|
PureBytes Links
Trading Reference Links
|
Lawrence.Barwick@xxxxxxxxxxxxxxx wrote:
>
> Russ,
>
> You are absolutely correct. what you are saying is that Slippage and
> commission Kills. I run purely mechanical trading systems here at Bank of
> America and it has been my experience that Slippage is the single most
> important factor in any trading system.
>
> However, this doesn't mean you can't beat Buy&Hold. We have models here
> that choose to buy and sell on opportunities and these do out perform S&P.
> I feel it is very important to have a range of models that 'do different
> things' inorder to get a low correlated set of returns.
NW: Why must the comparison be of one extreme or the other, i.e.
daytrading vs. buy and hold? Did you know that you are allowed to hold
S&P contracts, long or short, for any length of time you choose? This
means you could go long or short during several days, weeks, or months.
The choice is not limited to being "Joe Scalper" or Warrent Buffet".
Please, if you continue this discussion, move away from this
oversimplistic bi-polar thinking.
Multi-polarly,
Norman
>
> I also do not use intraday models but rather 'daily' models ie. I can
> change my position once per day. Usually intra data has too much noise and
> doesn't add any value for me.
>
> Hope this helps
>
> Lawrence
>
> To: realtraders @ listserver.com
> cc: (bcc: Lawrence Barwick)
> From: TWA7663 @ aol.com @ INET
> Date: 30/10/97 13:09:26 EST
> Class: Internal
> Subject: Intraday Versus Long Term Systems
>
> I have recently been trying to find several intraday trading systems for
> the
> S&P that all together will exceed a buy and hold strategy. I realize that
> you would not buy a S&P futures contract and keep it for several years.
> However, that is the benchmark that I have used. I am sure the
> professional
> traders that use intraday systems will claim that their short term systems
> would do so. However, I have not been able to prove that several combined
> intraday systems can outperform ?buy and hold?. I have done extensive
> testing with Tradestation and Excel.
> To demonstrate to RTers how short term systems have problems outperforming
> a
> ?buy and hold? or any long term system, I offer the following calculations:
> Assume that you bought a S&P futures contract on 1/3/83 and continued to
> rollover until 10/13/97. Without commissions and slippage, you would have
> made $326,825. If you had bought one contract at the open and sold it at
> the
> close each day EVERYDAY, you would have only made $258,075. When you
> subtract a commission of $35 RT and 50 cents for slippage(small amount) you
> would have made $326,540 on the ?buy and hold? and with the short term
> system
> you would have lost $-807,540!
> WOW! I think that is a pretty impressive demonstration of why it is very
> difficult to make a profit year after year with very very short term
> systems.
> I am not claiming that a short term system or a combination of several
> short
> term systems can?t do better than longer term systems. I am just showing
> why
> it is difficult.
> I realize that intraday systems don't buy at the open and sell at the close
> but the negative affects of the short term trading, commission and slippage
> are still there. In fact, it has been my experience that one can encounter
> more slippage intraday than at the open and close!
> If I am missing something here, then I would appreciate a counter argument
> because I truly seek intraday systems that will provide continued greater
> profit versus risk as compared to longer term systems. Also, I would like
> to
> hear from those that have ?properly? backtested their intraday systems and
> have created results that exceed ?buy and hold?. I need the encouragement!
> Russ
|