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In our experience, $190 slip/commish is not only not real for the ND is not
even real for the S/P. We do our developing here with $250 s/c for the S/P
and $500 for the ND. What does that come to multiplied for plus 1000 trades
in three years?
BD
----- Original Message -----
From: "Robert Linders" <mugsnug@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>; "Mark Brown" <markbrown@xxxxxxxxxxxxx>
Sent: Wednesday, November 28, 2001 10:39 AM
Subject: Re: Will "trade" my great tradingsystem
> Dear Mark,
> We all know that the perfect system does not exist. and so we all should
be
> sceptical.
> I am not selling this system and hence don't need to make it better or
worse
> than it is.
> Maybe I state the obvious:
>
> The system switches quickly and that is the reason you might see a large
> number of consequtive loosing trades. The amount of money lost in that
> period however is limited.
>
> I know of all these statistics but take a look at going month-by month.
> Should I not be more interested in stability of a system over time or
should
> I apply a system that has one or 2 great months in a year but does pretty
> badly the rest of the year.
> Indeed some sort of "volatility" filter might work where you simply don't
> trade when the market is "going nowhere".
> I do that by trading less as the system draws down and trading more when
it
> moves up.
>
> You trade this by starting with 1 NQ, just since you might start of in a
bad
> month (of which there were very few). Just increase your position with
money
> made in the market.
>
> Going month to month or even week to week you just get good result and you
> can't argue that $180 commission is for real.
> If I would sell the system I would not put in the commission/slippage.
>
> ND $0 night: prof.factor 1.90 sharpe 3.81 K-ratio 4.23 RINA 417 <=
this
> would be "advertised"
> ND $180 night: prof.factor 1.67 sharpe 2.71 K-ratio 3.59 RINA 268
>
> Anyway the idea is not to brag on my system but to see if we can setup
some
> "sharing" issues.
> As you know not many systems get shared, but if you get something for
giving
> something maybe some of us can set up group where we are completely open
> about our results.
> It is simply too much work to just give it away to "the whole world".
> Also that way other people can apply technics and we could maybe improve
> each others systems (some have a mathmatical approach other are just more
> pragmatic).
>
> Thanks for the reply,
> Robert
>
> ===============================
> Robert Linders
> Orlando, FL
> email: mugsnug@xxxxxxxxx
> ===============================
> ----- Original Message -----
> From: "Mark Brown" <markbrown@xxxxxxxxxxxxx>
> To: "Robert Linders" <mugsnug@xxxxxxxxx>
> Cc: <omega-list@xxxxxxxxxx>
> Sent: Wednesday, November 28, 2001 12:04 PM
> Subject: Re: Will "trade" my great tradingsystem
>
>
> >
> > Hello Robert,
> >
> > ps you don't ever have a great system till the profit factor nears 2.0
> > or better ok? just so you know.
> >
> > RL> Profit Factor1.67
> >
> >
> > --
> >
> > Have a Great Day, Mark
> >
> > http://www.markbrown.com
> >
> >
>
>
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