|
PureBytes Links
Trading Reference Links
|
FLFutures wrote:
>
> Here is a trading system for coffee. I developed this using end of day data
> on super charts. It uses a 2 cents money management stop ($750), and $100 for
> slippage and commissions. No other assumptions used. I began paper trading
> it today and the actual results were very similar to results given by
> supercharts. There is a slight difference due to rounding. Let me know what
> you think of the system. I think it look pretty good when you look at overall
> profitability in relation to drawdown. Question is whether you could sit
> through 6 losing trades in a row. Possibly.
>
Day trading Coffee, what will they think of next. IMHO, if you are
concerned about the stress of losing 6 times in a row with only a $560
average loss, you will not be able to handle the "thrill" of day trading
in the coffee market.
I believe you will find it impossible to equal these results in real
time for several reasons.
1. Stop is pretty tight for coffee. When it moves it ticks in dollars.
This happened alot this year, making your testing even more suspect.
2. Slippage plus commission of $100 is a bit optomistic too for the
above reasons, plus the fact that is is the coffee pit. (those with
experience there know what I mean)
3. March 1998 futures back in March 1997 are not that liquid. Makes me
question test.
4. Wait,I just saw in your post that you developed this using end of
day data, so I"ll stop right here....
This may truly be a great system, I don't know. But the results you
have gotten with this data are COMPLETELY useless. Not close, not a
little useful, but literally useless. Sorry.
A short term system with a tight trailing stop CANNOT be evaluated with
end of day data.
Read about Omega's bouncing tick assumptions and think about the
reality of these tests.
Good Luck,
Eric
|