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RJP:
What am I missing here?
Are these real trades with real money and real brokerage statements or
computer simulations.
If they're real money trades, ramp up (rapidly, it would seem) to 100-lots
and try to figure out what you can do with $400K a day.
If they're computer simulations, far more caution would be appropriate.
There are (seemingly) an endless array of systems with great simulations
that don't fly in real life. Usually, the slippage assumptions are totally
ridiculous. Small slippage assumptions and great execution assumptions will
make a simple momentum system seem like an enormous winner. Only problem
is, it doesn't work.
Allan
___________________________
At 09:20 AM 8/28/98 -0700, RJP wrote:
>I have 18 different S&P 500 day and short-term trading systems all of which
>are 100% mechanical and developed using proprietary software which is far
>more powerful than TS( TS is used only to display the data and signals in
>only the systems that use the close as entry points). My best and most
>active system generated 86 points yesterday and has been averaging about
>$4000 per day per contract with 77% winning trades, 6.7:1 risk reward and a
>$2345 drawdown and $139000 in profits in the last 35 days (results are a
>little above the 7300 test sample due to recent volatility)!! Average entry
>risk is dictated by the market and is no more than 3 points about 95% of the
>time. No fixed stops or profit objectives are used as those systems that use
>them are more likely to fail a correctly conducted testing procedure. All
>trades have a 100% probability of making 3 points in profit before the
>retracing 2 points...
>
>How much is a system like this worth to institutions or to public on a
>leases or purchase fee basis?
>
>How much would you be willing to pay for this?
>
>In search of the Holy Grail.....
>
>RJP
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