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Thank you Clyde for quantifying what people who understand, have
already known for a long time.
Adrian
PS Some cool software you have there ;-)
> -----Original Message-----
> From: Clyde Lee [mailto:clydelee@xxxxxxxxxxxx]
> Sent: Saturday, 6 July 2002 7:28 AM
> To: realtraders@xxxxxxxxxxxxxxx
> Cc: MedianLine@xxxxxxxxxxxxxxx
> Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to
> the Hurst cycle?
>
>
> 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
>
>
> - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> 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
> - - - - - - - - - - - - - - - - - - - - - - - - - - - -
>
> ----- 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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