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Hello, Nate
You have delay=0 set in your Buy and Short entries, This would be
unrealistic, set the delay to 1, and re-optimize and re-backtest. Please
post the results .
Anthony
"Dr. S. Nathan Berger" wrote:
> Al- 'sHappenen?
>
> Sorry, Monday morning brain fog.
>
> Reference is to using the TRIX formula posted last week to the group:
>
>
> pds=Optimize("pds",12,5,23,3);
> pds2=Optimize("pds2",3,3,15,1);
>
> Buy=Trix(pds) > EMA(Trix(pds),pds2);
> Sell=Trix(pds) < EMA(Trix(pds),pds2);
> Short=Trix(pds) < EMA(Trix(pds),pds2);
> Cover=Trix(pds) > EMA(Trix(pds),pds2);
>
> Filter=1;
> Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy); Short=ExRem(Short,Cover);
> Cover=ExRem(Cover,Short);
>
> AddColumn(Buy,"Buy");
> AddColumn(Sell,"sell");
> AddColumn(Short,"short");
> AddColumn(Cover,"cover");
>
> A remark had been made that this formula seemed workable, but that the
> selection of stocks to which it was applied made a substantial
> difference. In search for such stocks, I tested this formula over the
> stocks listed in the CCT50.tls, (which is used by Steve in his CMO
> System).
>
> When optimizing individually over each stock in the CCT50.tls, the
> results consistently come up pds=5 and pds2=3. When these optimized
> figures were entered into the formula, the backtested results for
> AMTL, BEAS, CEFT, AHIR, CHKP, CMVT, CTX, DYN, KLAC, MERQ, NVDA, SEBL.
> came back returning a performance of OVER 1500% for each stock. Of
> these, MERQ is 4800% and NVDA is 4900%
>
> Settings: Init. Eq 10,000 Positions: Long Periodicity: Daily
> Long Trade Buy Price: Open Delay: 0
> Short Trade Buy Price: Open Delay: 0
> Max. Stop Loss, Profit Target, Trailing Stop all are Disabled
> Reporting set to Overall Summary
>
> Hope this is clearer now. Also hope this is reality, and not a
> continuation of the brain fog. Perhaps a cup of coffee would help...
>
> Nate
>
>
>
>
> At 10:08 AM 6/24/02 -0400, you wrote:
>
>
>> Hi, Nate. Long time, no hear. I'm not sure your post is about the
>> CMO5 system or the Turtle system. Can you elaborate a little on what
>> you are talking about? What are you setting to 0? How do you use
>> TRIX to evaluate preformance of a system? I'm at work right now, so
>> I cannot go back and review past posts. Thanks.
>>
>> Al Venosa
>
>
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