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Thanks for responding to my query of the 6th.
I have now installed a later example of the Omega Parabolic system which
does allow for the optimization of the acceleration factor. Used on a 30 min
bar of the FTSE 100 cash index I get a return of 1563% since 5th December
1996. Not bad, eh!!!
The System generated 600 signals of which 279 were winners. A 46% success
rate. What makes it really interesting is examining each trade to determine
how some of the losers might have been avoided.<g>
Gary, your comments are noted. I am very aware of the dangers of
optimization. Most of the Omega canned systems can be optimized to produce a
result. I think the real value is teaching one how to use the signals in a
meaningful way.
Richard
-----Original Message-----
From: Gary Funck <gary@xxxxxxxxxxxx>
To: Richard Parsons <richard.p.parsons@xxxxxxxxxx>; jfb.nyc@xxxxxxxxxxxxxxxx
<jfb.nyc@xxxxxxxxxxxxxxxx>; murpran@xxxxxxxxxxxx <murpran@xxxxxxxxxxxx>;
omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: 06 February 1998 15:48
Subject: Re: Parabolic
>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?).
>
>
>--
>--
>| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
>
|