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Howard,
Thank you very much for your explanations. I have a
trading system on 10 min YM futures. It has such a
shape 'a period of earnings followed by a short period
of loosings'. Then it means negatively corelated.
Then ý will use crossover sytems. But my questions is
if ý comppress the equity curce to an upper time frame
, would it be better?
--- Howard B <howardbandy@xxxxxxxxx> wrote:
> Hi Veysel --
>
> The technique you are describing is often called
> "trading the equity
> curve." In order for it to work, there must be
> either a positive
> correlation or a negative correlation between
> sequential points in the
> equity series that you will be using.
>
> Assume that you are trading either intraday or
> end-of-day, computing your
> account equity daily, and want to use an equity
> curve filter based on the
> daily equity.
>
> Computing the equity curve is easy: e = equity();
>
> If daily equity data points are positively
> correlated, then winning days
> tend to be followed by winning days, and the
> category of techniques that
> will work are trend following techniques -- for
> example, the moving average
> crossover you suggest.
>
> If daily equity data points are negatively
> correlated, then winning days
> tend to be followed by losing days, and the category
> of techniques that will
> work are mean reversion techniques -- for example,
> RSI.
>
> If there is little or no correlation between daily
> equity data points, then
> trading the equity curve will not work.
>
> There are other ways to interpret equity than the
> daily equity. For
> example, you could measure the equity only after a
> trade has closed. In
> this case, the series of equity data points would
> have an entry for each
> closed trade and the filter would allow or block
> entry into the next trade,
> but it would not signal an early exit from an open
> trade.
>
> I hope this helps.
>
> Thanks,
> Howard
> www.quantitativetradingsystems.com
>
>
> On 7/21/07, veysel serbes <vserbe@xxxxxxxxx> wrote:
> >
> >
> > I'm thinking about writing a simple MA crossover
> > systems on equity curve drived from a aystem. I'm
> > thinking that this will help me to avoid big
> drawdowns
> > and to wait the market to come back to a mode
> which
> > favors my system.
> >
> > Does any body work on this? How can ý do that?
> >
> >
>
__________________________________________________________
> > Pinpoint customers who are looking for what you
> sell.
> > http://searchmarketing.yahoo.com/
> >
> >
>
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