Super
--- In
equismetastock@xxxxxxxxxxxxxxx, Ticiano Rêgo <ticianorego@xxx> wrote:
>
> Super,
>
>
> What amazed me was the fact that with the same strategy but with different
> kind of securities (with volume filter) the result changes between these two
> different forms of order execution.
>
> Win ratio remains almost the same but the measure G that Ralph Vince
> describes in his book changes. Actually I found many systems with high win
> ratio but with lower G when one compare one system against the other (i.e
> the finishing capital is greater but the win ratio is lower).
>
> Kind regards,
>
> Ticiano
>
>
>
>
> 2009/4/29 superfragalist <
no_reply@xxxxxxxxxxxxxxx>
>
> >
> >
> > Ticiano, your question is hard to answer because of the vague amount of
> > information in your post.
> >
> > First I don't rely on signals, indicators or chart patterns very much. I
> > use signals as a warning indicator, but I don't act on them. The trading
> > decision is based on my perception of the market, what's going to happen
> > over the next several days or weeks and what is happening with other similar
> > equities. If I get a signal, or the chart looks good, I'll buy if the other
> > variables look right to me. I have a group of market condition charts I look
> > at to help me understand what is going on, but again I don't rely solely on
> > them. I listen to cnbc during part of the day. I watch nightly business
> > shows after the close. I read the Wall Street Journal everyday, and use a
> > dozen other sources of info that factor into my buy decision.
> >
> > If you are day trading, the time of the day will impact what a system does.
> > Some day traders only trade in the last half hour, some trade mid day and
> > other like the open after the first five minutes. One indicator I got from
> > John Clayburg uses the first five minutes of trading data with the next
> > hours worth of trades to predict the direction of the price for the day as a
> > whole. It's 75% or so accurate.
> >
> > Based on the little info in your post, sure it's possible to have better
> > results in the last half hour. Sometimes computer trading kicks in and
> > sometimes it doesn't. Generally, you can see the volume swings when computer
> > trading kicks in. It is possible to make money from that if you are grinding
> > out day trades. You can also see volume swings and price adjusting when
> > lunch time is over in NYC. Since I buy for a longer time horizon, I know
> > which times of the day are likely get my orders filled at cheaper prices. I
> > also know the specialist is closing out there book late in the day so I'm
> > likely to get fills I wouldn't get earlier on thinly traded ETFs or closed
> > end funds. The price difference isn't huge but I always look for the best
> > price. Sometimes that strategy works and sometimes it doesn't. I've been
> > left partially filled at the end of the day, and the price move the next day
> > wiped out any price advantage from the day before.
> >
> > Volume is generally a good filter so it often improves results, but not all
> > of the time.
> >
> > Have fun!
> >
> > Super
> >