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Fred, IMO to have significant results any system must
be traded at least a year, the longer the better. One or two
months is by no means enough; the simulations over real
EOD data make this clear; the longer the time frame
the less fluctuations will be there and the shorter the more.
Uenal
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, July 08, 2003 2:06 AM
Subject: [amibroker] Re: I'm looking for a trading system to purchase!
> 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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