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LScharpen@xxxxxxx:
Yes, that particular is perhaps not large enough to cause alarm --- but I do
have other examples where Futures performance is like 50% of what CASH is
showing . . .
I also have found that from December 2001 onward till present inputs of
7,12,12 have been optimal for my 11:00 OddBall setup (charting only futures
which I feel is more accurate). I have also found that from April 2001 till
9-11 tragedy, that 7,7,7 would have worked as well as 7,3,1 inputs.
Appears in an unstable market that higher percentage of Advancing issues is
needed to get more probability that bullish momentum will prevail long
enough for a profitable long trade to occur, and currently anything less
than 12, the numbers show you have a better risk being short ????
Johan
writes:
> After my last post, I thought of one more comment on your findings. You give
> the TNP for the 3/14 to 5/17 time period as 11925 for futures and 14960 for
> cash. I don't know how many trades you actually show in your data set but
> looking at my data I suspect it is on the order of 51 trades. Assuming for
> the moment that it was 51 trades, then I calculate the TNP, in units of s&p
> points/trade, as 0.9 for futures and 1.17 for cash. This is a relatively
> small difference which, in my view, is of the order of the differences we
> might see between any 2 traders following exactly the same signals but using
> different order entry platforms, different brokers, etc. In other words,
> in 'real life' such a difference is within the 'noise' level. Also, I'd be
> more inclined to see some significance in your results if the data set you
> had used was significantly larger than the one you did use.
>
> Regards,
>
> Lee Scharpen
>
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