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Keep in mind that transaction costs assymptotically approach infinity at k
and zero at k*. And since, as you suggest, maximum gross profitability is
probably proportional to the number of trades per period, there is probably
a shoulder of maximum net profitability in the 1 hour to 1 month holding
period region.
I'm not saying that EOD is optimal, but it very well might be.
----- Original Message -----
From: "Navtej S. Nandra (RR)" <nnandra@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, September 29, 2003 1:36 PM
Subject: Re: End of day systems
> 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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