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<DIV><FONT face=Arial size=2>this looks great - EXCEPT as you're suggesting
you need to test it on a LOT more data to be statistically valid. Depends on how
solid the market theory is behind it. You will be unhappy going forward with a
system based on a highly tuned set of indicators . Also note that you'll want
to calculate the position size, targets and stops according to the
volatility to give meaningful runup/drawdown numbers with a longer-term
backtest. This means forget about built-in TS stops/targets.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>In fact I'd forget them anyway, if only to be
sure you don't suffer from the famous "bouncing tick" assumption. (Whereing the
trades are NOT reproducible in real time. It's a cottage industry - in fact
I know a web site where they sell systems like this for a couple hundred
bucks!)</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>I can an send SP continuous contract if you like -
</FONT></DIV>
<DIV><FONT face=Arial size=2>rgds phil</FONT></DIV>
<DIV><FONT face=Arial size=2><A
href="http://www.patterntrader.com";>http://www.patterntrader.com</A></FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
<A href="mailto:jd@xxxxxxxxxxxxxxxxxxxxx";
title=jd@xxxxxxxxxxxxxxxxxxxxx>Jonathan s Dempster</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:realtraders@xxxxxxxxxxxxxxx";
title=realtraders@xxxxxxxxxxxxxxx>realtraders@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Wednesday, January 19, 2000 2:49
PM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> [RT] FUTR: trading
systems.</DIV>
<DIV><BR></DIV>
<DIV><FONT size=2>
<DIV><FONT size=2>
<DIV><FONT size=2>Group, find attached summary of END OF
DAY trading system on Dow, i would like those who take an
interest to highlight the Weakness and any potential
strenghts. I realise the data is only 3 years
duration, and the bull run, and there is also a 6
(month due to theft ) gap in that, so effectively there
is 30 months of daily price activity on which these
hypothectical results are based, so if anyone has a end of
day o,h,l,c data for the DAILY dow and they could send
it that would be great, say from todays close going back 12
months, that would fill the gap in my data and enable me to see how
it did on on the missing months, until i get a new data supplier
arranged,</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV><FONT size=2>Data used is END OF
DAY, </FONT></DIV>
<DIV><FONT size=2> Omega supercharts. </FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2> DA----Y-Daily 10/02/96 -
06/30/99 </FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2> Performance Summary: All Trades
</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Total net profit $ 42040.00 Open position
P/L $ 0.00<BR>Gross
profit $ 47680.00 Gross
loss $ -5640.00</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Total # of trades
28 Percent profitable 57%<BR>Number
winning trades 16 Number losing
trades 12</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Largest winning trade $
2980.00 Largest losing trade $ -2220.00<BR>Average winning
trade $ 2980.00 Average losing trade $
-470.00<BR>Ratio avg win/avg loss
6.34 Avg trade(win & loss) $ 1501.43</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Max consec.
winners 4 Max consec.
losers 4<BR>Avg # bars in
winners 9 Avg # bars in
losers 4</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Max intraday drawdown $ -4176.80
<BR>Profit factor
8.45 Max # contracts held
1<BR>Account size required $ 4176.80 Return on
account 1007%</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2><BR> Performance Summary: Long Trades
</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Total net profit $ 42040.00 Open position
P/L $ 0.00<BR>Gross
profit $ 47680.00 Gross
loss $ -5640.00</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Total # of trades
28 Percent profitable 57%<BR>Number
winning trades 16 Number losing
trades 12</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Largest winning trade $
2980.00 Largest losing trade $ -2220.00<BR>Average winning
trade $ 2980.00 Average losing trade $
-470.00<BR>Ratio avg win/avg loss
6.34 Avg trade(win & loss) $ 1501.43</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Max consec.
winners 4 Max consec.
losers 4<BR>Avg # bars in
winners 9 Avg # bars in
losers 4</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Max intraday drawdown $ -4176.80
<BR>Profit factor
8.45 Max # contracts held
1<BR>Account size required $ 4176.80 Return on
account 1007%</FONT></DIV>
<DIV> </DIV>
<DIV><FONT
size=2>---------------------------------------------------------------------------------------------------------------------------------------------------------------------------</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>2 trades exited on money management stops,
the other 10 being break even stops (less 120. slippage,
comm.) with floor @ $ 550. </FONT></DIV>
<DIV> </DIV>
<DIV>bouncing ticks @ 30%</DIV>
<DIV>$120. slippage & commission allowance.</DIV>
<DIV> </DIV>
<DIV>if anyone can provide any "general rules of
thumb" for evaluating simulated trading results,
or if anyone knows of any sources of good information
regarding pro's /con's of system trading
etc, that would be welcomed.</DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV><FONT size=2>Any comments, data assistance ,
appreciated.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Jonathan.</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV></FONT></DIV></FONT></DIV></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Wed Jan 19 17:32:17 2000
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Date: Wed, 19 Jan 2000 20:12:20 -0500
Subject: [RT] gen:SC4 end of day
Message-ID: <20000119.201222.-232849.0.RMAC@xxxxxxxx>
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From: Ronald McEwan <rmac@xxxxxxxx>
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Status:
I wanted to ask if anybody has a copy of SC4 end of day (y2k ok) that
they would like to sell.
Please email privatley.
thanks
Ron
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