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Compra dun:
>I am working on a ES daytrading system. I am review the system
>performance report show that over a 3 year period, the Longs
>dramatically out perform the Shorts I am baffled by these results
>because the rules for entries and exits for the longs and short are
>the similar (albeit opposite). The market has risen and fell, gone
>through various levels of volatility and the results for the longs
>consistently beat the shorts.
This is not surprising to me. The best performing systems I have
had the privilege of testing had asymmetrical rules for long and
short. Especially with something like the S&P, where the movements
are actually asymmetric (over a long term it's biased toward longs,
and it tends to fall a bit faster than it rises).
I can't say that this applies to daytrading, but it might.
>Is this making a lot out of a little? Are there some trading systems that
>only succeed on the long side?
I've seen some EOD bond systems that can only make long trades;
trying to use the same rules for short trades make the system
perform poorly.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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