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In a message dated 2/16/01 8:40:43 AM Pacific Standard Time,
sptrader@xxxxxxxxxxxxx writes:
<< Lee: did you make any other changes to the system other than sell zone ?
(length still 7 buyzone still 3 applied to ADV issues etc ?)
Steve >>
Steve,
First, thanks for the link to Active Trader.
With respect to your question, I have to say "oooppps". I DID modify the buy
zone also - to 6%. This does NOT look to me to affect the results very much
- the system seems quite insensitive to these parameters. Chalk up the
changes to my own idiosyncracies. And using natural hour bars, I need 8 for
the length (to include the 4:00 to 4:15 bar). If you look at the charts for
awhile, you'll probably also conclude as I did that you MUST use $ADV data
from the same time of day yesterday as you use today to get the delta # of
advancing issues. Critical from my point of view. This probably wouldn't be
the case if you used something like TRIN as suggested by another poster. But
otherwise that's it. With respect to the 'rollover" from contract to
contract, I had to do that "manually" and just closed out the trade from the
expiring contract and reentered for the new contract using the settlement
prices of the Wednesday of the week before contract expiration as the
rollover data. But otherwise (I hope I haven't left out anything ELSE), it's
just the basic version of what Mark gave us.
Lee Scharpen
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