I haven't contributed much to TL, but I thought I'd throw in my 2 cents on Universal since I have also followed TTM and attended seminars where Doc was promoting universal.
I coded up Universal myself since I thought the pricing was ridiculous and I don't agree with having a system I can't tweak (black box as in Universal). BTW, I'm no EL expert but it was relatively easy to code this thing up in a couple hours.
Slippage / Commissions: You can get some great optimization results, like any other system, but it breaks down quickly if you start adding commission / slippage. Doc argues that he doesn't add these since everyone's commission is different, and he uses limit orders, but limit orders are really typically set to go to market if not filled within a certain time limit (in TS system settings). Thus, you're always going to have some slippage, even if it is not a whole tick per execution. I find that if you don't add these to your system results you are doing yourself a huge disservice. A lesson I have learned is to also look closely at the profit per trade, and if it is too low your system will never work out.
Forward testing results: So far, nothing I have tested has worked out with forward testing. The additional parameters besides the B1, B2, S1, S2 like targets / day loss, etc are all on their own additional optimizations that further deteriorate the forward system performance.
Intrabar Order Generation: I have found this does not work with limit order systems that buy on for instance Lowest(L, 3). It will always fill you on the low / high tick of the bar in back testing. You will be doing yourself a huge disservice using this in backtesting.
That being said, I have learned a lot from Doc in his videos / webinars and he does know a lot about the intricacies of TS and execution. I can thank him for that, but I would never put any real money leasing, buying, or trading the universal.
06-03-2009, 11:31 AM
Linear Mode
