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Michael E. Strupp wrote:
>
>
> My question for everyone out there is -- given these results and ANY
> familiarity you may have with trading soybean futures, HOW WOULD YOU TRY
> TO IMPROVE THIS SYSTEM, IF IT CAN BE IMPROVED AT ALL (i.e., if there is
> any hope)?
>
> Or, since this system relies on trading buys or sells at the market open
> and close, are these results, in your opinion, a fiction, given
> slippage, etc.?
>
> Any feedback would be greatly appreciated!!!
>
> Michael Strupp
> Chicago, IL
>
I would be very cautious that you did not curve fit this data. The
extremely high winning percentage is usually a sign of curve fitting.
To check this you should test several other markets. A system such as
this, if robust, will work across many markets. You need to check the
system on 'virgin' data, not including the data you used to create the
system.
I think the system would return much more if you used larger profit
objectives. The winning percentage will drop, but your current
avg.W/avg.L ratio leaves something to be desired. High W% low W/L ratio
systems usually do not work in real time. They will often work for a
long time and then blow up for six months leaving the user broke and
bewildered. Perhaps you could use your entry and follow with a
trailling stop. Check reversing or adding on new signals and only using
the signals when you are flat.
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