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Hi, Jim
surely not zigzags, volatility based system, no problem to share
with, send me an email if you are interested in.
the point here is not the formula, instead the exposure to intraday
volatility. in back testing, you only expose yourself to the current
intraday volatility ( I use EOD, but, still load data during the
trading day at different time ). whenever you place order from time
to time, the time point of each trade could be very
different,therefore, inherently, you have different set of data
series for your actual trading activities,a stream of volatilities,
not the close price which awaits you, in your history. that means you
didn't have chance to backtest what you need.unless you strictly
follow the system signal, you are straying away from what you see
from the system, then, very likely totally different picture of the
profitability, mostly becomes a loss.
this situation could get worse, coz large portion of your profit
potential comes from portfolio management, if you missed one signal,
your investment position are different in the next than what the
system expects. then, what would be the profit in this scenario?
now, positionscore, critical again, but, how does the change of this
one happen during the day? In the morning you might have this set of
ticks, but, in the noon, another one, near to closure, different
again. lost, totally lost......
if you want to follow the system,then, you have to take all the
winners and losers, don't miss any of them, otherwise, you are
following something unknown.
so, I am wondering you guys are still so confident on what you are
doing about swing tading relying on a system which I perceive having
this type of problem.
hope you could understand my poor English, and welcome any
comment,hopefully could help me understand better about system.
GAO
--- In amibroker@xxxxxxxxxxxxxxx, "jim_trades_stocks" <jnk1997@xxx>
wrote:
>
> gaomfen,
>
> I don't see how your signals are disappearing unless you are using
a
> zigzag indicator (referencing future quotes) or Omnitrader software
> (LOL, but I am serious).
>
> On a swing trade system (4-20 day holds), per AB settings one
usually
> buys at open the next day after buy signal. I have, 75% of the time
> been able to get better price by waiting until 10-10:30 New York
> Time, thereby actually improving the system performance.
>
> If you like, post your system and the AFL pro's here will tell you
> why your signals disappear.
>
> Jim
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gaomfen" <gaomfen@> wrote:
> >
> > Huhhhhh, I do have a system delivering 158% CAGR, the problem
seems
> > the prices the system used for backtesting hardly exist in the
> market.
> >
> > you get a series of signals now, but, disappear afterwards
> probably,
> > the trading activities are dynamic during the timeframe.
> >
> > unless you can manage your transaction exactly tie out to the
> closing
> > position of the timeframe, otherwise, how you would feel
confident
> > the accumulation of your decisions still provides you the profit
> the
> > backtest triggers? totally different picture......
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "jim_trades_stocks" <jnk1997@>
> > wrote:
> > >
> > > Hello,
> > >
> > > I just put another one of my swing trading systems into action
> two
> > > months ago.
> > > Returns 100% per year per backtesting.
> > > 60-80% (backtested) winners (depending on time frame)
> > > 3:1 profit/loss
> > >
> > > So far 15 trades completed, 13 winners, 2 losers.
> > >
> > > Looking real good.
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Tim" <raven4ns@> wrote:
> > > >
> > > > Hi Ara,
> > > > It would be interesting to hear of anyone who is using a
> system
> > > for
> > > > swing trading and happy with the performance. I am testing a
> > system
> > > for
> > > > swing trading but haven't got any meaningful data to report.
If
> > and
> > > > when I have made some positive progress I will be happy to
let
> > you
> > > know.
> > > >
> > > > Tim
> > > >
> > >
> >
>
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