| APR 1992
Reversing Your Losses by John Sweeney
Reversing Your Losses by John Sweeney Last month, Settlement closed with some incomplete work: the profit and loss charts for trades added onto the underlying system that was developed in the months prior. To finish the subject of evaluating add-on trades, I've completed those charts by trading the add-on system for the remaining years of data — 1991, 1990 and 1988. To recap, the underlying bond trading system trades solely off the 35-day simple moving average of closing bond prices in the December contract. The trend is determined by the 17-day average of the day-to-day difference in the moving average. When the one-day difference is greater than the trend, go long. When less, go short. Use a $700 stop. The add-on idea was to wait three days to see whether the underlying trade went bad, since experience showed that most of the bad news came quickly. The idea was to enter in the same direction as the underlying trade on the opening of the fourth day and close when the underlying trade closes. The point of all this was to illustrate developing a system in gory detail.
by John Sweeney
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