|
PureBytes Links
Trading Reference Links
|
No problem Robert.
What have your experiences been with EOD systems so far? Have you found any to
meet any of the 'robustness' criteria I outlined in my first e-mail?
regards,
another robert.
Robert Denner wrote:
> Count me in also. have lots of experience with EOD systems.
>
> Bob
>
> -----Original Message-----
> From: Robert Cavaleri [mailto:rcavaler@xxxxxxxxxxxxx]
> Sent: Sunday, November 05, 2000 9:51 AM
> To: Laura
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: ** Successful, Robust Systems Anyone ?? ***
>
> 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@xxxxxxxxxxxxx>
> > To: <omega-list@xxxxxxxxxx>
> > 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
> > >
> > >
> > >
|