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A quick and dirty improvemnet may be had by changing to natural hour bars.
Brent
----- Original Message -----
From: "Dr. John Cappello" <jvc689@xxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Sunday, December 19, 1999 9:28 AM
Subject: [RT] RT] As An Aside re. Mechanical S&P Trading Systems
> Dear PRS,
>
> Thanks for your input.I need to find out why it does not correlate with
what
> has been sent to me privately and what I have personally seen.
>
> The setting parameters one person found best were TS $1125,L 12 L 12 exit
0
> MOC all for 90 min.It works better on long side than short.
>
> At 25 min. from 5/24/99 to 8/27/99 it made $50,000 with 63% profitable
> trades.
>
> I am hopeful it can be improved and appreciate your interest.
>
> Sincerely,
>
> John
>
>
> >From: "prs" <psmeding@xxxxxxxxxxx>
> >To: <jvc689@xxxxxxxxxxx>, <realtraders@xxxxxxxxxxxxxxx>
> >Subject: Re: [RT] As An Aside re. Mechanical S&P Trading Systems
> >Date: Sun, 19 Dec 1999 09:44:47 -0600
> >
> >John,
> >
> >I tested your Blitzkrieg system as you posted it on the sph9, spm9, spu9,
> >spz9 and sph0 contracts using
> >90 minute bars and $75 for slippage and commission with the following
> >results:
> >
> >sph9 net: 19,625, DD: -18,525
> >spm9 net: -43,725, DD: -57,950
> >spu9 net: 24,500, DD: -7,300
> >spz9 net: -5,825, DD: -18,650
> >sph0 net: -4,525, DD: -7200
> >
> >
> >-----Original Message-----
> >From: Dr. John Cappello <jvc689@xxxxxxxxxxx>
> >To: realtraders@xxxxxxxxxxxxxxx <realtraders@xxxxxxxxxxxxxxx>
> >Date: Saturday, December 18, 1999 3:43 PM
> >Subject: [RT] As An Aside re. Mechanical S&P Trading Systems
> >
> >
> > >Re. what has been posted and on another vein:
> > >
> > >As someone who has posted more than one system and expects to post
> >more,it
> > >is disconcerting when:
> > >
> > >1.No one reports their test results.
> > >
> > >2.No one posts any improvements they make for the benefit of all.
> > >
> > >3.Systems posted are open so code can be seen.
> > >
> > >4.If accidenatally locked password will be given.
> > >
> > >If all I have are ELA's that is what I will post.If I have more I will
> >post
> > >more.If you can not look at them on that basis I am sorry and perhaps
> >some
> > >of you may have to pass them up.No hard feelings.
> > >
> > >To tell you the truth I have not seen very many ELA systems posted for
> > >general review except for [God bless him-Mark Brown].
> > >
> > >Sincerely,
> > >
> > >John
> > >
> > >
> > >>From: Larry Wright <lwright@xxxxxxxxxx>
> > >>Reply-To: lwright@xxxxxxxxxx
> > >>To: <realtraders@xxxxxxxxxxxxxxx>
> > >>Subject: [RT] Re: Mechanical S&P Trading Systems
> > >>Date: Sat, 18 Dec 1999 12:38:42 -0800 (PST)
> > >>
> > >>
> > >>
> > >>On Sat, 18 Dec 1999, Dennis Holverstott wrote:
> > >>
> > >> > As an aside, I would encourage everyone to post systems as plain
text
> > >> > rather than (or as well as) .ela files.
> > >>
> > >>That is a **good** suggestion; much more than an aside.
> > >>
> > >> > That will make it much easier
> > >> > for everyone to view the code and discuss it. Many people don't
have
> > >> > Tradestation and others are unwilling to paste unknown code into
> >their
> > >> > systems.
> > >>
> > >>I've had some of my functions replaced with 'new' ones, and I am very
> > >>careful now - I *much* prefer the text.
> > >>
> > >> > If we can all see the code, we can more easily get to the
> > >> > trading idea inside it and we can all learn something.
> > >>
> > >>Perhaps the *author* could state the idea clearly, up front, and in
some
> > >>detail. That way,
> > >>
> > >>(1) it could spark a discussion of the *idea* without having to go
> >through
> > >>the code first. This might, in fact, be more productive than a
> >discussion
> > >>of the code details. (Note, for example, how the current discussion
> > >>quickly evolved into a discussion of the idea.)
> > >>
> > >>(2) readers might be able to quickly decide the interest level before
> > >>going through the code.
> > >>
> > >>(3) each reader would not have to wade through the code to try and
> > >>discover the idea for him/herself.
> > >>
> > >>(4) astute readers might even be able to spot differences between the
> >code
> > >>and the original idea - happens all the time, especially with complex
> > >>ideas.
> > >>
> > >>(Just another 'aside' or two :-).
> > >>
> > >>Larry
> > >>
> > >>
> > >
> > >______________________________________________________
> > >Get Your Private, Free Email at http://www.hotmail.com
> > >
> >
>
> ______________________________________________________
> Get Your Private, Free Email at http://www.hotmail.com
>
>
>
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