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----- Message d'origine -----
De : Gwenael Gautier <ggautier@xxxxxxxxxxx>
À : <omega-list@xxxxxxxxxx>
Envoyé : jeudi 9 septembre 1999 11:05
Objet : AW: So, where's the beef?
> Developing systems is interesting and is the "easy" part (not to say it is
> particular easy but nevertheless it is the most relaxing part). Trading these
> is an entirely different affair, that is what I mean by "I found none that
> works". In particular on the DAX I am quite curious to see how it works. If
> stops are used, forget the results or include 10 points slippage each way at
> least for a 10 lot size, that is 20 per trade/ per lot.... Stops are not
> possible on the Eurex, and generally prices move so fast, you have no time to
> type in the order, even hit the enter key, let alone call a broker to do so.
>
These systems have been used on DAX futures and the experimental slippage was less than ONE point,including commission.
We did not trade more than 6 contracts ( at this time 1 point = 100DM, now 25 Euros ²).
Several systems are used on the same market to avoid an increase of slippage.
² An Euro is a kind of US Dollar ( for the moment).
Of course, you need a broker that does his job.
FYI, stop orders exist on the DTB Dax futures.
> Many people develop systems, how many trade successfully, and how many of those
> tell about their "systems"? even if they do, they stress the details and the
> setups much more than they do the signals. the others go and sell their
> "systems" without trading them. WHY???
>> Gwenn
>
I do not sell trading systems, but probably will do something in this sense too soon (or a variant).
I usually give them for free and ask a % commission on the profit.
And never one single system ( 4 or 6 )
You may notice that I do not write "if any".
The explanation is one line above + huge backtesting on unseen data ( usually 50- 100,000 bars)
Sincerely,
-Pierre Orphelin
web: http://www.sirtrade.com
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