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Igor,
you are scaring me... both we your crap shooting and your % returns :-)
reason why your systems work well on index data is
mostly likely because:
- index data is collected with 1min intervals...
- such data has extremely low percentage of bad ticks, most of the time zero...
- some systems that utilize bar high or bar low to generate trades off of
on bad ticks can actually generate highly "profitable" trades...
- index data is less noisy compared to futures data...
thus if data is already clean, then you don't have to clean it, unless you are clean
freak.
typically % of bad ticks in whole data set should be < 1/2 of 1 percent.
ie if you got 2000 bars loaded in the chat for trading you should
have no more than 10 bars of bad ticks...else, turn the filter on...
on second though, let me check your system to make sure
everything is good, so why don't you e-mail it to me and i'll do
a thorough check for you.
bilo.
ps. guys, i hope he understands my pointers and well as the humor...or vv.
----- Original Message -----
From: "Igor" <igor:devisscher@xxxxxxxxxx>
To: "'Bilo Selhi'" <biloselhi@xxxxxxxxxxx>; "'Volker Knapp'" <vk@xxxxxxxxxxxx>; "'Beyond OddBall'" <beyond_oddball@xxxxxxxxx>;
<omega-list@xxxxxxxxxx>
Sent: Tuesday, March 18, 2003 6:10 PM
Subject: RE: A Professional comments on Pierre's software - - -
> Hy Guys,
> Sorry to say but al this crap about clean data is bullshit.
> If data has to be so perfectly clean, explain to me why I have 2 systems
> running, one on the eurostoxx50 and one on the nasdaq comp 500. The
> signals witch are generated by metastock on the eurostoxx50 I use to
> trade DAX futures and the signals that are generated on the nasdaq comp
> 500 I use to trade nasdaq mini futures. Both systems are on intraday
> based data and both systems did extremely good over the past year. The
> eurostoxx50/dax system gave me 1.800% (thousand eight hundred) and de
> nasdaqcomp500/nasdaq100mini gave me 1.530% (thousand five hundred and
> thirty) these percentages are based on the initial margin to be placed.
> So if I use data of a certain index to trade a future on different index
> why does data has to be so clean???
> Greetings
> Some people who are trying to build a system look to so many thing and
> see so many problems....they see so many trees that thy don't see the
> forest anymore....
> >
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