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John........
The obvious is....
Your sample size is so small as to be insignificant....the volatility
break-out type system that you describe might be profitable, however, you
might want to make it more dynamic by requiring the break-out to be a per
cent of recent avg. ranges....
My suggestion would be to use back-testing.....in sample/out of
sample....look at length of flat periods etc......drawdown.......tick data
for at least 10 years etc.........
Hope this helps.....
Tom Stein
comfut@xxxxxxx
-----Original Message-----
From: John Cappello <jvc689@xxxxxxx>
To: SPDT@xxxxxxxxxxxxxxx <SPDT@xxxxxxxxxxxxxxx>
Cc: realtraders@xxxxxxxxxxxxxx <realtraders@xxxxxxxxxxxxxx>
Date: Monday, May 11, 1998 1:01 AM
Subject: SPDT S&P 500 Trading System
>S&P DayTrader message . . . .
>
>Dear Lists:
>
>I am nightstalking because a trading concept woke me up.Now as an ingrained
system trader using purchased systems this is unique in itself.But what
really did it was my dissatisfaction with S&P day trading systems no matter
how encouraging to date.So here goes:
>
>1.I am manually backtesting an end of day method.
>
>2.The test has gone from 4/13/98 to 5/7/98.
>
>3.To date there are 11 wins and 8 losses.
>
>5.Gross profit is $28,000; Loss is $13,000 ;Net profit is $15,000.
>
>To give you an idea of the system [win ,lose ,or draw tomorrow],if the
market opens above 1107.32, buy 1 contract with a stop loss 800 points from
entry,$2000 risk.Sell M.O.C.
>
>If the market opens below 1107.32, sell 1 contract with a stop loss 800
points from entry,$2000 risk.Buy M.O.C.
>
>I will be glad to share if it continues to be successful but since I am new
to attempting system development I don't want to get my hopes up too high.
>
>Comments or thoughts are welcome,
>John
>
>P.S.Thanks, Karl, for your input on my last question.
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