Roscoe, "my" elementary sytem had a 5 ATR initial stop and it DID go long & short. When I tried either long or short only the results were totally crappy.
Thank you alp for the threads.
Search found 11 matches
- Mon Feb 23, 2009 1:24 pm
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16620
- Sun Feb 22, 2009 9:29 pm
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16620
Hello Roscoe, Thanks for your ideas. In my search for utter simplicity, the system enters on a 500 day breakout and exits on a 250 day high/low, once it gets beyond the initial 5 atr stop. The instruments are highly liquid common stocks which trade more than 250K shares/day and are at least $5/ shar...
- Fri Feb 20, 2009 9:18 am
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16620
Query to the System Design Community
The System: Enters on Breakout of "X" Day H/L, 5 ATR Stop,Trailing Stop of "Y" days, risks 1%?Trade, uses no leverage. The Results: Wins on 30% and Loses on 70% of trades. Winning Trades make 6X dollars of losing trades. Expectation 1.15. Winning years 17%, 38%, 36%, 20%, 15% (A...
- Mon May 26, 2008 7:10 am
- Forum: Testing and Simulation
- Topic: Conceptualizing ideal bet size
- Replies: 4
- Views: 4972
- Thu May 15, 2008 6:26 am
- Forum: Testing and Simulation
- Topic: Conceptualizing ideal bet size
- Replies: 4
- Views: 4972
Conceptualizing ideal bet size
Hail Traders! Wondering if anyone can explain apparently wide fluctuations in test results over various baskets of instruments, over different time frames and with different start dates? For example, if a sytem consistently has 2 winners for every 3 losers and the winners are roughly 3 times the siz...
- Tue Apr 15, 2008 8:27 am
- Forum: Testing and Simulation
- Topic: Moving Average Ratio Optimization Research
- Replies: 7
- Views: 5450
Thank you Sluggo
I appreciate your constructive guidance. I did take a short peek at Kaufman's "monster" book one time. I will seriously consider buying it.
$80 online is much better than $125 at the store!
$80 online is much better than $125 at the store!
- Mon Apr 14, 2008 1:14 pm
- Forum: Testing and Simulation
- Topic: Moving Average Ratio Optimization Research
- Replies: 7
- Views: 5450
- Mon Apr 14, 2008 12:59 pm
- Forum: Testing and Simulation
- Topic: Moving Average Ratio Optimization Research
- Replies: 7
- Views: 5450
Moving Average Ratio Optimization Research
Does anyone know of any data or have an opinion on the "best" MA ratio parameters? In other words, if the short MA is X should the Medium MA be 2 times or 5 times X (for example)?
Thanks for any input.
Thanks for any input.
- Fri Apr 11, 2008 5:19 am
- Forum: Testing and Simulation
- Topic: What to make of this chart?
- Replies: 19
- Views: 14093
Look at the whole chart, not just the recent months
It seems to me that this would be a very difficult system to trade from a psychological standpoint, due to what I perceive to be extreme volatility. In round #'s if you can be up or down more than 10-20% per month your account could be severely damaged pretty quickly. If you can be up 5 months strai...
- Thu Apr 10, 2008 1:29 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51906
Very convincing data
Thank you both for sharing. I appreciate it.
- Thu Apr 10, 2008 11:53 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51906
Long term trend following on equities a fool's game?
Should someone starting out testing lttf systems NOT start with stocks? In other words, are stocks the hardest instruments to trade profitably using lttf methods? If so, then futures or currencies? The reason I ask is because no matter what parameters I use I don't get good results. Using the most l...