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I think your hypothesis is flawed. How do you intend to go about proving a
negative?
----- Original Message -----
From: "Ron Hudson" <ron@xxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, February 02, 2004 4:48 PM
Subject: e-mini day trading systems
> I would like to entertain/stimulate a discussion about the myths/truths of
> emini stock index futures day trading systems. I have done a lot of
research
> on this subject, and I'm not just trying to bait or badger system ideas
out
> of anyone. I am sincerely interested in testing my own theories and
debating
> the topic with others who share my interest....so here goes:
>
> My 8+ years of research so far on this subject has led me to hypothesize
the
> following:
>
> 1. There is no proof that anyone has made money consistently using a 100%
> mechanical system to day trade emini stock index futures. This is not
meant
> to insult those who claim to be doing so, or to call them liars. I am
> well-aware that many CLAIM to be making money consistently day-trading a
> 100% mechanical system on eminis, and I sincerely trust the honesty and
> integrity of these people. However, I have seen no PROOF that anyone does
it
> consistently, year-after-year. I don't know or care how it would/could be
> proven, I just want to state my hypothesis that no such proof is available
> to the public. In other words, "the suggestion that one can day trade the
> emini stock index futures with an automated system has not been publicly
> proven."
>
> 2. One of the most "robust" commercially-available 100% mechanical systems
> for day trading the big S&P contract is the R-Mesa program. This
conclusion
> is based on my search for the last 8 years of a viable system for trading
> the eminis. I have learned a lot about curve-fitting and "robustness." I
> understand that most systems are simply fit to past data. However, judging
> by published track records for every commercial S&P system I've ever seen,
> R-Mesa seems to be the only one that has performed consistently since
1985.
>
> I have asked the developer of R-Mesa (John Ehlers) and others about using
> mechanical systems on the eminis. The consensus seems to be that even the
> best big contract S&P systems will not "work" as well on the eminis, and
> that maybe NO system can work on the eminis. These ideas have led me to
the
> following "master" hypothesis:
>
> 3. There is no commercially-available 100% mechanical system for day
trading
> the emini futures that can show a "reasonably robust" performance record
> over the entire life history of the emini futures (works on over the
> life-of-contract for all 7 emini markets <2-7 years depending on the
> contract>). If such a system exists, then it is in very high demand and
> would become well-known to the public very quickly. Therefore, I have
> concluded it is "reasonable to assume" that no such system has been
> available since the emini futures began trading.
>
> Okay, those are three of the hypotheses I'm working with. I would
appreciate
> an opportunity to discuss/debate this topic with others....assuming anyone
> else shares my fascination about this. I have even thought about writing a
> book about this, and I'm hoping that creating a thread here will help me
> gauge public interest in such a book. Maybe it's old news and I'm just
slow
> to realize what everyone else already knows. Maybe I've missed some
> important information, or maybe I'm missing out on some great
opportunities
> to become an emini systems day trader.
>
> I'm just another wannabe trader like everyone else. I've never made a dime
> trading futures, and I don't claim to have any secret power to help anyone
> else do so. I'm just a Tradestation "enthusiast" who's fascinated by the
> mystique and fantasy of day trading the emini futures. I'm currently
trading
> a system on the YM, but I feel my expectations are reasonable. I don't
> "expect" the system to make money, and I've accepted it as at least 50%
> possible that I willI lose the max drawdown amount ($4000.00) of my
system.
>
> I understand that there might be system-assist brokers or system vendors
of
> questionable systems who will attack my ideas aggressively here (as they
> have on TradestationWorld). I only ask that we keep the conversation civil
> and avoid personal attacks. Attack my hypotheses, attack my research, but
> please don't start the name-calling that sometimes results when anyone
> proposes the notion that "mechanical systems trading is
highly-speculative"
> I am sincerely opened to opposing views, and I promise to debate without
> resorting to personal attacks.
>
>
> Ron Hudson
> Tradestation 7 Easylanguage Specialist
>
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