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I haven't really been following this thread, but I did look at the
spreadsheet.
I have a few observations.
1) This system has about 45 different entry signals. Sounds very complex.
Here are the signals and the profit for each of them.
BandLE Total 7,225
BandSE Total 1,525
BBandLE Total 2,175
BBandSE Total 2,725
BBBuy Total 1,125
BBndSE Total 2,838
BBuy Total 11,825
bbx Total 4,013
Breakdown Total 2,238
Breakout Total 2,488
BSBuy Total 32,688
BSell Total 7,175
early Total 1,025
EBuy Total 4,088
eGapDn Total 913
eGapDnn Total 913
ERBBuy Total 663
gap Total 6,525
GapDn Total 3,713
GapDNn Total 3,925
gapp Total 1,613
GapUp Total 2,650
HKSell Total 2,788
IBBBuy Total 5,050
IBBMBuy Total 663
IBBSell Total 9,625
IBLSell Total 3,350
IBMBuy Total 2,550
IKBuy Total 27,163
KBuy Total 5,713
KL Total 21,213
KSE Total 1,263
KSel Total 5,350
Lbbsell Total 1,000
LBBuy Total 6,738
LBSell Total (375)
LKL Total 9,963
RBBuy Total 4,375
RBSell Total 9,613
SSell Total 238
ssx Total 6,450
test Total 14,313
UBSell Total 988
UKS Total 6,200
Grand Total 248,288
2) This system trades 24 hours a day. You have to be prepared to stay
awake.
3) This system looks like it uses minute or tick bars. So signals could
come
frequently or unexpectedly. It could be sensitive to the data feed. i.e. a
different
data fee could give different results.
4) Love the results - total profits, %profitable, and average per trade.
5) Don't think I could trade it for very long or at all due to the amount of
market
watching required.
Paul
----- Original Message -----
From: "JSGallagher" <JSGallagher@xxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Monday, September 22, 2003 9:52 PM
Subject: RE: [RT] Mechanical Trading
> Dear John
>
> Before I return to my stealth reader mode I owe you some answers to your
> very valid questions.
>
>
> 1. To the point, where do you see a flaw in Element?
> The profit factor is too low. I don't think anyone will ever
> get the results a performance report gives, due to slippage, bad fills,
> bad luck, and just plain stupid trading. From experience, I know I
> don't want to start trading a system where the report says (on a monthly
> basis) less than 50 percent of my trades are profitable.
>
> 2. Is Jim trading his system and is it walking forward however you
> say it is better than Element?
> Jim is trading his system. Like I said in my first email, Jim
> is a great system writer but a lousy trader. Actually, he is kind of
> funny. When the system puts on a trade he is "nose to the screen" and
> way too emotionally involved with each tick. Jim is the finest
> technical analyst I have had the pleasure of meeting. When he is in a
> trade he gives me all sorts of reasons it won't work - "the Bollinger's
> are moving in, the fibs have not met the target, the r-levels are moving
> the wrong way, it's Monday, etc.,". Jim has a real problem pulling the
> trigger, even with a system as robust as this. He is currently working
> on totally automating the system which is difficult because it uses tick
> data and you can't trade the ES - you have to trade a specific month.
> With TradeStation you can't put two tick charts on the same workspace so
> his creation is still in process.
>
> 3. Are you trading it? If not why not?
> Not yet. Two reasons. I am a stock trader and have been very
> successful until March 18, 2003. On that fateful day I got emotionally
> involved with AMZN and EBAY on the short side. In my mind those two
> overpriced pigs with wings could go no higher. As they rose, I
> continued to short. I finally covered but we were well into summer. I
> am still holding onto some short positions, just a few bucks ahead of
> the margin police, and am waiting for this son of bubble to turn around.
> Second reason, like both you and Charles Meyer wrote, "Have you ever
> seen something that looked too good to be true"? I watch this darn
> system, real time, almost every day, tick by tick, waiting for it to
> fall apart and it hasn't. It takes trades I never would have taken and
> makes a profit. I would like to see the system backtested in a real
> bearish market but with the new TradeStation 7.1 there doesn't seem to
> be anywhere to get old data. Like I said, this thing has only been
> backtested since August of 2002.
>
>
>
> 4. If it is better than Element and walks forward, there are a lot of
> people I know who would like to make your friend Jim richer by
> leasing it.
> As for the walk forward, like I said, I watch it daily. Today,
> September 22, 2003, it closed a short position from Friday at a profit
> target ($930.00) and is short 4 contracts from this morning. I will
> admit Jim occasionally tweaks it, usually some obscure technical
> epiphany he has at two AM on a Sunday. Yes, it optimized, in my opinion
> overly so. But it does work profitably, though not nearly as well, on
> the NQ and some stocks, like MSFT and ORCL, where there are enough
> trades in the day to get a lot of tick data. I asked Jim if he wants to
> lease or sell it, and he seems a little paranoid about it. He doesn't
> want to see a firm get a hold of it because "once everybody knows, it
> won't work". He was kind enough to share it with me because I helped,
> very little, with some of the actual coding. Plus, there were
> differences between his machine using TradeStation6 and mine using
> TradeStation7.
>
> Last, but not least, I am attaching his results for the way he trades
> it. Unlike Element ($20000 and 5 contracts) Jim uses $50000 and carries
> up to 12 contracts, one at a time from different signals. I believe the
> report shows one loosing week since August of 2002. In my original
> email I was trying to come as close as I could to Element's capital and
> contract requirements.
>
> Your post was taken as constructive and only showed the thoughts of an
> intelligent and concerned trader.
>
> Prosper.
>
> John
>
>
>
>
>
>
> To unsubscribe from this group, send an email to:
> realtraders-unsubscribe@xxxxxxxxxxxxxxx
>
>
>
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>
>
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