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This subject is very interesting to me.
I just completed a "system" for Tradestation which allows me to specify
the time and date at which a transaction is to take place and then using
the internal capabilities of TS compile statistics about such trades.
This discussion provided an opportunity to exercise this system and to
get a measure of what the discussion was about.
I ran 5 simulations in which the pivots were picked using my LengthOfSwing
indicator with detection lengths of 5, 8, 13, 21, and 34 bar lengths.
At each of these pivots TS was instructed to buy or sell at the close of the
pivot day and statistics gathered.
Here is what I found.
Detection Total Total Trade
Length $Profit #Trades AvgLength
5 $53.26 111 5
8 $47.45 79 7
13 $43.53 55 11
21 $34.12 33 18
34 $21.06 16 35
Not much doubt that if you can trade perfectly then the shorter the
length of the trade the more money you make over the same period.
The above is WITHOUT COMPOUNDING. If compounding were
allowed then the difference is staggering.
A look at the attached graphics will add more information and a better
feel for the trades that were used.
Clyde
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105 Office: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
Details at: www.theswingmachine.com
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----- Original Message -----
From: "ira" <irat@xxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Friday, July 05, 2002 9:41 AM
Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to the Hurst cycle?
> I don't look at average holding times. It strictly depends upon which set
> of time frames that I am trading. This morning I would have been in at
967
> and out at 980 and the trade would have been for about 1/2 an hour. I
> usually wouldn't trade the first or last 1/2 hour, but this trade was
clear
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Attachment:
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Description: "8Bar.gif"
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