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I have a friend, a bad trader but great system writer, who has written a
strategy to trade the emini. I attached the results to this email.
Actually, the results I attached are not as good as his system because I
cut down the initial capital (he uses 50 thousand, Element uses 20
thousand) to make it more comparable with "Element". It is backtested
starting 08/11/02 and I can't go any further back because it uses tic
data and that's as far back as my "ES.tik" file goes. I am also missing
about five days worth of tick data at the end of May and it skewed the
performance to the downside.
In short, I am not impressed the "Elements" results.
Regards,
John
-----Original Message-----
From: jvc689@xxxxxxx [mailto:jvc689@xxxxxxx]
Sent: Friday, September 19, 2003 10:14 PM
To: Realtraders@xxxxxxxxxxxxxxx
Cc: Trading_Systems@xxxxxxxxxxxxxxx
Subject: [RT] Mechanical Trading
Most commercial ones have not been so great this year except for a
couple
of CTA Futures Funds who have their own proprietary ones.
I like to use some leisure time to search and destroy a lot of the trash
out there preying on those who are looking for the Holy Grail [like I
still do]. But here is one I can not find a flaw...yet. There is a site:
http://www.capitalberkeley.com
They have five systems on the site for the S&P. I can trash four of them
but the one called Element, seems to good to be true. And we all know
the
old adage, if it's too good to be true yada yada yada.
Please tell me what I am missing. I think these guys are CTA's if that
makes any difference.
Sincerely,
John
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Attachment:
JimsResults.xls
Attachment:
Description: "Description: MS-Excel spreadsheet"
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