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Ok some more testing on this idea:
Add the following to your potential system:
DMAPeriodSlow = 30 ; //Optimize( "DMAPeriodSlow ", 45, 5 , 100, 5 );
DMAPeriodFast= 10 ; //Optimize( "DMAPeriodFast", 10, 5 , 100, 5 );
delta=C-Ref(C,-1);
MAd1=MA(abs(delta),DMAPeriodSlow );
MAd2=MA(abs(delta), DMAPeriodFast);
Then
Buy = BUY AND (MAd2 > MAd1);
Short= Short AND (MAd2 > MAd1);
See what happens, better returns and a lower system drawdown,
Excellent ideas, keep 'em coming
Sam Gray
--- In amibroker@xxxx, "goldfreaz" <goldfreaz@xxxx> wrote:
> Interesting...
>
> delta=C-Ref(C,-1);
> md=MA(delta,45);
> MAd=MA(abs(delta),45);
>
> Graph1=MAd;
> Graph1Style=1;
> Graph1Color=colorGreen;
>
>
> --- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> > Franco,
> >
> > Recently I was talking to a professional trader who told me that
> some stocks simply don't behave well in any system and others do
> extremely well (in backtesting). He attributes this to a term called
> the "fractal efficiency ratio," coined by Perry Kaufman. A stock has
> to have some non-random movement to be predictable. It's the total
> change in price over a given period, divided by the sum of the
> absolute values of all the daily changes in price. If a stock has
> too small a directional component, then it's a poor candidate for
any
> system, regardless of how many filters or refinements you add.
> You're better off using all that firepower on a better target. I've
> been testing a lot of stocks lately individually, finding that many
> simply give very bad backtest results and very non-robust parameter
> coefficients. So, I eliminate them from my watchlist and concentrate
> on those stocks that behave well. This seems to be working well. I
> haven't had time to write any code yet to see if the good-performing
> stocks have a higher fractal efficiency ratio (personality as you
> call it?) than the poor performing ones, but it's worth a try. You
> must test over a long enough period of time to encompass bullish,
> bearish, and sideways markets, like 1/1/97 (or even earlier) to
> present time. If you try this idea out, let me know how successful
> you are. I'm very interested in this concept. When I get a chance,
> I'll try it myself. But, in theory, it seems to have merit.
> >
> > Al Venosa
> >
> > ----- Original Message -----
> > From: Franco Fornari
> > To: amibroker@xxxx
> > Sent: Friday, November 01, 2002 6:15 AM
> > Subject: [amibroker] a few considerations about optimization
> >
> >
> > Hello,
> >
> > trying to optimize any trading system, I think we all have
> thought, sometime, we would like to avoid such a tedious process or
> to do it once and for all.
> > It could be possible? This question badgered me for a long time,
> unfortunately with no success, yet I feel there must be a solution.
> > Why I say that? Because a peculiarity of each stock,
> called "personality" by someone, wich seems stable enough. In other
> words, I think if we were able to mathematically represent this
> characteristic, we could automatically optimize any trading systems.
> > But, the big matter is: what is this characteristic (long term
> volatility, frequency of peaks and troughs, price)? How could we
> assess or measure it? And, first of all, does such a feature exist
or
> is it only a mirage? How do you think about?
> >
> > Best regards,
> >
> > Franco
> >
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