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At 10:22 PM -0800 3/22/02, David Folster wrote:
>When I tested various versions of OB entering on a stop, with a view to
>waiting until price was moving in the correct direction, I got great results
>on the cash index, but my results on futures were *very* poor. And that was
>not even taking into account any of the added real world costs. Maybe your
>results would differ from this.
>
>Just my $.02.
I am sure you are correct, as we have been saying:
>Remember that you cannot trade the $SPX and the results will be
>poorer on futures or SPY.
>
>I take this to show that waiting until the price is moving in
>the right direction before entry works better (not surprising).
The significance of these tests is "that they show that waiting until
the price is moving in the right direction before entry works better
(not surprising)".
The question of how to accomplish that trading futures is more
complicated.
One way we might try is to use $SPX as data3 and translate the system
to 5-minute (or 1-minute. etc.) bars, still keeping trades on the
hour. Then, we could check to see when the $SPX 5-minute bars cross
the stop levels and use that to trigger a market order on the futures.
Another way would be to filter the futures data some to remove noise
and look for the filtered value to cross the stop level to trigger a
market order.
In any case, it is not real simple to turn this "discovery" into a
trading system...
Bob Fulks
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