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Group,
On July 16th, I posted a simple indicator that
might be the basis for developing a robust approach to the Dow Jones Futures
market. Mostly, the post was criticized for not adequately backtesting the
approach and sharing OOS results (going back to whenever).
I posted the chart in an effort to stimulate some
research synergy. Thanks to all who have contacted me privately. The
discussions behind-the-curtain have been very fruitful.
Certainly, all the trades subsequent to July 16th
were OOS (BFD). Since that date, the "system/approach/idea" has posted
eleven straight winners and grossed 1124 positive points. Please keep in
mind: this is "open-coded" and in it's rawest form.
A few research partners and I have modified
(slightly) the rules. The most robust symmetrical triggers seem to be 88
and 12. We have added a qualifier that prohibits us from taking signals
when the ROC (defined as: C-Ref(C,-13)) hits extremes above 200-something and
-200-something.
The original chart and today's new chart are
attached for comparison purposes. For trades put on since the beginning of
July, this hypothetical massage of the numbers is 17-0. All I can say is
that I like the average win to average loss ratio.
A note to DT: I did extensive OOS and as
I suggested in earlier posts, results improve by waiting an additional
period. You might find it interesting: a delay of 2, 3, or 4 periods
increased the returns (as opposed to initiating trades the period after the
signal). Yuki, one of the brighter bulbs burning on the Pacific Rim,
recognized that immediately. DT, I admire your work on early entry (to
reduce slippage) and agree that it gives you an edge when practicing
trend-following and break-out systems, but as I have stated: many
sensitive, momentum oscillators, trigger trades in anticipation of a move.
Waiting to put a trade "on", after a signal triggers, takes discipline.
Most traders have been conditioned to believe that "sooner is better".
This is not always the case with some "quick" indicators...especially if the
rules take advantage of low trigger thresholds.
Many times, researchers have trouble thinking
outside the box. Nothing inhibits system development like a closed mind (or
practicing what's read in a book and believing that you must conduct or
structure your research in a defined way).
To paraphrase Joe Namath: "I can't wait until
tomorrow, because I get luckier everyday". Luck = an open mind and hard
work. Improvements and bright ideas are always welcome.
Take care,
Steve
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