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To: Patrick Slevin who wrote (221)3/6/2000 4:21:00 PM
From: fut_trade  Read Replies (1) | Respond to of 797
 
...Look at the frequency of trades

The number of trades didn't change much, but I looked closely at the SPX during those years. There was less volatility, and the rallies were of longer duration. It was a good time to buy and hold -- so a trading model is helpless.

...you really need to re-optimize

I think the model itself needs to be reworked. Changing the parameters doesn't seem to be enough. After your suggestions on point and figure analysis, I think I can work some of those rules in with the original strategy. When a "P&F" buy/sell signal is triggered, it would be given priority over the original strategy. That would be one way to capture a slow uptrend or downtrend.