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Marlowe
sounds good - any chance you could expand on the ezl mechanics of computing
phantom trades?
----- Original Message -----
From: "Marlowe Cassetti" <marlowec@xxxxxxx>
To: "William Brower" <1000mileman@xxxxxxxxxxxxxx>; "Zsuzsa"
<zsuzsa@xxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Wednesday, September 06, 2000 4:03 AM
Subject: Re: EL Help please
> 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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