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Guy,
On Tue, 7 Nov 2000 11:15:38 -0800, you wrote:
>Our signals are not subjective, we are. :) Just kidding! We trade a
>purely mechanical system for our Intermediate Term Signals and for our short
>term signals.
Did I suppose your signals to be subjective? This was not my
intention. Just _the combination_ of your STS and your ITS seemed a
little bit "subjective" to me ...
>This Intermediate Term Signal (ITS) is used to trades our equity accounts,
>primarily options. We currently have January 2001 80 Calls which we will
>sell whenever we get an ITS sell signal.
Imo, options should be traded with "high frequency" signals, i.e.
STSs, to profit from their rather high volatility. Otherwise, the time
dilution effects may "hide" too much of the directional effects.
>We also use this ITS in combination with our short-term signal used to trade
>S&P futures. Here we used it to develope our trading rules. What I mean by
>this is that when we have a longer term buy signal in effect, we bias our
>short-term trading rules to make it a little easier to go long and more
>difficult to go short. Whenever selling against the trend, we try to make
>it a little harder and when trading in the direction of the trend, easier.
>Since we're contrarians, our signals are pretty good at identifying
>inflection points. Anyway. we have found this technique improves our
>short-term trading system by a substantial margin.
That sounds to me very much like the suggestions I made in my last
posting, concerning "rules" to combine ITSs and STSs in an objective
way into one system. - BTW: Do you "optimize" (i.e. out-of-sample
back-testing) the _combined_ system? I found this to be important to
get the best results.
>Right now, we are trading on the cautious side because of the election and
>other uncertainities and have decided to not trade against the "trend" (our
>ITS direction).
So you make a kind of "subjective use" of your ITSs? - Couldn`t this
undermine your TA-based approach, because it would be necessary to
include this "subjective use" into your "system optimization"
procedure to stay on solid "TA ground"?
> Our ITS signal is currently running 100% correct for the
>last 2 years (we changed some weights in the past year) while our short-term
>signal runs 75% correct (for the past 15 years).
I wonder, how do you measure "xxx or yyy% correct". - Can you give
some hints?
mfg rudolf stricker
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