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Here is a S&P system with a $1 stop (effectively $25, one tick) :)
Obviously, you would lose nearly every trade in the S&P with a 1 tick stop,
but given the nature of bar charts (OHLC is the ONLY data TS4 sees in a
given bar), TS will let you "win" every trade with a trailing stop if the
floor (or profit target) is tight enough to capture the range beyond your
entry. Meanwhile, in real life, intrabar movement would have stopped you
out.
Bouncing ticks tries to remedy the situation, but IMHO only confuses the
issue. TS help and the manual cover this in detail.
Try your system with no stops, and see if it is the "system" or the stops
that are making money.
Bill Wynne
TradeWynne@xxxxxxxxxxxxxxx
>From: "Jerry & Cora" <jerryandcora@xxxxxxxx>
>To: <realtraders@xxxxxxxxxxxxxxx>, "L_Omega" <omega-list@xxxxxxxxxx>
>Subject: I dont't believe it, But this is what trade station is giving me.
>Date: Wed, 26 Jul 2000 13:36:20 -0700
>
>Seems to good to be true. I am tying to write a simple system in trade
>station. It is giving very good results with this one being one of the
>better. Since joining this group I dont trust trade station but wonder if I
>could have inadvertently set it up to give unreliable but encouraging
>results. I have been tweaking and optimizing the system and get good
>results, This report is on data not optimized except on other data.
>
>
>
> TradeStation System Report - bigfoot1 F-Daily (12/05/1997-11/05/1999)
>
> Performance Summary: All Trades
>
> Total Net Profit $177,310.00 Open position P/L $0.00
> Gross Profit $182,460.00 Gross Loss ($5,150.00)
>
> Total # of trades 195 Percent profitable 53.00%
> Number winning trades 103 Number losing trades 92
>
> Largest winning trade $1,910.00 Largest losing trade ($120.00)
> Average winning trade $1,771.46 Average losing trade ($55.98)
> Ratio avg win/avg loss 31.65 Avg trade (win & loss) $909.28
>
> Max consec. Winners 7 Max consec. losers 5
> Avg # bars in winners 0 Avg # bars in losers 0
>
> Max intraday drawdown ($460.00)
> Profit Factor 35.43 Max # contracts held 1,300
> Account size required $460.00 Return on account 38545.65%
...snip
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