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Zsuzsa.
I have developed such a system that trades the psudo equity curve. You
first have to write your system with a simulation of your trading rules.
This involves computing the phantom trades and the subsequent phantom equity
curve (PEC). Once the PEC turns positive (I use a exponential moving
average of the PEC) I generate an OK to trade flag which enables the trading
rules. My research indicates this works on most markets for my breakout
system. I don't claim that this technique works for all systems.
Part of the complication is the need to exactly model the psudo system
especially the stop-loss logic. Double check the PEC with the actual equity
curve when the OK to trade flag is forced to be always TRUE. It takes a lot
of double checking and crafty programming to get the two curves to agree.
Some tricks is to track two PECs; one for long trades and one for shorts.
FYI- I got this idea from a Joe Krutsinger TradeStation seminar in Denver a
few years ago. Joe suggested that "Trading the equity curve was a
profitable area to investigate." I just got my latest issue of "Active
Trader Magazine" which has an article by Joe on guess what? Equity curve
trading!
Marlowe
----- Original Message -----
From: William Brower <1000mileman@xxxxxxxxxxxxxx>
To: Zsuzsa <zsuzsa@xxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Tuesday, September 05, 2000 8:12 AM
Subject: Re: EL Help please
> This type of programming requires tracking actual trades and theoretical
> trades. You need to write a piece of code that theoretically trades. If
> the theoretical trade meet your condition you take the next actual
> trade. This is not always a simple task.
>
> At 11:52 PM 9/4/00 -0400, you wrote:
> >I am trying to create a system that takes into account previous profits
> >and loses.
> >
> >In other words I would take a position if the previous trade was
> >profitable by $X or X points.
> >In TS2K there is a reserved word ProfitPosition, but I can't figure out
> >how to use it.
> >Any hints or help would be appreciated.
> >
> >Zsuzsa
>
> Bill Brower
> Email: 1000mileman@xxxxxxxxxxxxxx
> Web Site: insideedge.net
>
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