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Re: Parabolic



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On Feb 6, 12:42pm, Richard Parsons wrote:
> Subject: Re: Parabolic
> Can the Parabolic system in SC be rewritten to enable optimization of this
> trading system? How would one experiment with different acceleration
> factors?

If it has inputs, it can be optimized with respect to the inputs.

One thing that I noticed with the Parabolic system as programmed
by Omega is that it always has an open order in the market to be
triggered on the next bar, if hit.  This means that on tick data
for example, you'll can get many alerts in a short period of time,
many more than you could send in to your broker, and this string
of stop-and-reverses could probably only be executed on the floor.

Since the Parabolic (as programmed by Omega) when traded on very
short term (eg, tick, or 1 min.) data, continually changes its open
order as the market moves (essentially trailing a tight stop-reverse)
-- backtesting may give unrealistic results because there is no
way that you could call your broker and cancel-replace a trailing
stop once every minute/tick.

This leaves you with two choices: (1) trade the system on a larger
timeframe, let's say hourly data (and even then, your broker may
nat like it much if you cancel/replace once every hour), or (2)
call your broker when the stop-reverse is hit.  Choice (1) will
filter many whipsaws out, but may also increase your drawdowns,
and will get you into a market my times when it has already made
its move.  Choice (2) means that you're managing the stops from
off the floor, so slippage is likely to be very high.

Probably, to trade this system, or others like it, on an intraday
basis, you'll neead to set it up to both trade a larger timeframe,
and you'll need to monitor its stops from off the floor, probably
settling for putting in each order with just a basic stop-loss (and
reverse?).


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| Gary Funck,  Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135