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Neal,
You wrote,
<<<<<<<
Now let me understand this, you have discovered that day trading the S&P
does not work
>>
No, I did not mean to imply that. I just made the point that it is very very
difficult to develop daytrading systems that show positive results when one
uses very conservative slippage figures rather than just using TradeStation's
easy inputs for slippage. I think it is much more realistic to use the worse
price on the next 1-5 min ( you pick the figure you are comfortable with your
experience for conservative fill times) and then use that. You need to use a
dll with TradeStation to get that figure and when you do, most of your systems
will show much worse results than when you use TS's input for slippage of
$100-200 as I have seen people say that they use. I am not arguing that the
real world would be closer to my conservative figure than theirs. However, if
I test their slippage and get very positive results and the same system with
my slippage figures and get a loser, I sure as hell am not going to trade that
system.
Again, considering the above, I was just saying that it is difficult not
impossible to make S&P daytrading work. Much more difficult than most people
realize when they get rosey results from TS historical backtesting. In fact,
I think S&P daytrading is still the best game going. However, there are times
when I get tired sitting in front of the screen all day and Bob Fulks
suggestion of investing it into a Rydex type fund and use a simple system to
make 50% APR seems appealing. I suspect that may also be much more difficult
than it seems.
Russ
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