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Strategies & Market Trends : Dow Jones Futures -- A free paper trading service -- Ignore unavailable to you. Want to Upgrade?

To: David who wrote (466)	4/14/2000 11:06:00 AM
From: Patrick Slevin	Read Replies (1) \| Respond to of 797

Depending on how you derived your system, it should not be difficult to derive appropriate Stops. After creating the systems I found it was a rather brief process to experiment with Stops to find a> optimized Profits b> minimized Losses c> maximized Percentage Wins d> minimized Drawdown e> maximized ROI, Profit Factor In your case, you can backtest the DJIA for years if you like. What I have found however, is when testing the SP Futures my results vary to the SP Cash. For differing reasons. First, I can test the SP Cash for years but on the SP Future I have to use a "Continuous Contract" which skews the results of the SPX.....perhaps due in part to Premium Burn, overnight action that causes Gap Opens, who knows. So when a Contract Rolls I have to re-test for optimal Stops. Plus, the further back you go on the Cash (whether DJIA or SPX) the more murky it gets. So I tested my Cash Stops based on data dating from Jan 1999, and will probably re-evaluate them every 6 months. My Cash Stops are based on trailing points, however. So if you hit on stops that are percentage-based or something other than points then it's possible that backtesting for longer periods of time won't be counter-productive. Whatever you end up with, good luck with it.

To: David who wrote (466)	4/14/2000 12:04:00 PM
From: Patrick Slevin	Respond to of 797

I tried to download all the systems and their positions but it seems I can only copy the report as a .gif file. Anyway, there are 7 systems. DSP Short from 1472.50 (the one I'm trading, I was filled on a bounce it seems, at 1473) DSP Short from 1496.80 SP Short from 1452 SP Short from 1519 SPX Short from 1493.42 DND Short from 3605 US Short from 98'12 Never saw them all short at the same time before. The Daily SPX one I was posting here went Short too early and was Stopped.....but like your system it's technically still Short as well. Seems that one isn't a bad Leading Indicator, it often takes a position and gets stopped just before a solid move.