That sounds pretty neat. To the degree that divergence is caused by the added random noise, I agree that adding more averaging should help filter that. The money management strategy sounds interesting also. I use volatility-adjusted stops now, and I think they work well. I had been thinking in a slightly different direction re modifying the number of contracts traded. Basically, I'd like to trade more contracts when I have more confidence in the signal, and less at other times. The big question, of course, is how you decide this. One option is to use the signal strength as an indicator, but that would have to be closely studied. I'm a bit skeptical about how much it would help, but it's worth a look. Another option is to use multiple independent systems (some Dakota and some Profit, for example) and to trade more contracts when they are all in agreement. That's the way I'm leaning now. Or maybe both of these ideas could be combined. And, of course, there's also a bunch of other ways to skin this cat.
Signal for Mon Nov 3, 2008 MOC: Short Trading Instructions for Mon Nov 3, 2008 None Open Position: Short 1 ESZ8 @ 961.00 Closed Net Profit / Loss: $3,995.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James
Signal for Tue Nov 4, 2008 MOC: Out Trading Instructions for Tue Nov 4, 2008 Buy 1 ESZ8 MOC Open Position: Short 1 ESZ8 @ 961.00 Closed Net Profit / Loss: $3,995.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James
Signal for Wed Nov 5, 2008 MOC: Out Trading Instructions for Wed Nov 5, 2008 None Open Position: None Closed Net Profit / Loss: $1,860.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James
Signal for Thu Nov 6, 2008 MOC: Out Trading Instructions for Thu Nov 6, 2008 None Open Position: None Closed Net Profit / Loss: $1,860.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James
Signal for Fri Nov 7, 2008 MOC: Long Trading Instructions for Fri Nov 7, 2008 Buy 1 ESZ8 MOC Open Position: None Closed Net Profit / Loss: $1,860.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James
Signal for Mon Nov 10, 2008 MOC: Out Trading Instructions for Mon Nov 10, 2008 Sell 1 ESZ8 MOC Open Position: Long 1 ESZ8 MOC Closed Net Profit / Loss: $1,860.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James
Signal for Tue Nov 11, 2008 MOC: Out Trading Instructions for Tue Nov 11, 2008 None Open Position: None Closed Net Profit / Loss: $1,085.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James
Signal for Thu Nov 13, 2008 MOC: Out Trading Instructions for Thu Nov 13, 2008 None Open Position: None Closed Net Profit / Loss: $1,085.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James
Signal for Fri Nov 14, 2008 MOC: Out Trading Instructions for Fri Nov 14, 2008 None Open Position: None Closed Net Profit / Loss: $1,085.00 Note: ($amount) indicates a loss. Hypothetical trading history is attached. Kind Regards, James