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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.
Each trades has $100 deducted for Comm/slip
> Did you run this on a continuous contract that is back adjusted,
> or just has the front months pasted together?
The test I posted used spot month unadjusted
I also ran this on the Dec 97 & Jun 97 contracts
with very similar results.
> 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.
My understanding of the 2 point ($1000) trailing stop is that
if the market retraced 2 points from its intra-day high it
would use that as the "stop out" price ?
ie: if long at 960 and the market made a high of 962 your
stop would be moved up to 960 etc.. ?
the stop would be moved higer to chase the market by 2 points ?
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