I was playing with optimization routines applied to your
mechanical systems and varied a EOD exit that was various bars
before the real EOD. It seems that (at least recently) the results
are even better if exit is 15 to 20 minutes before EOD
(consistent with crazy market EOD observations )
My Java charts let me overlay SAR signals. SAR is used by many
people as a stop loss guide but it also can be a buy/sell signal.
Lately, I've found the SAR crosses of the prices get me out of a
daily mechanical trade maybe an hour before the EOD whipsaw and at
about the same price I would have had had I stuck around tio the
EOD.
You have to actually back test that; noticing that it works a
few times really tells you nothing unless you see that it gives you
statistically better results.
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Matt
EOD Mechancail Systems Page Real Time
Posted by cdjd on 27th of Apr 2009 at 04:15 pm
preliminary weekend observations.
I was playing with optimization routines applied to your mechanical systems and varied a EOD exit that was various bars before the real EOD. It seems that (at least recently) the results are even better if exit is 15 to 20 minutes before EOD (consistent with crazy market EOD observations )
Will let you if further exploration confirms.
EOD warning signal
Posted by druck on 27th of Apr 2009 at 09:16 pm
My Java charts let me overlay SAR signals. SAR is used by many people as a stop loss guide but it also can be a buy/sell signal. Lately, I've found the SAR crosses of the prices get me out of a daily mechanical trade maybe an hour before the EOD whipsaw and at about the same price I would have had had I stuck around tio the EOD.
You have to actually back
Posted by matt on 28th of Apr 2009 at 12:44 am
You have to actually back test that; noticing that it works a few times really tells you nothing unless you see that it gives you statistically better results.