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In-Reply-To: <200110171823.f9HINuD18310@xxxxxxxxxxxxxxx>
First of all, I've taken your idea and used it in the system so I am now
dealing with 1 and 2 contracts rather than just 1 and this has produced very
interesting results.
Secondly, leaving aside the practical difficulties of being L&S in the
market at the same time (ultimately, I was hoping the two systems would
combine to produce an overall L or S position when their paths cross but
that seems quite difficult to implement), you can make money running two
systems which can be L&S at the same time like this: Assume a L position and
the market goes up and then triggers a S position. The market then moves
down to a middle point making both sides profitable. That isn't exactly how
my system worked but sometimes that happened.
Cheers,
Ian
> > Ah! A most intriguing idea which I have implemented and which
> > works better than my original code (although not as well as
> > running the two systems concurrently).
>
> ?? As mike@xxxxxxxxxxxxxxxxx pointed out, an actual broker/FCM would
> interpret a Buy followed by a Sell as a closed-out position, even if
> you intended it to be a long in one system and a short in another.
>
> Profit-wise and in just about any other way I can think of, going
> flat in a commodity is functionally identical to being simultaneously
> long AND short in that commodity.
>
> So how could your system work better by running two systems
> concurrently (holding simultaneous long & short positions) than by
> netting out the positions?
>
> I suspect you have an error or a misunderstanding somewhere...
> Gary
>
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