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I accidentally sent this to bamafamily instead of to the list.
Since, as Pierre pointed out, he is using $0 slip and commission in
these system reports, I can just about guarantee you you'd lose money
if you tried to trade these things in realtime.
Gary
> > ok..I'm kinda new to the list and am looking for the answer to
> > this also...
> > Evidently all trades are entered and exited the same day
>
> On the same bar, since these all appear to be 5min systems.
>
> > I assume because of the bouncing tick problem, or where the actual
> > fill would take place versus where TS system puts it is the
> > problem??
>
> Basically. Anytime you could hit multiple stops within 1 bar, and/or
> you enter & exit in the same bar (unless you enter at the open and
> exit at the close), you're asking for trouble. Entry stops & exit
> stops in the same bar are an example. You can't know which stop would
> have been hit first in real trading, but TS tends to use the most
> optimistic guess. Any system that averages 1 bar per win/loss is
> almost certainly exploiting this TS weakness, and almost certainly
> couldn't be duplicated in realtime trading.
>
> I notice one of their systems (the "DLM-MA") system doesn't have this
> problem -- winners and losers alike average about 30-40 bars. So that
> one may be a legitimate system. However, notice that the average
> trade is only $210. That's not much in the S&P. Wonder what he used
> for the slippage cost? Unless it was $250-500 or so, you could find
> yourself losing money with the system because you couldn't get filled
> as well as his ideal system report.
>
> Gary
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