|
PureBytes Links
Trading Reference Links
|
Hi,
I've been following the oddball thread for a couple of days and your
comments interest me. Looked at my old issues of
Active Trader and couldn't find an issue with the article you mention.
Would appreciate a URL to help find information.
Thanx
Lou Roston
At 10:30 AM 11/1/2001 -0800, you wrote:
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
>
>
>
> 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/
>
>
Yahoo! Groups
Sponsor
ADVERTISEMENT
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the
Yahoo! Terms of
Service.
Lou Roston
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Attachment:
Description: ""
Attachment:
Description: ""
|