FYI in case anyone else is tracking the 3 Swing systems for SRS
here are my test results with $10K positions and I'd be interested
to hear anyone elses. From July 15 when the second system was
released the first system (original one with similar parameters to
the EOD system) generated $3653 in profits in 35 trades and had 31%
winners as of last Friday's close. The second system generated
$1347 in 56 trades and had 39% winners. The new system generated
$2591 in gains and had 45% winners. Since we don't know when the
optimization period ended it's not possible to say if the third
system "really" has been better than the second or if it just looks
that way because part of the time period was used in the
optimization.
Oops meant to include that. 49 trades. BTW testing back further
like to the start of 2009 makes the new system look better but the
optimization question makes a fair comparison difficult. Going
forward from here obviously any of the systems could outperform or
fall behind but the "live" trading is what makes or loses money for
us -- from July 15 at least the first 2 systems were live.
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Battle of SRS Swing systems continues
Posted by bkout3 on 28th of Sep 2009 at 01:26 pm
FYI in case anyone else is tracking the 3 Swing systems for SRS here are my test results with $10K positions and I'd be interested to hear anyone elses. From July 15 when the second system was released the first system (original one with similar parameters to the EOD system) generated $3653 in profits in 35 trades and had 31% winners as of last Friday's close. The second system generated $1347 in 56 trades and had 39% winners. The new system generated $2591 in gains and had 45% winners. Since we don't know when the optimization period ended it's not possible to say if the third system "really" has been better than the second or if it just looks that way because part of the time period was used in the optimization.
Interesting results, especially that the
Posted by twins on 28th of Sep 2009 at 01:34 pm
Interesting results, especially that the highest profit system had the lowest % winners. How many trades occurred in the new system? Thanks.
Bob in NJ
Oops meant to include that.
Posted by bkout3 on 28th of Sep 2009 at 01:54 pm
Oops meant to include that. 49 trades. BTW testing back further like to the start of 2009 makes the new system look better but the optimization question makes a fair comparison difficult. Going forward from here obviously any of the systems could outperform or fall behind but the "live" trading is what makes or loses money for us -- from July 15 at least the first 2 systems were live.