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Guy,
On Mon, 6 Nov 2000 18:08:47 -0800, you wrote:
>Well, we have another conflicting situation and we decided to play safe. We
>closed out all of our S&P futures at a profit and went to the sideline
>because we got a SP39 short term sell signal for tomorrow morning, while we
>still have a Buy signal on our intermediate term signal..
Did I get it right, that you work with an individual / subjective
combination of a _short term_ (i.e. high-frequency HF) and an
_intermediate term_ (i.e. low-frequency LF) signal?
My 1 cent: I also use a HF signal (for better "timing") and a LF
signal (for better "strategy"). Overall results are much better, when
I use a systematical combination of both signals:
The LF signal has 3 states: "Stay out", "Enter or Leave", and "Stay
in". The HF signal then does the "timing": HF "Enter" is only valid
during LF "Enter or Leave" and LF "Stay in", whereas HF "Leave" is
only valid during LF "Enter or Leave" and LF "Stay out".
Including these "rules" into the system optimization process, has a
lasting positive influence on my results. - Just my 1 cent ...
mfg rudolf stricker
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