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Marshall:
What is your level of experience in the markets?
It certainly sounds like you do not have a great deal of
experience with the MetaStock programming language,
and the canned systems are not the answer. If you rush
into it, I guarantee you will be slaughtered in the markets.
You might be better off returning MS Pro, buying the
end-of-day version and investing the difference in research
material and a sabbatical to spend on research.
Regards.
----- Original Message -----
From: "Marshall Shoemaker" <marshall@xxxxxxxxxxxxxxxxxxxxx>
To: <mmanfull@xxxxxxxxx>; <support@xxxxxxxxx>; <formulas@xxxxxxxxx>; <abarker@xxxxxxxxx>;
<metastock@xxxxxxxxxxxxx>
Sent: Monday, December 17, 2001 8:53 AM
Subject: backtesting daylight only futures trading systems
> Dear Coach, Tech Support, Formulas and/or other MetaStock colleagues and
> users,
>
> I own MetaStock Professional and today,
> Monday, 12/17/01, is the last day of
> my 30 day evaluation period, so I would
> appreciate a reply within a few hours
> if possible.
>
> I wish to use your tool to trade emini
> S&P500 stock index futures contracts.
> I have used the System Tester/compare feature
> to identify 6 Equis and PS trading systems
> which appear to have been very profitable
> trading the December contract, 5 minutes bars,
> from 9/17 to 12/12.
> However, there are a few changes I need to
> make to all the systems in order to make
> the trading "context" realistic for me,
> and probably many other, futures traders:
>
> 1) I cannot hold positions overnight, thus
> only wish to enter the market after opening,
> 9:30 AM, 10AM actually being the preferred time,
> and be sure to exit it by close, 4:15PM, 4:00 PM
> being my preferred time. I understand from
> two of your tech support guys that this "market hours only"
> trading parameter requires modification to
> the system formulas, i.e. there is not an easy
> pull down menu feature which allows the user
> to throw time boundary switches.
> What would the modification
> be? How complex is it going to be to alter all
> the pre-built trading systems so that I can
> do System Tester/compare analysis under this constraint?
> Are you going to charge me for this modification?
> How much? When can you get it to me?
>
> 2) I do not expect or require to always be in
> the market. Most systems I have seen are not meant
> to keep one in the market no matter how sideways
> the action is. It appears to me that the System
> Tester set up an "always in" parameter when it
> did the compare analysis. Is this necessary?
> Or can I have each system run under the framework
> of its best results, i.e. entering/exiting/waiting
> out the market so as to make the most money, or
> do all the systems need to be "always in" in
> order to do a comparison?
>
> 3) I do not yet know how to use, but understand
> that it is fairly straight forward, i.e. doesn't
> require custom formulas, to program in stop
> losses in the system for backtesting?
> Is this true?
> How hard would it be to program in an automatic
> trailing stop loss?
>
> 4) I understand from the manual and onscreen
> help that users who trade futures contracts
> are encouraged to do points only tests
> because of the challenge of accounting for
> margin leverage in the futures contracts.
> Does this mean that it is impossible
> to do realistic, hard dollar backtesting
> of futures contract, accounting for
> commissions and margin, or that it is
> just very difficult to create custom
> formulas to do the calculations?
>
> Thank you very much.
> Marshall Shoemaker
> marshall@xxxxxxxxxxxxxxxxxxxxx
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