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I wrote:
> I've emailed him a request to verify that his trades are real.
> Since this seems to have raised quite a bit of interest here and
> on the Code list, I'll report what I find out. I expect to come
> back in a few days and tell you he ignored me, or that he refused
> to prove his claims.
Much to my surprise, I received a prompt and courteous reply.
Moreover he provided a system report with 40 days' results. I am
favorably surprised.
However, out of those 40 trades,
14 are "enter at open, exit at close" -- should be totally legit.
9 are MM stops, taking a $2000 loss -- probably totally legit.
17 are TS built-in "% Trailing stops" -- danger, lookout!
(He also allots only $20 for slip/commission, which is optimistic at
best, but that's probably a smaller issue given his profit per trade.)
To be honest, I've never looked deeply into exactly what happens with
TS trailing stops, especially in "zero-bar" trades. I assume TS
looks at the maximum price reached during the bar, and uses its
"bouncing tick" algorithm to determine if the trailing stop was hit
after that high price, but that's a guess. So I can't comment on
exactly how realistic or bogus those trailing-stop trades are. Mark,
Dennis, somebody want to enlighten us?
However, even if you completely discard ALL profits from ALL those
trailing-stop trades, this still appears to be a damn respectable
system. In two months of trading, from 2/22/99 through 4/19/99, the
MOO-MOC trades made just over $60k, averaging $4324 per trade. The 9
MM stops lost $18k, $2020/trade, and the 17 trailing-stop trades made
$15k, $896/trade.
If you assume you place these trades with a competent full-service
broker, one that could at least salvage a breakeven trade out of
those 17 trailing-stop trades, you'd still end up with a net profit
of $42325 (less slippage) on those 40 trades. That's not bad at all.
If your broker could implement a reasonable trailing stop for you,
you'd do even better.
However, something is still a bit fishy here. I tried to compare the
MOO-MOC trades on his report with my S&P data for the same days, and
it did not jive. On several days I checked, where his system showed
a win, I showed the S&P going against his trade sufficient to trigger
his MM stop. I questioned him on this. He responded with an apology
and said the data was compiled by his assistant, and that he would
address my questions as soon as he could find out "what the hell she
was doing." :-)
Meanwhile, due to "such popular demand" he says he is temporarily
lowering the price from $350 to $200. Which tends to strengthen my
suspicions about "why would he sell it so cheaply??"
Will let the list know when I hear back from him.
Gary
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