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Come on guys and gals! How many times do I have to say that I am NOT saying
that long term investing is better than intraday. I just said that "I" have
not found "one" intraday system that gives the net profit and reward/risk of
20-30 day position systems that I have developed with the exact same data for
the last 15 years. I had hoped that some of you had found such a system. I
am still in search of an intraday system that does this.
I will also say again that I did not want this to become an argument of
system methodology or longer versus shorter. I have tested thosusands of
systems and read more than my share of books on methodology. I ONLY WANTED
TO KNOW IF ANYONE HAD FOUND AN INTRADAY SYSTEM WITH BETTER RESULTS THAN
POSITION SYSTEMS WITH THE SAME DATA FOR A 10-15 YEAR PERIOD! Only Thomas
Brun seemed to understand what I wanted. Thanks Tom for your response below.
I gave an example of buy at the open and sell at the close compared to "buy
and hold" to demonstrate in a dramatic way that slippage and commission are
huge obsticles to making profit. Geez, do you really think that I am stupid
enough to think that this is the way to trade. Ok, it was a bad example.
But it was an example of the negative affects of slippage and commission. I
am very aware of the positive affects that one can capture by intraday
trading. However, it has been my experience that one needs to add sufficient
filters to intraday systems to eliminate the increased costs of slippage and
commission. Once there are sufficient filters to acquire good statistics,
the trades become more infrequent than I desire and thus the total net profit
(say for 15 years) is less than my position trades. I concluded from that
that it would require many intraday systems all combined to have a chance of
beating a position system. I merely wanted to know if anyone had found "ONE"
system that would accomplish this.
I thought this would be educational for all of us. However, almost all of
the comments were about other issues. I was just looking for statistical
facts, not trading philosophy.
Thanks again, Tom, for taking the time to post your statistical results.
Russ
<<<<<<<<<<<<<<<<
The Short Term System that I use has had the following results trading
S+P futures. This system is short term but will hold overnight. I have
traded this system during this period, and at times it hasn't been easy.
>From July 1986 to the present:
3070 Trades.
Maximum DrawDown = 69.50 points
Total Profit = 957.15
If I bought and held I would have paid approx. 247.30 and if I sold
today I would receive approx. 918.00. My profit would have been
670.70. For the amount of Stress and loss of my time sitting here and
trading this market I would have just bought and held rather than have
traded over the years. But, 11 years ago I didn't know.
I think that your thoughts are correct but I would ask myself What will
happen when and if we enter a decline that will last for years? I can't
give you an answer to that because I haven't traded through a decline
like that.
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