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----- Message d'origine -----
De : hans esser <he96@xxxxxxxxxxxxxx>
À : <omega-list@xxxxxxxxxx>
Envoyé : mercredi 22 septembre 1999 15:46
Objet : Re: Neurofuzzy, ex-Trailing stops are invalid
>
> Dear Sirs,
>
> I hope you dont mind me interfering the battle between the 2 frogs with a
> simple question....
Iîîîîîîîîîîîîîîîîrk...
> Do you talk about INTRADAY data or EOD (or both) - obviously its very easy
> to get a lot of RECENT bars when you would look at 1 or 5 or so min bars.
>
I was talking intraday data, 30 min bars on CAC DAX and FTSE futures.
> However going to EOD, i.e. daily charts would require 200 years of data
> <g>......so cant be that...... so you probably use 5min bars (or so), which would
> be some 2.5 years of S&P.
>
When I worked on EOD data, I was using various markets CC contracts ( comodities)with the same system.
It can work too, but it is more difficult than with intraday data, and not so rewarding.
The system developed at this time was correct on 40-45 commodities and failed on 5 if I remember.
> Brings me back to my original question:
>
> How valid is a test on a e.g. DAILY S&P chart since inception, i.e. back to
> 1982 in THESE days - most systems I have seen make more (or loose more)
> in last 2-3 years than the entire period before. Is a volatility adjustement, i.e.
> trade MORE ctks in old days when swings and ranges were lots smaller the
> cure ? or just a workaround (tm OMGA) ?
No workaround in this case.
Systems of course performs better in terms of net profit these last years.
I have not tested the intraday system on sp daily (my CC daily SP contract ends in 1994).
The problem is not here in any case.
When learning the move, we define them as percent change from a swing point, so it's independan,t of
the price level.
>
> Would it, for those reasons of changing markets, it be more recommendable
> to use INTRADAY data as you can have more bars of more recent periods
> than of EOD stuff (yes, I dont believe in any information of DJII chart from
> 1920)
>
For that reason , yes , but almost because intraday systems are far more better than EOD.
Working EOD means less trades and less information available, and one day delay for decision.
Only for that, I gave up with EOD systems
> rgds hans
> no web site
> nothing to sell
> might even peek at that sirtrade.com one day
German people with valid CB are also accepted here.
>
Rgds
-Pierre Orphelin
web: http://www.sirtrade.com
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