jeffalvinson
Registered: Nov 2006
Posts: 453 |
10-04-12 12:54 AM
Quote from oldnemesis:
Have you back-tested the system?
For how long and over what dates?
Did it make money on backtesting?
Have you forward traded it?
If so for real or on paper?
Did forward trading make money?
What is the basic underlying principle of the system? e.g. does it trade technicals like the 50 day average or what?
The system was back-tested prior to 2007 for a long period of time.
Back-tested results made money.
It has been forward tested in my cash account since July 2007 using SPY options. It has consistently made real money however the success rate of the system declined from July 2007 to May 2012 from W/L= 75% to WL= 70%.
I then spent this summer slightly enhancing the reliability and frequency
of trades by simply adjusting the system program parameters for Buy Limit Price, Sell Limit Price and Stop Price.
However none of the original system program logic has been altered since
its inception.
The system is not chart based. It is based on mathematical
trend and reversal logic formulas that have been programmed to accept the daily activity (open, high, low, close) of call and put options.
The program then outputs a trade decision to buy the call, or buy the put,
or buy both, or do not buy either. The trade decision also outputs the trade parameters (Buy Limit, Sell Limit, Stop).
I can adjusted the trade parameters but not the formula decision logic.
Jeff
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