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I built a breakout systems in TS2000 that incorporates trading a "phantom"
equity curve. To do this I had to code up all the trading rules but
inserted a flag OKtoTrade(FALSE). I then computed an ongoing phantom equity
(PE) curve if I had taken all the trades. I had to be quite careful to do a
high fidelity simulation that included commissions, slippage and stop
losses. When the moving average of the PE moves up then OKtoTrade switches
to TRUE. When PE moves lower then OKtoTrade moves back to FALSE.
A couple of observations:
If a system does well in trending times but suffers in sideway markets, PE
appears to help. It cuts down on the number of trades, but the system
statistics (% win, PF, DD, etc.) are improved. For other futures markets
that don't perform well, PE cannot make a poor system perform better (silk
purse/the sow's ear truism).
----- Original Message -----
From: Ian MacAuslan <imacauslan@xxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, May 11, 2000 1:39 PM
Subject: EasyLanguage Question
> I'm loading "ProfitFactor" into a variable, so I can keep track of how
> it changes with each subsequent trade that is generated.
>
> My thinking is, I'd like to use it as an additional setup -- of the form
>
> If {Buy Setup Conditions} AND PF >= 2.0 then
> Buy at Market;
>
> My problem is, once PF falls below 2, it won't generate any more trades
> -- the system shuts off. It seems to me the answer would be to have it
> always on in "phantom mode" generating phantm trades for the purposes of
> calculating PF.
>
> Does any EasyLanguage guru out there have an idea how I might do this?
> Unfortunately, there isn't a "BuyPhantom" function.
>
> Thankyou!
>
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