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>Adding costs does not make it all that bad. With $20 commission and
>0.5 big points slippage trading 250 "shares" of $SPX the results are
>still decent (still forgetting that you cannot actually trade the
>$SPX)
This is exactly the kind of situation Dennis pointed out
the other day. Since this system enters on stops, and exits
on the previous day's close, many re-entries would occur on
the SPX open (at a price which may not exist in reality).
Both the regular Oddball and the over-night version would
not be *as* vulnerable to that problem. I can understand
not wanting to hold over-night, but the e-minis allow
you to use stops and/or stop limits nearly 24 hours a day
(Sunday PM to Friday's close).
Bob:
Thanks for being so generous!
BW
WARNING: Trade at your own risk! Commodity trading can be
risky and is not appropriate for everyone! The information
presented is for informational purposes only. Investment
in futures involves a high degree of risk, your investment
may fall as well as rise, you may lose all your original
investment and you may also have to pay more on the original
amount invested. Consult your broker or advisor prior to
making any investment decisions. Past or simulated performance
is not a guide to future performance.
>From: Bob Fulks <bfulks@xxxxxxxxxxxx>
>To: <omega-list@xxxxxxxxxx>
>Subject: Re: Oddball modification
>Date: Fri, 22 Mar 2002 13:36:47 -0500
>
>At 1:02 PM -0500 3/22/02, [private message] wrote:
>
> >Adding reasonable margins for commish and slippage would really hurt.
> >
> >BTW the ledgend on the accompanying chart has a pricing error possibly,
>or did
> >the result really yield a 3% return on opening equity?
>
>The equity curve in TradeStation assumes a starting account size of
>$100,000 so trading one share of $SPX showed little absolute dollar
>profit. The shape of the curve was the important matter. Trading 250
>"shares" which would be about the size of the big SP futures
>contract, would generate 250 times the profit (sill assuming no
>costs). (I like to use one share since it tells me the number of
>points of profit and trade size in points.)
>
>Adding costs does not make it all that bad. With $20 commission and
>0.5 big points slippage trading 250 "shares" of $SPX the results are
>still decent (still forgetting that you cannot actually trade the
>$SPX):
>
>Inputs: BZ(3),SZ(1), Len(1), Offset(0);
>
>If RateOfChange(close of data2,7)>BZ then buy at H[Len] + Offset stop;
>If RateOfChange(close of data2,7)<SZ then sell at L[Len] - Offset stop;
>
>4 years ending 12/31/01
>$SPX cash index as data1 (BigPointValue = 1) trading 250 shares
>$ADV NYSE advancing issues as data2
>60 minute natural hour bars
>$20 commission + $125 slippage
>Close trades at end of day
>
> Inputs
> 3,1,0,0
>
>Net profit $547,000
>Trades 1340
>% Prof 50%
>Ave Trade $408
>PF 1.49
>DD $39,000
>ROA 1402%
>Sharpe 2.33
>
>Bob Fulks
>
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