|
PureBytes Links
Trading Reference Links
|
Charles,
your question is making more sense to me now. Simply, the stats will change
on different compressions if you use the same values for your variables. To
successfully use 5 min bars, for example, requires a completely different
system than 60 min bars. Yet, you can do it. I haven't really used anything
but 60 min bars for the most part. In recent monitoring of HSY on a breakout
above resistance I noticed that the 5 min bars where RSI =80 represented a
short term peak. I think many are using an RSIBear and an ATR exit in those
situations with the 5 min bar. But, that's the sword that gets pulled out
for this rally situation. Stocks will be doing different things other times.
So your win/loss % profitable will change drastically if you try to use the
same system during all phases of stock performance.
I hope that comes closer.
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 7:28 PM
Subject: Re: system performance over various time frames
> 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/
> >
>
>
|