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I tried it out. Over the last one year, on YM the results does look very
good. However, it turns out only about 22 trades in last one year. Since the
idea is to buy/sell when both the Dow & NYSE tick moves in unison in the
same direction, it should not matter if we use a 5 minute or 1 minute
timeframe. Hence, I ran the same strategy on 1 min. YM over last one year.
The results are still good, with a PF over 2, but nowhere as good as the 22
trades on a 5 minute chart. BTW, these are all with a BreakEven & StopLoss
that I added.
Overall, nice entries. Need good exits. SetCloseOnExit is completely
useless. TS frequently fails to exit EOD (yes, even on regular trading
days). So I use a time based exit. Looks like something that can be fleshed
out a bit and because of the low number of trades, be assigned a few ctx and
turned on in full automation.
Yeah, it does beautifully buy a few tops, but then who doesn't..... When you
see what you have just done, bail out....
----- Original Message -----
From: "Ian Waugh" <ianwaugh@xxxxxxxxx>
To: <cglander@xxxxxxxx>; <omega-list@xxxxxxxxxx>
Cc: <ianwaugh@xxxxxxxxxxxxxxxxxxx>
Sent: Friday, July 04, 2003 4:12 AM
Subject: Re: Ticki-Tick Strategy
> That would seem to be the 'usual' interpretation but might one
> respectfully suggest a test and then a comment?
>
> Ian
>
> > Although it will be easy enough to back test, my first comment is
> > that when
> > Tick > 1000 I look for prices to stall or reverse, not to enter into
> > > a new
> > long.
> >
> > FWIW,
> > Chris
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