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I have been trading the regular Oddball for clients on & off since
mid-November of last year. I have only one (1) client that I have traded
since Jan 1, 2002 through today, 6/3/02. The actual performance results
net of all fees and commissions are as follows:
Jan: - 1.17%
Feb: + 13.58%
Mar: + 8.52%
Apr: - 14.27%
May: + 0.01%
June (as of today's trading day - 6/3/02): + 2.65%
YTD net returns: + 7.35%
Since I have not been a CTA during this period (we are now and the D. Docs
should be back from the NFA sometime soon for the program), I did not charge
2% management fees, etc. BUT I did charge $25 a RT! Since most of you
obviously trade your own account and don't pay those high commissions, your
results would have been better. If I had been trading at a RT rate of
$12.50 "all-in" per contract (half of what I've been charging) - the net
results would have been + 14.25% net of fees & commissions.
Now here's the twist - I traded the Oddbal purely mechanically - taking
EVERY signal from 1/1/02 - 4/30/02 - holding overnight and weekends. After
the massive drawdown in April, I decided to: a) close out positions over
weekends b) wait 5 minutes after the new hour when Economic reports come
out at 10 am EST to initiate a new trade if the program signals a reversal
for the first hour of trading on the model from the night before c) closing
out positions intra-day if I observe static pricing (4 consecutive 15 minute
bars in same price range).
by doing the above, I believe it played a major factor in why I returned a
flat performance mark for May whereas per my research if not implemented
during last month - I would have drew down again much like this past April.
My own opinion is that we may continue to see this ugliness with the model
getting chopped up like April & May throughout the summer. Some ideas would
be perhaps to work on combining the Oddball Model as is with pre-calculated
support/resistance numbers and take only Oddball trades based on S/R numbers
acting as a filter? At least through the anticipated choppy summer. I'd
love to see some results if someone can program that!
Best wishes,
Mike Herron
Viper Trading, LLC.
www.vipertrading.com
----- Original Message -----
From: "Dennis Todd" <dtodd@xxxxxxxxx>
To: "Jim Johnson" <jejohn@xxxxxxxxxxx>; <omega-list@xxxxxxxxxx>; "LaciG"
<lacig@xxxxxxxxxxxxx>
Cc: "Mark Brown" <markbrown@xxxxxxxxxxxxx>
Sent: Monday, June 03, 2002 8:48 AM
Subject: RE: MB's AAMA vs OddBall, any comments?
> I tried using a standard AMA recently to do exactly that, but was not
able,
> myself anyway, to make it work better. What might come out of it is that
> Oddball may work over a longer period of time??!!?? Backtesting for me
> beyond 2000 shows Oddball result were just break even! nothing like what
has
> been seen since!
>
> That was my results anyway!
>
> Dennis Todd
>
> -----Original Message-----
> From: Jim Johnson [mailto:jejohn@xxxxxxxxxxx]
> Sent: Monday, June 03, 2002 10:35 AM
> To: omega-list@xxxxxxxxxx; LaciG
> Cc: Mark Brown
> Subject: Re: MB's AAMA vs OddBall, any comments?
>
>
> Hello LaciG,
>
> don't know why no discussion but could be that it is apparently date
> protected--will expire at end of June unless Mark gives additional
> passwords. I don't know how much effort to put into it.
>
> My very preliminary try of the system was not encouraging.
>
> it appears Mark is suggesting that smoothing the Advancing issues
> stream will give a better or acceptable signal. Christian Stremiz (?)
> contributed a similar idea a few months ago using some sort of signal
> processing approach. His system didn't seem to do as well as some
> others (BobR's for example).
>
>
> Best regards,
> Jim Johnson mailto:jejohn@xxxxxxxxxxx
>
> --
> Monday, June 3, 2002, 11:23:24 AM, you wrote:
>
> L> First off we should thank Mark for contributing OddBall and AAMA. If
> L> nothing else it made me think
> L> in new ways in systems (mechanical) trading.
>
> L> I am surprised that since MB contributed his AAMA there's been no
> L> discussion of it.
> L> Are there no reactions at all? Is it going on somewhere else besides
> L> this list?
>
> L> So far, from what I could see (with limited amount of data) OddBall is
> L> the more profitable one.
> L> Am I right, or am I doing something wrong?
>
> L> Any reactions from anyone???????????
>
>
>
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