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I'll try to make a generic example of the phantom equity curve available to
the Omega list.
M
----- Original Message -----
From: Michael Stewart <mpst@xxxxxxxxxxxxx>
To: Marlowe Cassetti <marlowec@xxxxxxx>
Cc: Omega <omega-list@xxxxxxxxxx>
Sent: Wednesday, September 06, 2000 8:43 AM
Subject: Re: EL Help please
>
> 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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