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Strategies & Market Trends : Tech Stock Options
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To: Arik T.G. who wrote (29230)11/23/1997 11:20:00 PM
From: Tom Trader  Read Replies (1) of 58727
 
Arik--on the cross-over system

I tried a first pass on the cross-over system that you suggested using the SPX; I tried it over a period from January 90 to date and also from January 1994 to date.

In the case of both periods the system produced impressive results for trades on the long side but lost money when it came to trades on the short side; the net profit was good for the period from 1994 but not impressive for the period from 1990.

If you intend using the system you may wish to consider using a filter to help you establish a trend and then take only the trades that are in line with the trend. I did not test it with any filters but my experience with other systems that I have worked on, is that filters can help improve results.

Regards
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