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Norman,
You raise an important factor Norman. What Clyde's research showed
was the theory. In practice you would do exactly as you say and build
in a safety factor, so for example fit you could reliably trade the 5
Swing setting, try using the 8 swing for safety.
There is another important issue which is never discussed. With the
Small profit, high turnover systems, yes they might have a high chance
of going belly-up, but through statistical analysis your also able to
more reliably determine when they exactly have gone belly up. You have
ZERO chance of doing this in a medium/long term system, before you have
already run out of money.
Adrian
> -----Original Message-----
> From: Norman Winski [mailto:nwinski@xxxxxxxxxxxxxxx]
> Sent: Saturday, 6 July 2002 8:47 AM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: HOLDING PERIOD...was RE: [RT] What happened to
> the Hurst cycle?
>
>
> Clyde,
>
> That is a might big IF. I would rather design a trading
> methodology that has a large tolearnce factor and the
> assumption my trading stinks built into it. That way, if my
> trading stinks, I can make money. If my trading is slightly
> better than my low expections, I can make lots of money etc.
> The mistake that many make is designing an approach that
> demands perfect. This is like building a bridge or buidling
> with zero tolerance. It is only a matter of time before the
> structure fails. How many traders actually ever come even
> close to perfection let alone 70-80% winning percentage? Then
> there is the win loss ratio to consider. Anyway, it only
> takes one wrong assumption to send one into world of
> delusion. Back in college my econ prof told a story about
> three guys, a biologists, an engineer, and an economist ship
> wrecked on a tropical island. "How will we ever survive?",
> the question was posed. The biologists said that using his
> unique knowledge of plant and animal life, they would be able
> to identify food sources on the island and eat for some time
> to come, until help could arrive. The engineer said that he
> would use tropical fruits to extract citric acid, coconuts
> for a shell to make batteries and a radio to signal for help.
> The economists said, (before cell phones) "GIVEN that we have
> a telephone, why don't we call home and get some help". The
> point here is that telephones on deserted islands are not
> given and neither are trading profits. You may assume
> yourself right out of existance.
>
> Cheers,
>
> Norman
>
>
> ----- Original Message -----
> From: "Clyde Lee" <clydelee@xxxxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Cc: <MedianLine@xxxxxxxxxxxxxxx>
> Sent: Friday, July 05, 2002 5:27 PM
> 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
> >
> >
> >
> > To unsubscribe from this group, send an email to:
> > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> >
> >
>
>
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