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>From all my research, CC is an impressively consistant loser. *Not one* of
my long-interm term trend systems makes money on CC. When I look at a long
term CC chart it seems that the ratio of noise to the magnitude of long term
moves is very high. This is a totally qualitative observation. Compare this
with JY which is one of the best on all my systems. Compared to the
magnitude of long term moves, the JY chart looks less noisy.
It's been my experience that in general, the same markets make money with
all the long term trend systems I test. Like currencies, especially JY,DM.
ED is very good as well. The short to medium end of the yield curve has done
well. FV, TY. US is the worst of all the IRates I look at. OJ, CT, KC show
up as good in all the systems. CL is ok, but strangely, HO always performs
worse than CL. Again, the HO chart looks noisier than CL. The mediocre
markets are the meats, LC, LH, but PB is bad. The grains, C,W,SM,BO are
unremarkably profitable, but not S. S never tests out well on my systems. GC
is mediocre, but still better than SI. Interestingly, PA (palladium) is very
good, but PL (platinum) is the opposite (bad). Trouble with PA lately is it
is *very* thin (got $200 slippage last trade!, lately, only about 300
contracts traded per day) and the margin is $6500 per contract! Probably
best to stay away, but it's been such a good long term trender. My system
made a ton of money in PA from around Mar/Apr 97 to the beginning of 98 when
it went from around 86.00 to over $350.00 on my most recent back adjusted
charts. Finally, CC takes the dubious honor as stinking the worst.
I have loosely said before that in my research, it doesn't matter so much
which long term trend direction discriminator you use, be it channel
breakout, MA crossover, Bollinger band breakout. The same markets make money
in all systems I mentioned above, the same lose money in all systems. This
is simply because all the systems are making money with the same trends. I'm
talking about long term. Short term, many don't do well. I'm not making any
absolute claims here. I confess my methods are not rocket science. The
components of my systems that determine whether I should be long/short/flat
are simple. Not true with the market selection, position sizing components
of my systems. They are fairly sophisticated (to me at least). Market
selection and position sizing strategy has impacted my results much more
than direction discriminators.
Scott Hoffman
Issaquah, WA
-----Original Message-----
From: Mark Johnson <janitor@xxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Monday, November 16, 1998 1:30 PM
Subject: trading COCOA using mechanical systems
>This weekend I fooled around with backtesting
>software, looking once again at several
>futures trading systems that use the exact
>same algorithm and the exact same parameter
>values to trade all markets. I found that
>(among these systems) there weren't ANY
>parameter settings among ANY of the systems,
>that made money trading Cocoa when commissions
>plus slippage is $100 per round turn. Not
>a one, none, nada. The empty set.
>
>So I thought I'd ask: does ANYONE have a
>mechanical trading system that makes money
>in historical backtests on Cocoa futures?
>Anyone?
>
>Thank you,
> Mark Johnson
>
>
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