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Alan Sears wrote:
>
> > These results look interesting, but first a few questions????????
> >
> > 1)Commission & Slippage???? Use at least $100.00. If
> > you did not use $100.00 then take off about $160,000 of your profits.
>
> I used $100 per contract
>
> 2)Max. consecutive losers=10. Not many people can handle this, but if
> you
> > can then "okay".
>
> I agree, this could get expensive and frustrating ?
> "AS IS" this is obviously not for a small account and probably
> more geared toward a fund ?
>
> > 3)TS assumes the ticks go in order depending on the relationship of the open
> > and close to the high or low of the day. This can be a "system wrecker"
> > when using stops of only a few points.
>
> This enters on a stop order above or below the market so how would
> this make any difference ? Also the trailing stop & money management
> stops are both 2 points or $1000
> (I only tested this using the full contract of $500 per point)
>
>
> > Next Step???? Test it on tick data to give yourself some confidence in real
> > time. Also, be wary of any S&P system tested only during the past 7 years.
> > Take periods of time since 1982 and give it a whirl.
>
> Someone in my group just tested it on intra-day data and found they
> could reduce the stops to $500 from my $1000 and still get comparable
> results.
>
> > Hope this helps.....Tom Stein comfut@xxxxxxx
>
> Yes, thanks for your input Tom
>
> Alan Sears
Thanks for sharing your ideas. I have a couple of comments. In 1990 ,
$100 comm and slip was good, but not now. I think it has to be doubled
if you are using the old (big) s&p contract size.
Also, I was going to mention this about the 2 point trailer, but now you
have even talked about a 1 point trailer. This is impossible to trade
off the floor. Have you ever tried to update stops with your broker
with a tight trailer like this? He'll kill you after a week because his
broker will threaten to quit unless you are trading 25 lots or more.
Watch the market one busy day, it comes off intraday highs and lows so
fast you won't even have picked up the phone when it is off by 1 point.
Can you say SLIPPAGE!!
BTW, I think 10 losers in a row is reasonable in daytrading and I'll
definitely take a look at this. Thanks again for sharing.
Good Luck,
Eric
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