|
PureBytes Links
Trading Reference Links
|
I have a similar experience.
I have optimised ADX at lots of levels in conjunction with MA and
stochastics, but I never find the rising ADX to outperform the ADX at a
particular level (ie ignoring whether up or down). I know that there are
several far more experienced traders who say to use the rising ADX. I am
using 3-minute futures data, so maybe there is a difference there. I
found that MA and ADX together got rid of a lot of bad trades. I used
MA's about 42-56 bars and ADX 14-22 bars. I also set a time zone so that
the system would not trade until the ADX for the day settled down.
Peter
-----Original Message-----
From: Frode L. Aschim [SMTP:faschim@xxxxxxxxxxxx]
Sent: Thursday, September 17, 1998 8:48 PM
To: RealTraders Discussion Group
Subject: Whipsaw filter TS
Dear fellow traders,
I have been developing a trading system now for a long time. It uses
volatility and breakouts to enter and exit the market. Many trades are
profitable in many different markets. However, it tended to trade against
the trend giving a lot of loosing trades and in order to stop that I
incorporated a simple MA filter that makes the system only give sell orders
if the MA x days ago is higher that todays MA. This works fine, but in very
short ranging markets the system gets really whipsawed, especially on the
S&P. The enclosed JPG file clearly shows this. In a clear trend the signals
are good, but it gets totally whipsawed in other periods.
I know this is probably the most common problem for a system, but does
anyone have any good advice about indicators that can be used in limit the
number of whipsaw trades? I tried using ADX, however I found it to exclude
to many profitable trades. However, I used a simple ADX rule which I first
read in the old classic "Technical Analysis of the futures markets" by
Murphy (I think that was the title) where I programmed my system only to do
trades if the ADX was above a certain number. There may be other better
ways of using the ADX?
Any comments welcome.
<< File: whipex.gif >> << File: ATT00002.txt >>
|