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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
>
Alan, I tried this system on 5 min. bars, and to be conservative, bought
the high of the bar of the breakout, and sold the low of the bar
on the trailing stop, vice versa on the sell side, and this system
seems to turn into a very regular loser (say, 60K/year). I think it
is very sensitive to assumptions of where the trades are executed
when a signal is triggered. (I looked at 5 min. data in '94 and '95, fyi).
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| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
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