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Re: S&P system



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On Nov 23,  2:46pm, Alan Sears wrote:
> Subject: S&P system
> Below are the results of a simple system for trading the S&P500
> and below that is the code for producing these results...enjoy :)
> 
> This uses end of day data, exits each trade at the close if not
> stopped out. NO holding positions overnight.
> Buys/Sells on a breakout using a formula based on average True range.
> NO optimized parameters
> $1000  money management stop
> $1000  trailing stop

Nice record for such a simple system. :)

Since this is a breakout system, it may be more realistic to add a factor
for slippage (and commish).  For starters: $100.

Did you run this on a continuous contract that is back adjusted,
or just has the front months pasted together?

I don't know what the "trailing stop" will do for you on this day only
system, unless you use intraday (say 5 min. bar) data.

-- 
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| Gary Funck,  Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135