TWI

The problem with looking at demo's and then trading reality is the cost and slippage which are often more than you may imagine, particualrly when you account for the potential for complete screw ups ocassionally and fast or thin markets producing large slippage. One demonstration I have used many times is to show an equity curve of a system and then progressively add 1tick slippage to it per order and see how quickly it degrades. This is the problem when you move from trading 10's or 100's of thousands into trading 100+million. In my early days I worked for a London fund and we built up a big oats position, upon exit we sent it limit down 2 days running, still see it on the chart now. That was a lesson. I more recently worked for a multi bln fund focussed on metals. The effect that their positioning would have on flat price was substantial and certainly far greater than most algo systems could sustain. The interesting point here was that their orders would tend to trigger the algos in their direction and it seems there can come a point where throwing huge volume behind and order can actually create a cascade where you benefit. For most of us I think that execution is where the money is made and lost

I think the system has a fair methodology considering that the market after a sell off tends to retrace some of the loss after the close. In the recent environment it has struggled as the volatility has increased yet the stops and profit targets I employed were not vol adjusted. I have not tested recently over a range of values as I do not run this live at the current time (have a vol filter and es vol is simply off the scale for me) but i will keep my eye on it and when things settle down I will switch it back on. I would not like to think this is the only system I had and I think that if you make your living trading as I do you need to employ a large number of methods in order to create a smoothed return over time.

It worked less well in the current environment but equity curve used to be excellent.

If you have a strategy and lay it out in all its detail I can almost gaurantee that most people will be totally incapable of trading it. Particularly after the first loss. It is so psychologically hard to take other peoples draw downs.

There seems to be not much in here on strategy specifics. Here is es one. If exchange time > 1500 and C < (H+L+C)/3 then buy C limit Sell next day at 0830 Put some sort of stop and prof target in there and hey, you get decent equity curve. Any comments?

Thanks, this is great news for me as I was awarded many thousands of these when i worked for the comapny and assumed I had lost it all. This is little compensation but always better than nothing