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Hi Quant,
Private Email...
I've done a ton of modifications to Oddball... the most promising was to use
a confirm with either ADVDEC or TICK, plus not allow any trades before 11
am.
Have you found anything else useful as a filter?
Best regards,
Gene Pope
----- Original Message -----
From: "TheQuant" <thequant@xxxxxxxxx>
To: "Alex Bell" <realtraders@xxxxxxxxxxxxxxx>
Sent: Wednesday, March 06, 2002 5:53 PM
Subject: Re[3]: [RT] sp500/nasdaq
> 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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>
>
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