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Kamil,
Thanks a lot. I am daytrading the Eurex futures markets through Refco
(London) and I am trading on a five minute base. Basically daytrading
futures. I want to have an edge combined with my marketopinion. If this
sytem says I have to be long I want to use it as a reminder not to have
or try a short position.
So I want to optimize this system for a 5 minute barchart. I want to
develop a system that can be used for any barchart. No matter if it is a
5 minute or daily chart. Just finding the optimized breakouts.
I think this system comes the closest to the perfect system because it
only looks at "price'. Of course you will miss parts of the move and in
ranges you will lose money. But with this way of trading you will catch
EVERY trend.
I also think it is very important that one decides to which timeframe you
want to trade. I may decide to trade 5 minute barcharts because I pay
only 2.50 euros roundtrip and I am sitting all day behind my screen. It
might work better for you when you trade it on a daily base.
I agree completely with your statement that optimizing should not go too
far. You mention curve fitting and you are 100% right.
Maybe I am telling a long story here but the point is that I got this
trading idea after I visited a broker in my hometown Amsterdam. He showed
me a fancy system. I looked at it and was impressed by the results. I
asked where he bought this. He did not want to tell but he told me it
cost him $50,000.= You can imagine that I wanted to figure out myself. I
was in the possibility to spend some days behind this sytem and was able
to find out how it worked.
So here we are; develop a system like this and you have the same
information as your broker. And probably save $50,000 by programming
yourself.
Thanks again,
Ed kiers
Kamil Soliman schreef:
> Hi all!
>
> I think you guys are looking for this:
>
> Input: LEntryL(20), SEntryL(20) LExitL(10), SExitL(10),
> {optimize them, if you must}
>
> If Current bar >1 and Close > Highest(High,LEntryL) Then Buy on Close
> If Current bar >1 and Close < Lowest(Low,SEntryL) Then Sell on Close
> If marketposition = 1 then ExitLong Lowest(Low, LExitL) stop
> If marketposition = -1 then ExitShort Highest(High, LExitL) stop
>
> By the way, try not to optimize this. This is supposed to get the BIG
> TREND, not the choppy whipsaws. If your optimalization report gives
> for ex. ENTRLL(4) then you've curve fitted. Don't believe me? Try
> your optimized system on any other market and you'll get my point.
> Just a suggestion.
>
> Hope this helps,
> Kamil
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