AM
> Subject: [amibroker] Re: I'm looking for a trading system to
purchase!
>
>
> > 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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