|
MarketTrak Question/Comment Message |
Posted By: david Date: Sun Apr 18, 2010 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Title: re the cash only rule after short |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Message: |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Response: Since we modified the network weighting algorithm, I believe that the model is now more accurate and perhaps the requirement of going through a cash position on a trade will go away. I would expect that the setpoints would also change. I will look into rerunning the program. Of course, you can decide to ignore this rule in your trading. I did take a small long position in the after-hours session on Friday. Wednesday, April 21 Update: I ran a test case where I allowed trades to proceed directly from long to short and from short to long. In the last 165 days, there was only a single incidence when this happened and that was a few days ago. The setpoints were not modified. The performance results are below:
As you can see, there is a small difference in favor of allowing direct trades between long and short positions. I will probably go ahead and implement this change after some more testing. Friday, April 23 Update: I will install an update this weekend to remove the requirement of going to cash when leaving either a long or short position. The long and short setpoints will not change. |