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The profit margins are fairly small on a per trade basis i.e. 4% and
there is no slippage figured in which COULD be problematic.
--- In amibroker@xxxxxxxxxxxxxxx, "ckinsey2003" <ckinsey2003@xxxx>
wrote:
>
> New to Trading & AB, would appreciate any constructive comments on
why
> this simple mechanical system may or may not work. Be kind <G>.
Screen
> shots at www.pvtnetworks.net/jkinsey/JKWeb/MechSys.html
>
> The Primary BUY/SELL indicator is a Stochastic/RSI copied from the
AFL
> library, smoothed with an AMA. Simply BUY on a trough, SELL on a
peak.
> The Secondary BUY/SELL filter is the S&P and/or VIX, allowing
Primary
> BUY's if Bullish & SELL's if Bearish. The secondary(s) is also AMA
> smoothed. PostionScore = 100 - RSI(21);
>
> Explores are done each evening on EOD data of the whole S&P for
> SELL's, then BUYs. Orders placed for next morning Open.
>
> Up to 3 positions at a time, 30% Equity per trade. 10% Stop
Profit, 4%
> Stop Loss.
>
> Statistics Report about 80% CAR over past 3 years Backtest of S&P.
> About 50/50 Winners/Losers with around a 2:1 margin.
>
> For Settings, Statistics and some screen shots see the following
Link.
> www.pvtnetworks.net/jkinsey/JKWeb/MechSys.html
>
> Looking foreword to some good feedback, Jack Kinsey
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