Discussion in 'Strategy Development' started by AnomalyResearch, Sep 30, 2004.
imo the "clear conclusion" is the coeffecients are tweaked to ER2 volatility.
Y no doubt. "trending markets" implies ER2 which is mcuh more trendy than either ES or YM which are the retrace kings of all tradables.
Ultimatley -= does this show yet another example of failure of systemic trading which redcuces to nothing more than an optimized algorithm on a particular data set?
I don't know that this shows a failure of systematic trading. Actually this shows a profitable systematic trading method.
Yes, it is an optimized algorithm of current ER2 data.
The key is, and probably is for all systematic trading is knowing when to stop while you're ahead.
or moving to a new system
or combining systems
or getting out at the first "new low" drawdown..........
I suppose this could go on and on.
This system is in the red as of my calculations to date. (this month)
and just like that..........
The system is in the black month to date.
+ 4.6 according to my fills and calculations.
Nothing like a good trend day to make up for things.
(or kill things, my countertrend system had it's worst day ever yesterday, 11/19)
How is that different from discretionary trading?
God knows I dont; want start another flame war with everyone about systems trading.
My deeper point is that "methodic" trading ir isolating a susccessful setup vis a via a particular tradable is really what this comes down to.
Systemic trading "mumifies" the methodic approach and therefore carries the seeds of its own dustruction
quite a difference from my numbers...what kind of slippage are you getting\incorporating?
i'm still not convinced about applying this system to markets other than ER2.
also not convinced that the signal stop (0.33% from open) at 1 pm will work in other markets. why only 0.33% ??
but its good to know that your live trades of this system have generated profits.
have you tweaked the system to suit your trading style ?
if yes, then would you mind divulging the details ?
My stats are probably a bit too perfect.
I have been accounting for .10 slippage on the in and the out about 50% of the time.
The results that you posted with the software generated backtest are probably the worst case scenario (which is a good thing) where you had .10 slippage on every trade on the in and the out.
What are your current results ?
hallo @ all,
why donÂ´t you post in the beginning thread
here, AR intended to post only the monthly profits?
best regards Manfred
FWIW I used the same parameters on the S&P pit contract in 1989. There is no magic number of which I am aware. Varying breakout parameters yield a spectrum of results. A percentage of ATR or previous daily range also "works". Waiting for a consolidation or narrowing of the daily ranges as a filter has improved results in the past. Trailing stops tend to degrade the performance. Tight stops tend to degrade the performance. Waiting for a retrace after the breakout tends to degrade the performance. Unless you have some exceptional discretionary ability, taking early profits tends to degrade the performance. In the final analysis, if enough trending days appear and you catch and ride a significant percentage of them you may produce a profit. The ER2 is currently and recently a nicely trending market. Instruments which trend nicely come and go. In my opinion, when the market you are trading lacks trending movements you will get break even results from the trades and the loss of execution and transaction costs.
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