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Strategies & Market Trends : DAYTRADING Fundamentals -- Ignore unavailable to you. Want to Upgrade?

To: KymarFye who wrote (14199)	9/22/2001 2:13:05 PM
From: fut_trade	Read Replies (2) \| Respond to of 18137

"Just to give a simplistic example from the stock world, if I develop a system that happens to buy in and around October '99 and sell a few months later, I can accumulate hundreds ir not thousands of excellent breakout trades that, for all intents and purposes, are the same trade." Yes, that is a very good point. I've restricted my data to 20 years of historical tick data for the SP futures contract. A trade is opened and closed on the same day. A minimum number of parameters is desired, and they must not be strongly coupled. Given these restrictions, I think a robust dependable system can be achieved. "even to the extent of creating synthetic data" I would never use synthetic data. "or, put differently, that they tend to regress to a mean of minimal profitability." I believe that technical trading is a hard fought battle against randomness/chaos combined with commissions and slippage. The only profitablility in the long run is modest. In a small subset of data one might achieve high profitability, but in the real world, over hundreds or thousands of trades, one will achieve results consistent with the model results. Some of the time the "hot" traders will rack up some nice gains, but they will give some of it back next month. I would like to see a study of the drawdown history of "discretionary traders". "Lately, for instance, I've been testing, using, and even discretionarily tweaking a system designed to enter positions on pullbacks in the day's developing trend and to close them either at the end of the day, the early conclusion or reversal of the trend, or at a maximum acceptable loss point." I think some discretionary traders watch a major index for a break out and then pick a few stocks within the index having a high relative strength. That should be fairly easy to model. "weak results theoretically day-trading MSFT, and consistently mediocre results theoretically day-trading MER" One thing about trading stocks is that they are so much more volatile than indices. One can have tremendous profits, but also large drawdowns. I think indices control risk a little better.