|
PureBytes Links
Trading Reference Links
|
Hey, I appreciate your effort to give me a meaningful
answer. The question I am trying to answer is this:
If I trade on 10, 30, 60min or whatever charts, will
my stats change? I know that my transaction costs
will go down and that is gigantic plus, but will I be
able to count on consistency in my results?
I do trade 110% of full time (I am the system, if you
know what I mean), and I don't even own a working
version of TradeStation, so I am dependent on someone
who's done this kind of number crunching before to
give me some insight.
I have a hunch that, taking transaction costs out of
the mix, the results ought to be somewhat consistent,
but a hunch isn't enough. I'd like to know what my
odds for consistency are.
Again, thanks for the reply and again, I'll post this
to the list as well.
Regards,
CW
--- Jim Bronke <jvbronke@xxxxxxxx> wrote:
> CW
>
> Now you're talking some real work. I couldn't get
> better than 53% profitable
> with the 1 min bars for both short and long trades
> going back to Nov 6. And,
> the total amount of profit wasn't greater than if I
> had just placed a short
> position at the beginning of the test period and
> covered at the end. I
> thought to go to the chart that I had created for
> that effort and I had
> deleted the setting for the long positions and left
> in the only short
> settings that worked. I thought to try to send you
> the Performance Report,
> but, it doesn't appear that it can be copied to
> anything, either, if I did
> have it.
>
> You could just try a comparison between
> optimizations of different
> compressions. I'm afraid that since this is a hobby
> I don't have to do
> formal compilations of data. Maybe some Mutual Fund
> types have done a more
> serious study(not).
>
>
> Jim Bronke
> Phoenix, AZ
>
>
>
> ----- Original Message -----
> From: "Charles Wright" <redeemed10@xxxxxxxxx>
> To: "Jim Bronke" <jvbronke@xxxxxxxx>
> Cc: <omega-list@xxxxxxxxxx>
> Sent: Saturday, April 07, 2001 3:18 PM
> Subject: Re: system performance over various time
> frames
>
>
> > Jim:
> >
> > I appreciate your reply. However, I must rephrase
> my
> > question... I'm after the stats -- win/loss,
> > %profitable, etc., to determine if there is
> > significant variation statistically from one time
> > frame to another.
> >
> > Thanks again,
> >
> > cw
> > --- Jim Bronke <jvbronke@xxxxxxxx> wrote:
> > > sure,
> > >
> > > I think the key is to look at the long term
> trends
> > > and see which
> > > compressions
> > > get you in to a position that captures the big
> > > moves. Personally I usually
> > > prefer hourly bars.
> > > I recently did a study on QCOM using an RSI
> based
> > > system and 1 minute bars.
> > > You miss the
> > > trend and that's where the money is! The other
> > > issue is "how often do you
> > > want to trade?".
> > > I like using ATR exits that give me an updated
> stop
> > > order every hour. I know
> > > I'm always covered
> > > as a way out of the trade so if I'm sidetracked
> at
> > > work I'm covered. Yet, I
> > > make much more efficient exits
> > > as opposed to EOD.
> > >
> > > Jim Bronke
> > >
> > >
> > > ----- Original Message -----
> > > From: "Charles Wright" <redeemed10@xxxxxxxxx>
> > > To: <omega-list@xxxxxxxxxx>
> > > Sent: Saturday, April 07, 2001 10:20 AM
> > > Subject: system performance over various time
> frames
> > >
> > >
> > > > Has anyone any research on the perfomance of a
> > > given
> > > > system when applied to various time frames?
> > > >
> > > > Thanks,
> > > >
> > > > ><<<>
> > > >
> > > >
> > >
> >
> >
> > __________________________________________________
> > Do You Yahoo!?
> > Get email at your own domain with Yahoo! Mail.
> > http://personal.mail.yahoo.com/
>
|