|
PureBytes Links
Trading Reference Links
|
Gary Funck wrote:
> 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).
Very interesting!
back to the drawing board ?? :)
Well, if nothing else I have learned that systems that buy & sell
on intra-day stops cannot be accurately tested on daily bars ?
Thanks for everyones input
Alan Sears
|