Sister QQQ's 15 minutes Trading System

Brainteaser

原帖由 biorjin 于 2008-12-5 00:08 发表 Have you got a chance to try Kwik POP's indicators before?

偶听说过Kwik pop before
但是没有用过, 更没有机会backtest

请宝马teach us more about this indicator.

Brainteaser

您可能也把entry point set 成open了,那个是默认的

zero

OK, i know why you got different result. You seems not exit at EOD?
[ 本帖最后由 zero 于 2008-12-5 01:31 编辑 ]

EarthJade

i dont' get it why BMW is getting those results. I just programmed it using matlab and backtest the SSO, the return is about 110%. fairly good. I might try to run an optimization to get a better parameter setting.

zero

with the same way in your trade

EarthJade

oh, you mean he used cross for exit too? You mentioned cross is only for entry, EOD is for exit.

QQQ

YES, all trades are EXIT at EOD. no over night holdings. There were days that has no trade at all because no cross happened.

zero

刚开始以为是我的错， 吓的出了一身冷汗。谢谢各位大老指导。偶已后发贴前一定子细检查。 不过可能还有错。。。

zero

谢谢!

EarthJade

hehe, interesting: SDS profit% is 104%, SSO is 115%, QQQQ is only 18%. I guess this system is working. let's see how optimization will work.

benshou

zero, is your simulation buy/short same amount of shares per trade, or do you use all available cash?

zero

as the underlying price change day to day, so i use the same amount cash for all trades, say $100000. It can buy 1000 shares when SDS=$100, but trade 2000shares if SDS drop to $50

xiaobailong

原帖由 zero 于 2008-12-3 12:49 发表 小白龙 EMA16 cross above EMA34, long, exit at eod EMA16 cross below EMA34, short, exit at eod The above result does not include commission. Total commissions are about $3-5k ...

多谢啦

xiaobailong

原帖由 zero 于 2008-12-5 01:29 发表 as the underlying price change day to day, so i use the same amount cash for all trades, say $100000. It can buy 1000 shares when SDS=$100, but trade 2000shares if SDS drop to $50

zero

or, if account size is $10000. It can long/short 100 shares when SDS=$100, but long/short 200shares if SDS drop to $50

benshou

原帖由 zero 于 2008-12-5 01:40 发表 or, if account size is $10000. It can long/short 100 shares when SDS=$100, but long/short 200shares if SDS drop to $50

Thanks.

jilier

... EMA16 cross above EMA34, long, exit at eod EMA16 cross below EMA34, short, exit at eod The above result does not include commission. Total commissions are about $3-5k ...

Do you have an exit criteria for stop gain? For example,. if your trade gets 8% or 10% gain, then exit. I ask this question because the EMA16 may cross above EMA34 and then cross down before the market close. This may especailly happen in a range day. So you basically need higher volatile to let this system to work better. That may be the reason why  back test of SDS and SSO is better than QQQQ. JM2C.

zero

exit at either EOD or EMA cross on which come first. Yes it need volatility

jilier

Thank you!

biorjin

I see. She used EOD to exit. That is interesting. So it is basically a hit and run and not a trend follow system.

I should try EOD on my systems too. thanks Zero 

 

原帖由 zero 于 2008-12-5 12:33 发表 exit at either EOD or EMA cross on which come first. Yes it need volatility