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I have played around a bit with MAs, etc. with similar results. What works
well to me are trendlines, andrews pitchfork, elliott, fib. But at some
point you say why not just trade discretionary. That's not quite true
though. You can evaluate an equity curve on a larger time frame than the
system. For instance I created daily hlc bars of system equity on a 15 min
system and follow that. All things considered, perhaps time is better spent
diversifying over time frames and mkts.
The power in this idea to me is in opening up the possibility of more
systems to choose from. If you have a system that is really hot and really
cold, and you can discern when it is in each mode then it becomes viable.
Rather than just searching for drawdown minimizing systems ...systems that
are in their third waves, you can have more ideas to choose from.
chris
----- Original Message -----
From: "JHP" <jan4123@xxxxxxxxxxxxx>
To: "Charles Johnson" <cmjohnsonxx@xxxxxxxxx>; "Chris Cheatham"
<nchrisc@xxxxxxxxxx>; "Omega List" <omega-list@xxxxxxxxxx>
Sent: Thursday, February 27, 2003 12:43 PM
Subject: Re: The Due Effect
> My experience years ago has been negative. With systems I used, it was
> stopping
> trading after a drawdown which caused the line cross MovAv and resuming it
> again
> when the line was crossed back. Both, exits and reentries were late and,
if
> the system
> was good, staying in would've been better.
> I'ven't heard of other methods of trading the equity line with positive
> results.
>
> Jan Philipp
>
> ----- Original Message -----
> From: "Charles Johnson" <cmjohnsonxx@xxxxxxxxx>
> To: "Chris Cheatham" <nchrisc@xxxxxxxxxx>; "Omega List"
> <omega-list@xxxxxxxxxx>
> Sent: Thursday, February 27, 2003 9:20 AM
> Subject: RE: The Due Effect
>
>
> > Have you (or has anyone) had success (or failure) with the
> > trade-the-equity-curve concept?
> >
> > Trading an equity curve with TradeStation is difficult but not
impossible.
> > From what I've read, Wealth Lab can do it.
> >
> > Ease or difficulty of implementation aside, the real issue is: does it
do
> > any good?
> >
> > -----Original Message-----
> > From: Chris Cheatham [mailto:nchrisc@xxxxxxxxxx]
> > Sent: Thursday, February 27, 2003 11:20 AM
> > To: Charles Johnson; Mark Brown; Omega List
> > Subject: Re: The Due Effect
> >
> >
> > look at tech analysis of equity curves. I would suggest that every
> > undiversified trading system has patterns akin to a market. They go
> thruough
> > phases just like mkts. A sys might have a 3rd wave type phase with
minimal
> > corrections for a while, then it gets whacked and you think it is
broken,
> > but really it is just going through a natural w4 correction. Managing
all
> of
> > this systematically is challenging though.
> >
> > Chris
> > ----- Original Message -----
> > From: "Charles Johnson" <cmjohnsonxx@xxxxxxxxx>
> > To: "Mark Brown" <markbrown@xxxxxxxxxxxxx>; "Omega List"
> > <omega-list@xxxxxxxxxx>
> > Sent: Thursday, February 27, 2003 8:55 AM
> > Subject: The Due Effect
> >
> >
> > > Mark Brown writes:
> > >
> > > i think to be successful with any system you have to have a confidence
> > > level with it. know what it does, so that you can begin to suspect
> > > when it will make a killing and when it may get whacked. it's call the
> > > due effect (trade mark ;) it's what i have lived by. i did not invent
> > > the due effect i was taught it by someone, and it can be quantified. i
> > > think systems are like employees, you have to understand what they do
> > > well and what they don't and then take it at that. you will never get
> > > a perfect employee but that doesn't mean that they can't get the job
> > > done.
> > >
> > > ----------------
> > >
> > > Mark, can you go into this more? Sounds like you are talking about
> > > overlaying onto mechanical systems a discretionary trade/do not trade
> > > decision.
> > >
> > > When you say "it can be quantified," do you mean it can be
> systematized --
> > > i.e., you take a system and you add more rules to it?
> > >
> >
> >
> >
>
>
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