New system
I've made a number of changes which should make the performance of the system much better than the other two tested.
Unfortunately, the new rules confuse me even more than the previous ones.
I'll need a clarification again.
If the sell filter is in effect, buy when the CCI rises above -100.
If the sell filter is in effect, buy when the CCI rises above 0.
If the buy filter is in effect, the CCI must rise above -240 and -100 to generate a buy.
Buy if the 20day EMA crosses above the 200day EMA.
These don't seem mutually exclusive. What happens if the Sell Filter is in effect and CCI rises above -100, then (with the Sell Filter still in effect) it rises above 0 (before triggering a Sell signal), and finally the 20-day EMA crosses above the 200-day EMA? Do you take 3 Long positions, a new one each time? How do you decide which one to sell when?
Also, does the filter always use the $COMPQ only - or does it use the underlying security that you're trading? For instance, if you are trying to apply your system to the SPX instead of to the COMPQ, would you still use the $COMPQ then for the filter?
Finally, by
If the buy filter is in effect, the CCI must rise above -240 and -100 to generate a buy.
don't you actually mean
"If the Buy Filter is in effect, the CCI must first fall below -240 and then rise above -100 to generate a Buy."
?
Again, sorry to be nitpicky, but in order to program a trading system in a computer (which is needed in order to test it), the rules must be specified very precisely and unambiguously. Alas, computers lack the DWIM (Do What I mean) command.
BTW, I'll be on a business trip the next week, so I probably won't be able to continue this discussion until I am back.
Regards,
Vesselin
I've made a number of changes which should make the performance of the system much better than the other two tested.
Unfortunately, the new rules confuse me even more than the previous ones.
I'll need a clarification again. If the sell filter is in effect, buy when the CCI rises above -100.
If the sell filter is in effect, buy when the CCI rises above 0.
If the buy filter is in effect, the CCI must rise above -240 and -100 to generate a buy.
Buy if the 20day EMA crosses above the 200day EMA.
These don't seem mutually exclusive. What happens if the Sell Filter is in effect and CCI rises above -100, then (with the Sell Filter still in effect) it rises above 0 (before triggering a Sell signal), and finally the 20-day EMA crosses above the 200-day EMA? Do you take 3 Long positions, a new one each time? How do you decide which one to sell when?
Also, does the filter always use the $COMPQ only - or does it use the underlying security that you're trading? For instance, if you are trying to apply your system to the SPX instead of to the COMPQ, would you still use the $COMPQ then for the filter?
Finally, by
If the buy filter is in effect, the CCI must rise above -240 and -100 to generate a buy.
don't you actually mean
"If the Buy Filter is in effect, the CCI must first fall below -240 and then rise above -100 to generate a Buy."
?
Again, sorry to be nitpicky, but in order to program a trading system in a computer (which is needed in order to test it), the rules must be specified very precisely and unambiguously. Alas, computers lack the DWIM (Do What I mean) command.
BTW, I'll be on a business trip the next week, so I probably won't be able to continue this discussion until I am back.
Regards,
Vesselin
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