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Hello Alex,
Wednesday, March 06, 2002, 4:09:20 PM, you wrote:
AB> Hello TheQuant,
AB> looks like modification of oddball with some filtering added? have you
AB> tested it on a longer periods, say 2-3 years of hourly data? pure
AB> oddball suffers big drawdowns and flatting periods.
Yes the modified model trades less and makes more, throughout the
entire history from 87. Over 3000 trades hypothetically and now about
50 trades in real time. However even the performance of the original
is tolerable at some point when you have made enough. I know
personally a guy who took 70 and run in up to near 1,000,000 last
year, increasing from one contract to 7. Largest drawdown 90,000.
AB> Best regards,
AB> Alex mailto:alex_bell@xxxxxxx
--
Best regards,
TheQuant
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