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Bob,
This has been a very interesting thread for me. Your situation (and the other
fellow) with trading stocks has been identical with mine. I stopped trading
stocks about 6 months ago (for all the same reasons as you) to devote full
time, 12-14 hours per day, to write S&P systems (day and position). I have
developed techniques to give me a more accurate picture of what real trading
results would have been using TradeStation. I believe most people that
develop TS systems get historical results that are far more positive than
reality. i.e they use day bars instead of tick bars, use a number like
$100-200 for market and stop slippage and optimize. I have taken several
steps to insure that I don't get sucked into overly positive historical
results. i.e, I always use limit entries with tick data and require that the
price on the entry bar had at least a $.50 difference on each side ( 5 min
bar) of the limit order to ensure that the majority of the time that I would
at least had a chance of getting the trade. I use 2 exits. A limit for a
profit and a stop for a loss. I realize when you force yourself into this
type of trading that it is much more difficult to show the best historical
reslults; however, it is conservative because negative slippage would have
affected you only on the stop loss. On the stop loss I use an assumed stop
loss exit price to be the worse price on the next 5 minute bar. In addition,
I have developed systems that require no optimization and with as few filters
as possible. As you know, the more paramaters in a system the less chance of
replication. Again, this is not the optimal process to get great theoretical
statistics but it keeps me from being overly optimistic. My historical
testing results have been very interesting........... If one were to use the
typical market and stop orders and use TS the way that it sucks you in....then
some of my systems would have results as could as any as I have seen posted
here. However, when you use my approach discussed above, "some" of my better
systems are losers or mediocre at best. Please, for those reading this, I
have already heard that my system development approach is much to conservative
and I don't want to start a new thread about system development techniques nor
do I want to discuss that further.
I have rambled on here because I wanted to explain why I am considering
markets other that the S&P. I am a guy that has literally written thousands
of systems and tested each on every contract (tick data) since 1987, taken all
kinds of precautions to ensure that my results are not overly optimistic and
have found it extremely difficult to create systems that make it worth staring
at a screen all day daytrading the S&P. I know a lot of you guys/gals will
say that you are aware of great systems out there and I am sure there are.
However, I have purchased systems that were described as "great" systems, put
them through my "conservative" test and they didn't test as well as some of my
mediocre systems. I am "not" a great system developer but I have hacked away
enough to conclude that S&P daytrading is very very tough.
Bob, because of my experience with developing S&P systems and my previous
experience with trading stocks, I am very interested in your experience with
the Rydex funds. I would appreciate more comments from you about these. You
can respond privately to my e-mail. Thank you for taking the time to read
this.
Russ
<<<<<<<<<<<
Interesting similarity to my situation. I also traded stocks for years. I
spent hours in analysis and still got killed once in a while by management
manipulating the numbers, flaky analyst recommendations, unexpected
earnings surprises, etc. I concluded I needed at least 30 stocks to spread
the risk and following this many was a huge amount of work.
Then, about a year ago I met several money managers who were making 50%
returns per year trading the Rydex funds with a several-day holding period,
as a part-time job. Much less analysis and very simple trading systems. So
I developed some systems for this that seemed a lot better than what they
were using.
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