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Hi,
I finally came up with a promising system that is based on the solid
premise. It is predicting FTSE futures by using
Dow as input. Only problem is that it predicts only 1 day in advance, and it
is heavily dependant on the intra-day
volatility.
I tried optimising on 3 months window, and than applying the best set of
parameters on the following 1 month.
But, results vary violently.
Does anybody has a good idea for dynamic intra-day trailing stops that can
be derived from historic data?
Regards
Dejan
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