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> Herbert (Pete) Holt asked:
>
> > > I've been working on a daily S&P reversal system. The system needs
> > > filters to screen out incorrect signals. I've used ADX to eliminate
> > > signals in strongly trending markets with some success. I need a
> filter
> > > for moderately trending markets where I now get successive trades that
> are
> > > stopped out. For example, a day when the market trends upward all day
> > > > by about 30 points, but has no sudden spikes. Any suggestions as to
> > > what I might use as a filter would be very appreciated.
>
> to which Hans Esser replied:
>
> > If you use INTRADAY data why not just LIMIT the numbers of trades per
> > day - or LIMIT the numbers of losers per day.
>
>
> I trade a simple intraday breakout system, which can go long or short, and
> one day about 3 months ago the market banged up and down hitting the entry
> point and stop three times in less than an hour. Luckily I wasn't trading
> that day, but I wondered if it would be beneficial to hold off re-entering
> for a given amount of time after a losing trade.
>
> I soon found that the best solution was not to re-enter at all in the same
> direction during the same day, ie only one trade each way per day.
yes, e.g if the DAMN SYSTEM was wrong 2 (or 3 or whatever) times today it
might be better to quittt.....
MIGHT link that filter to LONG or SHORT - i.e. give it specific direction,
as if you had long winner, short looser, long winner, short looser and
thats TWO LOOSERS FOR THE DAY - it does NOT make sense to abort the
next LONG signal......
> Backtesting on the previous 7 years' data showed that this modification
> would have produced a very significant improvement in the bottom line, and
> also reduced drawdowns considerably.
>
> It still amazes me that I hadn't thought to try this earlier, and until
> Hans mentioned it, I don't recall seeing it suggested anywhere else.
I think I will copyright it for some million $$$$....how about TD_ZeBrA ?
> And yes, I was going to share the above with you, but just hadn't got round to
> it.
sure..... :-)))
rgds hans
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