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In a message dated 11/3/01 10:53:49 PM Pacific Standard Time, ian@xxxxxxxxxxx
writes:
<< Can anyone tell me what I'm doing wrong? This system is generating
massive losses. See http://www.iasmith.com/oddball.gif , IE 6 shows it
shrunk - losing detail, Netscape 4 shows it full size. This page shows
graph with strategy settings, strategy performance and El code >>
Hi Ian,
Looking at your chart, one thing stands out for me. Notice that your "Buy"
points on the chart show 100 quantity as your position for those sugnals. On
the other hand, it looks like the "Sell" signals just close out the "Long"
and quantity goes " flat" (position size 0). That says to me that for
whatever reason your code is only taking "long" positions and not doing a
'stop and reverse' on a sell signal. I use TS 2000 so I don't know what the
buy and sell statements you have in your code are 'suppposed' to do in TS6
code. You might want to take a look at the 'trades' section of the strategy
report to see if you are actually showing any actual trades on the short side.
Even if your system is only taking 'buys', as my take on what you've
presented indicates, just looking at the chart it sure doesn't seem to me
that you should be seeing 'massive' losses for the time period shown.
Regards,
Lee Scharpen
PS I haven't looked at Oddball applied to trading SPY. When you get your
problem resolved, I'd be interested in hearing how well it does on that
trading vehicle.
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