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Hi DMI
You are creating a rod for your back by going for perfection. What you
think is "a bit difficult" is simply impossible, unless you just buy
something, have unlimited capital and hold on for ever until it goes into
profit...
I suggest looking at the expected return of your system over the long term.
The Win Loss ratio and the Average Win & The Average Loss all combine to
give you a simple calulation. Looking at Win Loss ratio alone leads to
misleading conclusions.
Regards
David Hunt
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From: DMI <dmii@xxxxxxxxxxxxx>
To: omega <omega-list@xxxxxxxxxx>; RealTraders Discussion Group
<realtraders@xxxxxxxxxxxxxx>
Subject: Trend Filter Needed
Date: Saturday, November 08, 1997 8:24 AM
I am working on a new trading system that would be applied to the Nasdaq
Composite and S&P cash price. This system would be for trading mutual fund
shares and would be designed for long-term trends only.
I have part of the system completed with potentially beneficial results.
However, there are times when false signals occur. I know that creating a
system that is accurate 100% of the time is a bit difficult but am looking
for trend filters that might help reduce the whipsaw losses and non gains
problems. Any suggestions for a trending filter would be greatly
appreciated.
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