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Laura,
Your input is most valuable and appreciated, thank you. Yes, I agree, it would
be very beneficial to start an exchange of ideas about EOD systems that have the
potential of being consistently profitable. I would imagine that there must be
quite a few others who would enjoy this.
Thanks too, for sharing your system! Unfortunately, I do not have the Mark Brown
adaptive ma that is required, I'd be very grateful if you wouldn't mind passing
that on. I will try the system out, and see how it works. Since I am a tinkerer,
if I end up modifying it and achieve some improvement, I will contact you and
share the modified results.
Kind regards,
Robert
Laura wrote:
> Hi Robert,
>
> nice to hear that there are still some EOD taders out there. I thought
> everyone would daytrade the S&P.
> Would be great if we could start a discussion or exchange ideas about an EOD
> stock system. I don't think there will be a discussion over the list but
> maybe we will find some people.
> Most of the people have seen everything and if it doesn't fit to the S&P
> it's not worth.
>
> I trade US and Germany stocks.
> ok I have a system which I use. Simple and without these high spophisticated
> indicators. But it works.
> You need a MarkBrown function (it is an adaptive MA function) if you don't
> have let me know and I send the ela code.
>
> Bye Laura
>
> Input: alen(20), cp(close);
> Vars: VolOsc(0);
> If Close > Open then
> VolOsc = Volume;
>
> If Close < Open then
> VolOsc = - Volume;
>
> If Close > adaptive(cp,alen) AND
> Average(VolOsc, 7) > 0 then begin
> Buy next bar at open;
> {ExitShort;}
> End;
>
> If Close cross below adaptive(cp, alen)
> {AND
> Average(VolOsc, 7) < 0} then begin
> exitlong next bar at open;
>
> End;
>
> ----- Original Message -----
> From: Robert Cavaleri <rcavaler@optonline.net>
> To: <omega-list@eskimo.com>
> Sent: Sunday, November 05, 2000 6:24 AM
> Subject: ** Successful, Robust Systems Anyone ?? ***
>
> >
> > Hi gang,
> >
> > I have an interesting question for discussion. I am really curious if
> > any of you have developed an end-of-day stock trading system in TS that
> > is robust, and more importantly, 'successful'. Let me try and define
> > what I am thinking when I say 'successful':
> >
> > - It's profitability ratio over a variety of different equities is
> > consistently greater than 65% (i.e. 65% of the time, you are in the
> > green)
> > - It performs well in both trending markets, *and* range-bound markets.
> > (perhaps using adaptive properties based market conditions of a given
> > stock)
> > - It does not require constant re-tuning or optimization to achieve
> > satisfactory results (this would just be curve backfiting)
> >
> > I have been doing a lot of systems testing over the past year, but have
> > yet to achieve a certain level of robustness that I describe above..
> > Perhaps this is an unrealistic goal, perhaps not. I am wondering to what
> > extent others may have achieved some of the above milestones. If any of
> > you have created or come across such a system, one that exhibits the
> > properties above, and has been consistently making money in both up
> > and down markets. If so, would you be interested in sharing some of it's
> > ideas, or perhaps even the system itself with the rest of us to examine
> > and discuss?
> >
> > Regards,
> >
> > robert
> >
> >
> >
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