|
PureBytes Links
Trading Reference Links
|
Alan, Gary,
Yes the system is a loser -- I likewise tried it on 5 minute
data and set it up so that it would execute at the stop
based on prior day close +/- ATR(10)/2 . For 1995 and
1996 and part of 1997 the system lost about $5,000 per
year.
I did NOT use any of Omega's stops -- they can't be trusted --
but programmed proper execution.
Sorry, that this did not work but I bet minor improvement --
moon maybe -- could make it profitable. It seems to lose
most against the trend so maybe that should be setup in
the system.
Clyde
Gary Funck wrote:
> 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).
>
> --
> --
> | Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
--
Clyde Lee Chairman/CEO email: <clydelee@xxxxxxx>
SYTECH Corporation Work: (713) 783-9540
7910 Westglen, Suite 105 Fax: (713) 783-1092
Houston, TX 77063
|