|
PureBytes Links
Trading Reference Links
|
This
is not a tradable system. Problems are:
<FONT face=Arial color=#0000ff
size=2>
1. Way
too many trades. Commish say at Datek is $10 a round turn (are the # of
trades you listed actual number of trades or Tradestation's misleading
statistic? You have to multiply by two to get actual figure in TS).
I'll assume $10.20 (Datek's) a trade which gives you 1084 * 10.20 = 11,056.80 in
commision alone. Slippage pretty much eats up the rest (1085 trades *
.0625/share * 1000 shares = $67,812.50). Let's say for the sake of
argument you're able to finess you entry and exists so that you get around
slippage and say your actual slippgage is 25% of this value. That still
eats up your profit.
<FONT face=Arial color=#0000ff
size=2>
Also
trading so much increases your risk dramatically. The more you trade, the
more chance there is for mistakes. They can and will happen (ie. on
the pot when your system signals a trade. :-).
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>2<FONT face=Arial
color=#0000ff size=2>. JDSU is not a good day trading stock any more. It's
a bit late to jump on the JDSU daytrading bandwagon. Last January and in
99 JDSU was a GREAT daytrading stock but as it's lost value, it's lost
volatility too. No more multiple $2 to $5 swings a day. You're lucky
if you get one $.75 swing a day. I miss it a lot.
<FONT face=Arial color=#0000ff
size=2>
If you
can cut down the number of trades to < 500 total without slippage then I
would say you have the basis for a tradable system. Remember when
calculating slippage all you care about is beating Tradestation's entry/exit
point. If you can do that consistently then you can ignore slippage. This
is important because there will be times when fills are a lot worse then what
tradestation says you got and on occasion they will be better. If
you can exit at a better price then Tradestation then you can reduce
slippage. However, this will take some of the mechanical nature out
of your system. If you don't feel comfortable doing this then cinclude
slippage which will require you to trade even less.
<FONT face=Arial color=#0000ff
size=2>
There
are better day trading stocks out there. Try applying your system to say
BRCM, SEBL, BRCD, YAHOO, or any tech stock above $15-20.00. The higher the
better becuase of volatility. There are also good NYSE stocks out there for
daytrading. Perhaps if you cut down on the number of trades and
increase the number of shares you trade then the system becomes tradable.
I'd say JDSU is liqiud enough to flip 5000 shares (the max at Datek for this
price) which can reduce the effects of commish.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Brian.
<FONT
face=Arial color=#0000ff size=2>
<FONT face=Tahoma
size=2>-----Original Message-----From: BL
[mailto:blee7@xxxxxxxxxxxxxx]Sent: Sunday, December 30, 2001 3:08
PMTo: realtraders@xxxxxxxxxxxxxxxSubject: Re: [RT]
AREN'T THESE GREAT RESULTS?What assumption was used
for slippage/commissions?----- Original Message -----From:
"popeallen" <popeallen@xxxxxxxxx>To:
<realtraders@xxxxxxxxxxxxxxx>Sent: Sunday, December 30, 2001 5:02
PMSubject: [RT] AREN'T THESE GREAT RESULTS?> I have
developed a completely objective mathematical trading> system for
trading JDSU ( also does well on host of other> nasdaq issues, with no
change in system).> Results: from 6/01/01 to 12/26/01 trading 1000
shares> Profits: $ 26,144> No of trades: 1084> No of
Winners: 715> Accuracy 65.96%> Drawdown(largest peak to trough
equity swing) $1084>> The system daytrades JDSU, all trades are
sell on limits,> buy on limits (sell strength, buy weakness), all order
entry prices> are calculated in advance of the trade.> All
orders were executed if prices went thru the order e.g.,> sell at 8.45,
if market trades at 8.46 execution was met.>> Is there a better
objective, mechanical system out there than this?> Anyone
interested?>> Pope>>> To unsubscribe from
this group, send an email to:>
realtraders-unsubscribe@xxxxxxxxxxxxxxx>>>> Your
use of Yahoo! Groups is subject to <A
href="http://docs.yahoo.com/info/terms/";>http://docs.yahoo.com/info/terms/>>>To
unsubscribe from this group, send an email
to:realtraders-unsubscribe@xxxxxxxxxxxxxxxYour
use of Yahoo! Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service.
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.
|