|
PureBytes Links
Trading Reference Links
|
Yesterday I spent some time with the demo download program of a well known
vendor trading system which retails for a few thousand dollars. With a
little prompting from the documentation and some trial and error I managed
to work out the rules. I tried out my idea on several of the trades in the
demo and got the entries to be identical. BY inspection I can see that the
others were also identical (or very very close).
Last night I was ready to post the name of the system and the rules
(obviously not bound by any non-disclosure agreement) but today I decided to
be a little more ethical: I'll post the system rules but not the system
name...you can find out for yourself with a little research if you try so
please DO NOT ask me to tell you which system it is.
System Rules
============
Inputs: LLen(2),SLen(2),LVol(0.75),SVol(0.75)
{parameter values: no idea what parameters are intended to be used or
tracked by Futures Truth}
if marketposition <=0
buy open tomorrow + LVol *
MaxList(Highest(High,Llen)-Lowest(Close,Llen),Highest(Close,Llen)-Lowest(Low
,Llen))
if marketposition >0 then
sell open tomorrow - SVol *
MaxList(Highest(High,Slen)-Lowest(Close,Slen),Highest(Close,Slen)-Lowest(Low
,Slen))
The marketposition condition isn't strictly necessary...
If you actually trade this system or have bought it in the past I would be
interested in hearing from you privately about your experiences. From what I
can see it doesn't test particularly well on anything...Perhaps that's why a
combined portfolio performance summary is missing from the vendor's web
site!
Happy Trading,
Robert
P.S. This "system" also seems to turn up almost un-modified in another
vendor's trading system suite...(I think. Again I'm just guessing from the
evidence I am presented with)
|