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Last year when Mark published his article in Active Trader I asked him about
stops, particularly the risk of overnight exposure. He acknowledged the
inherent risk, but he also said that was one of its strengths in that the
gaps tended to benefit it more so than not. He also emphasized the basic
system was an example of how simple a system could be and yet be quite
profitable in the long run. Yet, who in the real world can trade without
stops? He also planned followup articles enhancing the system.
Since the OddBall system samples hourly during the day session, it leaves
you exposed for an entire hour at a time plus overnight. Commissions are
low these days so exiting end of day and re-entering the next day is one
option. Another is to put on an option hedge before the close and taking it
off the next morning, Ben or IRA could explain the details of this. Since
the Oddball has time filter qualities try using a time based type of stop.
Intraday try using a "multi-timeframe" type of channel. Suppose you are
using 3 minute bars and using Charles Johnson's array sampling
code(excellent stuff) then create a highest high and lowest low and midpoint
channel to protect you during that hour long exposure. Twenty bars would be
one hour so a midpoint line based on the highest high and lowest low might
be of value. I haven't backtested this with the oddball system, but have
been watching it today. Problem is, the oddball system is optimized for
simplicity and additions to the code may detract from its performance.
That's the tradeoff. Another thing you might try is not taking the first
9AM ET or 8AM CT trade until another half hour has passed. The reason is
the two half hour drives that occur are one source of the whipsaws.
plot1(Highest(H,20),"H");
plot2(0.5*(Highest(H,20)+Lowest(L,20)),"Mid");
plot3(Lowest(L,20),"L");
Use the Mid line for a stop and re-entry in the direction of the current
Oddball signal.
bobr
----- Original Message -----
From: "Eliot Kaplan" <eliot@xxxxxxx>
To: "RealTraders Mail List" <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, November 01, 2001 9:53 AM
Subject: Re: [RT] RT:ODDBALL
> Michael,
>
> I just started following the Oddball about a week ago, and it has had
> 2 great signals (20-30+ point winners), followed just the last day or
> so by 2 that were small losers, and today's which remains in process.
>
> It seems quite remarkable overall.
>
> I myself am wondering how to trade it using a stop. I can't trade it
> without one for obvious reasons, and have been considering a 10 point
> SP emini stop as perhaps wide enough to stay out of it's way. I'm not
> a backtester, so I imagine, others have tried to test this, and it
> would be interesting to hear BobR or others comment on the use of
> stops with Oddball.
>
> Essentially, does a stop ruin it? And what lengths show best results?
>
> Eliot
>
>
>
> >BobR, or anyone following oddball? wonder if it got whipsawed yesterday,
> >thought $ADV was advertising close on high.
> >
> >Pretty choppy SP. Looks like expiration. Looks like Earl nailed it, ND &
SP
> >clashing.
> >
> >
> >
> >To unsubscribe from this group, send an email to:
> >realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> >Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
> --
> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^
> Eliot Kaplan
> 20211 Croydon Lane
> Topanga, CA 90290
> Voice: 310.455.3810
> Fax: 310.455.3085
> email; eliot@xxxxxxx
> web: www.isu.com
>
>
>
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>
>
>
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>
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