Wednesday, March 31, 2010
As I previously mentioned, George and Kazume have taken my original SIF 01 strategy and improved upon it so that the backtest equity curve is as shown in the attached chart. The chart is based on trading one ES contract with slippage of $25/trade and $3/trade commissions. The changes involve an increase in trading frequency which is geared to the work week, and trades which do not exit on a profit target are carried over and closed out the following day except that no trades are carried over on Friday. It's always nice to have weekends off.