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Re: System Development



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In a message dated 1/30/00 10:43:12 AM Pacific Standard Time, 
rascal2@xxxxxxxxx writes:

> I've been working on a daily S&P reversal system. 

I assume a "reversal system" would sell a rising market, and you are using 
"daily" bars?

> 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.

Have you tried using price as a filter? "Moderate" pullbacks would not get 
you in. I.e., 

if ABC reversal setup then sell at priceX - Ypoints stop;

Or try a moving average of price, or a percentage of range, or whatever as a 
price filter so that the market has to move to or through your price filter 
to get you in.

All that said, from my experience, reversal systems are difficult, and 
daytrading the S&P off of daily bars is also tough because of drawdowns and 
lack of detail.

Bill Wynne
http://smarttrades.com/