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I have an interesting idea that I'm working on and would like to know if
anyone else is thinking along the same lines. I devised a trading system that
generates trades that are based on cash. Being that cash has no time
expiration there would be no switching of contracts after every quarter. I
have noticed that for some reason there can be a drastic increase or
reduction of profits varying from different contract months using the same
system.
For my test I used the SPX, OEX, and NDX indexes. In all cases
(depending on the time frame) the system generated a decent profit.
What I need to know is how much of a time period would be needed to
qualify a system as a good one? The current test was done with 95 days of
tick data and profit amount generated is based on index points and not
dollars. So for example if someone wanted to trade the futures off of the SPX
signal he could do so. If someone wanted to trade options, he could use the
OEX signal. The actual profit would depend on each person and the contract or
option size he wanted to trade.
Current best results
SPX 373 with 38 trades (from 5/11/99)
OEX 189 with 108 trades (from 5/11/99)
NDX 434 with 105 trades (from 9/07/99)
Morris
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