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Glenn,
If you still need help with this, I will volunteer.
Please E-mail me and you might include some data to test also.
Neal
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> From: Glenn Schultz <glens@xxxxxxxxxxxxx>
> To: Omega List <omega-list@xxxxxxxxxx>
> Subject: EOD day bond trading systems -- Share with person that will
help debug
> Date: Saturday, February 21, 1998 3:39 PM
>
> I am working a EOD bond trading system, that although it somewhat simple
> seems to be quite profitable at this point, My problem is with the MRO
> function and its use in a Begin statement. I will be glad to send the
> system to anyone that would like to work with me to debug it. I have
been
> trying for about two weeks to get it right and obviously and I am
missing
> some EL understanding / programming experience that would solve the
problem.
>
> Problem 1
> Basically, I have redefined a reversal bar and I am using MRO to count
the
> number of bars since last occurrence. Sometimes the system enters when
> there is no set up with the reversal bar. (oops).
>
> Problem 2
> Protective stop logic could be probably be improved to keep the winning
> trades in the market longer --
> Ideas on moving stops would be great.
>
> I have out sample tested the system on two 5 years periods and the
average
> trade is between 700 to 800
> draw down is modest. Percent profitable ranges from 59% to 60%. I
stumbled
> on the set up by accident when looking for something else.
>
> I think Removal of bad entries and improvement of stops would greatly
> increase the profitability of the system.
>
> Interested parties can email me privately
>
> Good Trading
> Glenn
>
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