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This sounds interesting, but if I might add one thing. If you are
actually trading this system for yourself or clients, maybe you could
post ACTUAL fills. Or if this is simulated, since you are publishing
P/L's, give us your assumptions for slippage. Slippage can't be ignored
in this market.
Look forward to the posts.
Eric
Allan P. Harris wrote:
>
> Dear John and Eddie,
>
> I would like to start posting real time neural net signals to the
> realtraders group, for the next couple of weeks. These will be in the form
> of Trendy Systems' nightly update to subscribers which goes out each
> evening before 9:00PM EDT and will posted at about that time to this forum.
> There will be no commercial solicitation beyond what is inherent in
> identifying the proprietary nature of this information within the nightly
> updates. An example of what I propose to post follows. If this is OK,
> I'll start posting tonight. If this is not OK, let me know and I'll
> refrain from any posts.
>
> Allan P. Harris
>
> Trendy Update published Tue evening, 10/28/97
> -------------------------------------------------------------------------
> December S&P Futures Close: 924.50 up 50.6 / RA Mode: NotArmed
>
> NeuralTrend (NT), our proprietary zero to one neural net: 1.00
> NeuralTrendII (NTII), an experimental zero to one neural net: 1.00
>
> October Summary:
>
> DAYTRADE MODEL +92.8 S&P pts.
> HYBRID MODEL +89.8 S&P pts.
>
> S&P DayTrade Model Status: BUY for Wed
> Current Trade Profit/Loss: (to be reported Wed evening)
> 1.5% INTRAday Protection STOP: Sell at 911.35
> BrokerageSimulator Action: Buy 1 on the Open; Sell it back MOC
>
> S&P and E-Mini Hybrid Model Status: BUY from flat
> Current Trade Profit/Loss: (new trade)
> 1.5% INTRAday Protection STOP: Sell at 911.35
> FullSP BrokerageSimulator Action: Buy 1 by 10p GLOBEX; going net Long 1
> E-Mini BrokerageSimulator Action: Buy 2 by 10p GLOBEX; going net Long 2
>
> Discussion: NeuralTrend came in at 1.00, so the two NT-driven models have
> issued Buy signals.
>
> Even after today's 50 s&p point assault, the 3-day Percent Change indicator
> remains quite oversold at -2.8% (it was -10.5% last evening). It would
> seem then that more upside potential may exist in the near-term. Overhead,
> the 90-day SMA is 14 points above at 939, with the 50-day 22 points above at
> 947. Today's sharp intraday low EXACTLY touched the rising 250-day SMA. A
> retest of Monday's weakness may be required over the coming weeks.
>
> Comment: Our decision last evening to suspend NeuralTrend for one day seems
> to have been vindicated, as NO end-of-day trading signal could have survived
> today's frenetic 90 point range! Our corporate Short trade from Sunday was
> Stopped out early in the day for a realized 60 point win.
>
> Joseph Prewitt, Ph.D., Trendy Systems, LLC
> http://www.TrendySystems.com
>
> This Trendy Update document is distributed based on the condition that its
> use signifies acknowledgement by the recipient that he has read, understands,
> and accepts the warnings, terms and conditions set forth in the "Disclaimer"
> text printed at the bottom of each page of the Trendy Systems LLC web site.
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