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Intuitively, it is not clear to me that EOD should be better than intra-day.
Applying old principles of mathematics, at one end take k = smallest time
frame and at other end take k* = longest time frame.
By definition, a system based on k COULD/SHOULD capture many more swings
than the single move from 0 to k*
Since EOD lies between k and k*, it is not clear why it is optimal, vs. say
weekly or even monthly or 15 minutely.
In my trend following system, the 15 minute bars are better than the daily
bars.
Sincerely,
Navtej
----- Original Message -----
From: "Jeff Gilfillan" <jeffg@xxxxxxxxxxxxxxxxxxxxx>
To: "'Alex Matulich'" <alex@xxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Monday, September 29, 2003 1:14 PM
Subject: RE: End of day systems
>
> Aberration is down over 50% this year from what I heard, but you would
> want to verify this yourself.
>
> I agree most EOD systems will better intraday systems. We have a system
> (minimum 50k) we began trading this year that has performed relatively
> well on an annual basis. However, the timing of entering a system is
> very important as well. One of the most important questions you need to
> ask any system salesman is what is the highest drawdown from peak to
> valley the system has experienced and what is the typical leverage or
> initial margin to equity the system will risk.
>
> Only over the long run (usually around 6 months or over) can you really
> tell how a particular system might perform. A few important rules to
> follow - open with the recommended equity per system requirements,
> understand the risk your account is willing to take on a day to day
> basis and have a set % you are willing to lose from the beginning.
>
> J Gil
>
>
>
> -----Original Message-----
> From: unicorn@xxxxxxxxx [mailto:unicorn@xxxxxxxxx] On Behalf Of Alex
> Matulich
> Sent: Sunday, September 28, 2003 5:17 PM
> To: omega-list@xxxxxxxxxx
> Subject: Re: End of day systems
>
>
> Manie,
>
> >I have two questions to the list, is it possible to trade a futures
> >market profitable by using end of day data?
>
> I have met two or three successful traders who trade for a living. They
> trade all time frames, but they say the EOD systems by far make the most
> money.
>
> >Any suggestions about what would be the
> >best type of system to trade it?
>
> I'd recommend checking out Futures Truth for examples of good-performing
> EOD systems. One that comes to mind (not sure how it's doing now) is
> Aberration, a portfolio-of-commodities trend-following system.
>
> -Alex
>
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