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Here I coded one for all to look at:
Setup: works on SP EOD ( daily data ) only.
$2000 MM stops + 10% trailer
This should put this matter to rest.
Actually if system like that is bought or sold it is
GOOD for the rest of US - more liquidity, more
money on the table...
The "public" function of any vendor is one and one only -
provide more liquidity by selling trading systems,
the "private" function is to make money by selling it...
Val.
Gary Fritz wrote:
> I wrote:
> > I've emailed him a request to verify that his trades are real.
> > Since this seems to have raised quite a bit of interest here and
> > on the Code list, I'll report what I find out. I expect to come
> > back in a few days and tell you he ignored me, or that he refused
> > to prove his claims.
>
> Much to my surprise, I received a prompt and courteous reply.
> Moreover he provided a system report with 40 days' results. I am
> favorably surprised.
>
> However, out of those 40 trades,
> 14 are "enter at open, exit at close" -- should be totally legit.
> 9 are MM stops, taking a $2000 loss -- probably totally legit.
> 17 are TS built-in "% Trailing stops" -- danger, lookout!
>
> (He also allots only $20 for slip/commission, which is optimistic at
> best, but that's probably a smaller issue given his profit per trade.)
>
> To be honest, I've never looked deeply into exactly what happens with
> TS trailing stops, especially in "zero-bar" trades. I assume TS
> looks at the maximum price reached during the bar, and uses its
> "bouncing tick" algorithm to determine if the trailing stop was hit
> after that high price, but that's a guess. So I can't comment on
> exactly how realistic or bogus those trailing-stop trades are. Mark,
> Dennis, somebody want to enlighten us?
>
> However, even if you completely discard ALL profits from ALL those
> trailing-stop trades, this still appears to be a damn respectable
> system. In two months of trading, from 2/22/99 through 4/19/99, the
> MOO-MOC trades made just over $60k, averaging $4324 per trade. The 9
> MM stops lost $18k, $2020/trade, and the 17 trailing-stop trades made
> $15k, $896/trade.
>
> If you assume you place these trades with a competent full-service
> broker, one that could at least salvage a breakeven trade out of
> those 17 trailing-stop trades, you'd still end up with a net profit
> of $42325 (less slippage) on those 40 trades. That's not bad at all.
> If your broker could implement a reasonable trailing stop for you,
> you'd do even better.
>
> However, something is still a bit fishy here. I tried to compare the
> MOO-MOC trades on his report with my S&P data for the same days, and
> it did not jive. On several days I checked, where his system showed
> a win, I showed the S&P going against his trade sufficient to trigger
> his MM stop. I questioned him on this. He responded with an apology
> and said the data was compiled by his assistant, and that he would
> address my questions as soon as he could find out "what the hell she
> was doing." :-)
>
> Meanwhile, due to "such popular demand" he says he is temporarily
> lowering the price from $350 to $200. Which tends to strengthen my
> suspicions about "why would he sell it so cheaply??"
>
> Will let the list know when I hear back from him.
> Gary
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