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-----Original Message-----
From: Mark Johnson <janitor@xxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Monday, November 16, 1998 3:29 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
>
>
Mark: I had the same experience-- this begs the question then "why?" Is it
the application of cost (I believe that $100 is reasonable for purposes of
back testing) or is cocoa simply not mechanically tradeable? Again "why"
and can we draw any useful conclusions from cocoa applicable to other
possible non-tradeables?
Regards, Jack.
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