Would you trade this system?

Discussion in 'Strategy Development' started by funky, Dec 12, 2003.

  1. funky

    funky

    this is a 60-min bar system that holds overnight. i am using a simple crossover system, except the indicator is something that i have been working on and is proprietary.

    just wanted to know what you thought, because i am very new to strategy design. i haven't attempted to optimize yet. i was only able to test as far back as esignal let me (6 months).

    traded 2000 shares of qqq at a time. $40 commission per round trip.

    thanks :) there will be more to come.
     
  2. funky

    funky

    here is the trade analysis
     
  3. I can't view those pdfs
     
  4. funky

    funky

    do a 'save as...'
     
  5. not without lots of forward testing, or at least portfolio testing (other equities than the QQQs), and without reoptimization for each equity.
     
  6. No.

    Consistent bull market. Not enough data.
     
  7. Turok

    Turok

    No

    Backtesting a long system on these last 6 months tells you nothing more than what might have been.

    JB
     
  8. ...a recommendation. When you get it optimized, and if it works trading the cubes, trade it on NQ. I have tried testing profitable NQ strategies on QQQ, but they do poorly because of all the price static. Based on that, I would suspect that something which WORKS in QQQ would be fabulous in NQ. Also your $40 commission would buy you the equivalent of 3600 QQQ shares with 8 NQ's, and the fills will be better.
     
  9. funky

    funky

    here is one of the final systems. basically, i added the other half of my theory to the system, and it really makes a big difference. the previous system was a bit clumsy, but i was just trying to see if i was in the right ballpark.

    let me know what you think. i like the fact that it only traded 88 times the last 6 months. the results were better than expected.
     
  10. funky

    funky

    and the updated trade analysis.
     
    #10     Dec 12, 2003