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I don't disagree with what you say, but I would give some serious
thought to trading some small round lots to see what kind of slippage
you are getting whether they be electronic or otherwise. Sclaper
systems like this can look great on paper and fail in real time
becuase of the very small margin for error they have. Keep in mind
it only takes a nickle on a $10 stock to make 0.5%. One of those at
each end and average profit of <= 1% is gone.
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> The same question you could ask everybody
> offering any (financial) products. Why not keep it secret.
> In my (and most other developers) case:
> I'm a (born) developer, not a (born) trader.
> I hope to become a better trader with the help of
> such tools which of course require some time
> to "grow", and to gain experience over time.
>
> And: there must also be some sort of specialization;
> a person cannot do everything. Some have the
> good ideas, some are the organizers, and some
> others have the necessary capital.
>
> My current sytems work superior if the following
> framework is given: Enter a position some minutes
> before market close and exit the position on the
> next day or days again some minutes before
> market close. That is: since it was tested on EOD
> data, the goal is to do it under the same conditions
> as in the backtesting, because the testing gives very
> good results. Other cases could maybe be better, but
> this is not backtested, or only hardly possible to test.
> The described method is not impossible to be
> applied in real world trading, especially if
> automatic (ie. mechanical) trading is used.
>
> Uenal
>
>
>
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, July 08, 2003 3:48 AM
> Subject: [amibroker] Re: I'm looking for a trading system to
purchase!
>
>
> > Fine ... By all means trade it for a year ... The only thing I'm
not
> > quite understanding is, if it's the golden goose, which of course
if
> > it can generate 700% with in your words minimal DD's ( although
the
> > last chart I saw suggested they were more like 20+% and of course
> > w/no allowances for slippage ) then why would you sell it for a
> > measly $1500. Even with a $100K after two years you'd have $5
mm ...
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > > 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@xxxx>
> > > 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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