Trading system (Dow Jones)
The most important is money managment as no predictive model can exist on stochastic series!
Example of a trading system on the Dow Jones with 50% winning trades for 2 Years intraday trading with:
average gain 27.7 pts (variance 30 pts) / average loss: -22.7 (variance 20 pts)
Maximum gain 346 pts / maximum loss (drawdown) -186 pts
EQUITY CURVES BELOW ==>
see also ==>
What does it mean? simply that there is nothing to predict… there are well knows stylized facts on the distribution of financial time series but completly sterile concerning trading strategies…
Do you know that the price memory is about 4 min. for stocks and 2 min. on the Forex. Which means that a price at time T loses its influence on price at time T+4min. for stocks and T+2min. on Forex. Just calculate the auto-correlation function to check this very very basic property (see docs below)… What about technical analysis in this case? nothing much to say…
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What is needed is a solid knowledge of the basis of financial markets…
Contact: thestockcode@gmail.com